Brown University, Smith-Buonanno Hall, Room 106, 95 Cushing St, Providence, RI
Friday, May 31, 2019
1 - 1:15 p.m. Welcoming Remarks
1:15 - 2:45 p.m. SESSION 1 – Theory and Methods I
Chair: Kenichi Shimizu, Brown University
- “Low-Frequency Analysis of Economic Time Series,” Ulrich Mueller, Mark Watson.
- “A Robust Machine Learning Algorithm for Text Analysis,” Jose Luis Montiel Olea, James Nesbit, and Barry Shikun Ke.
- “Posterior Distribution of Nondifferentiable Functions,” Jonathan Payne, Toru Kitagawa, José Luis Montiel Olea, and Amilcar Velez.
- “Semiparametric Bayesian Estimation of Dynamic Discrete Choice Models,” Kenichi Shimizu, Andriy Norets.
2:45 - 3 p.m. REFRESHMENT BREAK
3 - 4:15 p.m. SESSION 2 - Microeconometrics
Chair: Jingyu He, University of Chicago
4:15 – 4:30 p.m. REFRESHMENT BREAK
4:30 - 6:00 p.m. SESSION 3 – Theory and Methods II
Chair: Angela Vossmeyer, Claremont McKenna College
6 - 7 p.m. Reception at the Hope Club
7 - 9:30 p.m. DINNER at the Hope Club
Saturday, June 1, 2019
7:30 - 8:30 a.m. CONTINENTAL BREAKFAST
8:30 - 10 a.m. SESSION 4 – Time Series
Chair: Giovanni Ricco, University of Warwick
- “Multivariate Stochastic Volatility with co-Heteroscedasticity,” Roberto Leon-Gonzalez, Joshua Chan, Arnaud Doucet, and Rodney Strachan.
- “Bayesian Nonparametric Estimation of Ex-post Variance,” John Maheu, Jim Griffin, and Jia Liu.
- “Bayesian Nonparametric Covariance Estimation with Noisy and Nonsynchronous Asset Prices,” Jia Liu.
- “A Model of the Fed's View on Inflation,” Giovanni Ricco, Thomas Hasenzagl, Filippo Pellegrino, and Lucrezia Reichlin.
10 - 10:15 a.m. REFRESHMENT BREAK
10:15 - 11:45 a.m. SESSION 5 - Topics in Micro and Macroeconometrics
Chair: Jonas Arias, Federal Reserve Bank of Philadelphia
- “Measuring Cross-Country Linkages with a Panel Unobservable Component Model,” Gianni Amisano, Lea Petrella, and Jan Martin Rossi.
- “A Flexible Stochastic Conditional Duration Model,” Samual Gringas, William J. McCausland.
- “Dynamic Sparse Factor Analysis,” Kenichiro McAlinn, Enakshi Saha, and Veronika Rockova.
- “Inference in Bayesian Proxy-SVARs,” Jonas Arias, Juan F. Rubio-Ramirez, and Daniel F. Waggoner.
11:45 a.m. – 1:45 p.m. LUNCH and POSTER SESSION
The poster boards will accommodate poster sizes up to 4x4 feet. Pins will be provided to attach posters to the boards.
- “A Bayesian Joint Model of Spatial Point Processes with Application to Basketball Shot Chart,” Jieying Jiao, Guanyu Hu and Jun Yan.
- “A Bayesian Nonparametric Approach on Model Combination for Short-term Interest Rates,” Qiao Yang, Xin Jin and John Maheu.
- “Do Better Return Density Forecasts Lead to Economic Gains in Portfolio Allocation?” Chenxing Li.
- “Do Financial and Macro Economic Variables Help Predict the Distribution of the Market Return?” Azam Shamsi Zamenjani.
- “Factor Investing: Hierarchical Ensemble Learning,” Guanhao Feng, Jingyu He.
- “Bayesian Nonparametric Nonhomogeneous Poisson Process with Applications to USGS Earthquake Data,” Guanyu Hu, Junxian Geng, and Wei Shi.
- “Revisiting the Bayesian FFBS Method for Mixed Frequency Inference,” Angelo M. Fasolo, and Sergio Lago Alves.
- “Subsampled Information Criterion for Bayesian Model Selection in Big Data Setting,” Lijiang Geng, Yishu Xue and Guanyu Hu.
- “Bayesian Nonparametric Models for Conditional Densities Based on Orthogonal Polynomials,” Marco Stenborg Petterson, and Andriy Norets.
1:45 - 3:15 p.m. SESSION 6 – Financial Econometrics
Chair: Hwagyun Kim, Texas A&M
- “Monotonic Effects of Characteristics on Returns,” David Puelz, Jared Fisher and Carlos Carvalho.
- “Macro Factor Selection in Affine Term Structure Models,” Kyu Ho Kang, Siddhartha Chib, and Cheolwoo Lee.
- “On Comparing Asset Pricing Models,” Lingxiao Zhao, Siddhartha Chib, and Xiaming Zeng.
- “Risk, Ambiguity, and Time-Varying Stochastic Volatility,” Hwagyun Kim, Joon Y. Park.
3:15 – 3:30 p.m. REFRESHMENT BREAK
3:30 – 5 p.m. SESSION 7 – Forecasting
Chair: Garo Garabedian, Central Bank of Ireland - Ghent University