NBER-NSF SBIES Conference

Program

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

 

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

 

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

 

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.

Poster Session:

  • “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

 

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