Venice 2016

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Call for papers
Junior scientists
Scientific committee
Keynote speakers


Registration
Accommodation
Venue
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Detailed Program





Important deadlines:

Submit paper by
July 15, 2016

Register by
September 30, 2016












Latest update:
May 24th, 2016

 

Detailed Program

Thursday, October 27
08:45-09:00 Opening Session
  • Achille Giacometti (Vice Provost for Research, Ca' Foscari University of Venice)
  • 09:00-10:00 Keynote Lecture (Chair: Herman K. van Dijk)
  • Ulrich Müller (Princeton University)
  • 10:00-10:30Coffee Break
    10:30-12:30Bayesian Financial Econometrics (Chair: Mark Jensen)
  • Bastürk Nalan (Maastricht University): Bayesian Dynamic Factor Modeling and Time-varying Combinations of Equity Momentum Strategies (coauthored by S. Grassi, L. Hoogerheide and H.K. van Dijk)

  • William McCausland (University of Montreal): Dynamic Factor Model with Stochastic Volatility

  • Jun Yu (Singapore Management University): A Bayesian Specification Test (coauthored by Y. Li and T. Zeng)

  • Georgios Tsiotas (University of Sydney & University of Crete): Bayesian inference for CAViaR models with combined loss functions
  • 12:30-14:00 Lunch and POSTER 1
    14:00-16:00Bayesian Macroeconometrics (Chair: Francesco Ravazzolo)
  • Massimiliano Marcellino (Bocconi University): Measuring uncertainty and its impact on the economy (coauthored by A. Carriero and T. E. Clark)

  • Simon Beyeler (Study Center Gerzensee & University of Bern): FAVAR revisited – A sparse dynamic factor approach (coauthored by S. Kaufmann)

  • Giovanni Ricco (University of Warwick): The Transmission of Monetary Policy Shocks (coauthored by S. M. Agrippino)

  • Katerina Petrova (Queen Mary University London): A quasi-Bayesian nonparametric approach to time varying parameter VAR models
  • 16:00-16:30Coffee Break
    16:30-18:15Bayesian Panel Data Models (Chair: Ulrich Müller)
  • Sylvia Fruehwrith-Schnatter (Institute for Statistics & WU Wirtschaftsuniversität Wien): Bayesian Treatment Effects Models for Panel Outcomes with an Application to Earnings Effects of Maternity Leave (coauthored by L. Jacobi and H. Wagner)

  • Annika Schnuecker (German Institute for Economic Research): Restrictions Search for Panel VARs

  • Alistair Dieppe (European Central Bank): Bayesian Estimation, Analysis and Regression (BEAR) Toolbox (coauthored by R. Legrand and B. van Roye)
  • 19:15-20:30 Visit to the Oratory of Crociferi
    20:30 Social dinner at OGIO Restaurant

    Friday, October 28

    09:00-10:00 Keynote Lecture (Chair: Roberto Casarin)
  • Christian Robert (Ceremade - Université Paris-Dauphine and University of Warwick)
  • 10:00-10:30Coffee Break
    10:30-12:00Efficient MCMC and SMC methods for complex models (Chair: Christian Robert)
  • Christian Matthes (Federal Reserve Bank of Richmond): A Composite Likelihood approach for dynamic structural models (coauthored by F. Canova)

  • David T. Frazier (Monash University): Asymptotic Properties of Approximate Bayesian Computation (coauthored by G. Martin, C. Robert and J. Rousseau)

  • Clara Grazian (Sapienza University of Roma, CEREMADE, University Paris-Dauphine & CREST): Approximate Bayesian Computation for Copula Estimation (coauthored by B. Liseo)
  • 12:00-13:30 Lunch and POSTER 2
    13:30-15:30 Bayesian nonparametric and semi-parametric methods (Chair: Sylvia Fruewirth-Schnatter)
  • Luca Rossini (University Ca' Foscari of Venice): Bayesian nonparametric Sparse Seemingly Unrelated Regression Models (coauthored by M. Billio and R. Casarin)

  • Mark Fisher (Federal Reserve Bank of Atlanta): Real exchange rates and unit roots: Learning about the distribution (coauthored by J. Dwyer)

  • Remi Piatek (University of Copenhagen): A Bayesian Nonparametric Approach to Factor Analysis with Non-Gaussian Factors (coauthored by O. Papaspiliopoulos)

  • Catia Scricciolo (University of Verona): Asymptotics for empirical Bayes posterior distributions (coauthored by S. Donnet, V. Rivoirard and J. Rousseau)
  • 15:30-16:00Coffee Break
    16:00-18:00 Junior Session (Chair: Gary Koop. Discussants: Schotman, Jensen, Müller, Robert)
  • Pinho J. Ribeiro (University of Glasgow): Forecasting Commodity Currencies: The Role of Fundamentals with Short-Lived Predictive Content (coauthored by C. Foroni and F. Ravazzolo)

  • Christoph Frey (University of Konstanz): Sequential Stock Return Prediction Through Copulas (coauthored by A. Virbickaite)

  • Giulia Livieri (Scuola Normale Superiore di Pisa): A discrete-time stochastic volatility framework for pricing options with realized measures (coauthored by G. Bormetti, R. Casarin and F. Corsi)

  • Francesca Loria (European University Institute): Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis (coauthored by K. A. Aastveity and F. Furlanetto)
  • 18:00-18:45 Keynote Lecture (Chair: Monica Billio)
  • Thomas Sargent (New York University & Stanford University)
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