Big Data in Predictive Dynamic Econometic Modeling

In May 2017, the Economics Department hosted an international conference focusing on the econometric analysis of "big data"; "Big Data in Dynamic Econometric Modeling." The conference attracted leading scholars from around the world. The conference was generously supported by the Warren Center and PIER. Click for details: THEMES and PROGRAM.

Welcoming Remarks:
Francis X. Diebold
Co-Organizer & Professor of Economics
University of Pennsylvania
Welcoming Remarks:
George Mailath
Economics Department Chair & Professor of Economics
University of Pennsylvania

 
Welcoming Remarks:
Rakesh Vohra
Warren Center Co-Director & Professor of Economics
University of Pennsylvania
Big Data in Predictive Dynamic Econometic Modeling Group Photo of Speakers, Chairs, and Organizers
Big Data in Predictive Dynamic Econometic Modeling Reception
 
 
Oliver Linton (Cambridge)
"Semiparametric Ultra‐High
Dimensional Model Averaging
of Nonlinear Dynamic Time Series"
 
 
Todd Clark (FRB Cleveland)
“Large Vector Autoregressions with Stochastic Volatility and Flexible Priors” 
Davide Pettenuzzo, (Brandeis)
“Adaptive Minnesota Prior for High‐Dimensional Vector Autoregressions”

 
 
Robert Engle (NYU)
“Large Dynamic Covariance Matrices”

Serge Nyawa(Toulouse School of Economics)
“High‐Dimensional Multivariate Realized Volatility Estimation” 

 
 
Nikolaus Hautsch (University of Vienna)
“Large‐Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High‐ and Low‐Frequency Information”

Rogier Quaedvlieg (Erasmus)
“Realized Semi‐Covariances: Looking for Signs of Direction inside Realized Covariances”
 

Domenico Giannone (FRB New York)
“Macroeconomic Prediction with Big Data: the Illusion of Sparsity”
Dalibor Stevanovic (Université du Québec à Montréal)
“Macroeconomic Forecast Accuracy in a Data‐Rich Environment”
 
Monica Billio (Università Ca' Foscari di Venezia)
“Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)”
Kamil Yilmaz (Koc)
“Measuring Dynamic Connectedness with Large Bayesian VAR Models”
 
Daniela Scidá (FRB Richmond)
“Structural VAR and Financial Networks: A Minimum Distance Approach to Spatial Modeling”
Weining Wang (King’s College London)
“Network Quantile Autoregression”
 
 Xiu Xu (Humboldt)
“Dynamic Credit Default Swaps Curve in a Network Topology”
Serena Ng (Columbia)
“Estimation of Common Factors by Regularized Principal Components”
 
Viktor Todorov (Northwestern)
“Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span”

Christian Brownlees (Pompeu Fabra)
“Detecting Granular Time Series in Large Panels”

 
Glenn Rudebusch (FRB San Francisco)
“Term Structure Modeling with Big Data”
Matteo Barigozzi (London School of Economics)
“Common Factors, Trends, and Cycles in Large Datasets”
 
Eric Ghysels (UNC)
“Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty”
Allan Timmermann (UCSD)
“Forecasting Panel Data in the Presence of Breaks”
Katerina Petrova (St. Andrews)
“A Quasi‐Bayesian Local Likelihood Approach to Time Varying Parameter VAR Models”
Galina Hale (FRB San Francisco)
“Monitoring Banking System Fragility with Big Data”
Manfred Deistler (Technical University of Vienna)
“High‐Frequency Linear Time Series Models and Mixed Frequency Data”