Big Data in Predictive Dynamic Econometric Modeling

Big Data in Predictive Dynamic Econometic Modeling Papers and Slides - Thursday Sessions, Big Data in Predictive Dynamic Econometic Modeling Papers and Slides - Friday Sessions

false, Welcoming Remarks: Francis X. Diebold Co-Organizer & Professor of Economics University of Pennsylvania, 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: 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, 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 Group Photo of Speakers, Chairs, and Organizers, Big Data in Predictive Dynamic Econometic Modeling Reception, Big Data in Predictive Dynamic Econometic Modeling Reception, Big Data in Predictive Dynamic Econometic Modeling Reception, Big Data in Predictive Dynamic Econometic Modeling Reception, Big Data in Predictive Dynamic Econometic Modeling Reception, Big Data in Predictive Dynamic Econometic Modeling Reception, Big Data in Predictive Dynamic Econometic Modeling Reception, Big Data in Predictive Dynamic Econometic Modeling Reception, Big Data in Predictive Dynamic Econometic Modeling Reception, Big Data in Predictive Dynamic Econometic Modeling Reception, Oliver Linton (Cambridge) "Semiparametric Ultra‐High Dimensional Model Averaging of Nonlinear Dynamic Time Series", 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”, Todd Clark (FRB Cleveland) “Large Vector Autoregressions with Stochastic Volatility and Flexible Priors”, Davide Pettenuzzo, (Brandeis) “Adaptive Minnesota Prior for High‐Dimensional Vector Autoregressions”, Davide Pettenuzzo, (Brandeis) “Adaptive Minnesota Prior for High‐Dimensional Vector Autoregressions”, Robert Engle (NYU) “Large Dynamic Covariance Matrices”, Robert Engle (NYU) “Large Dynamic Covariance Matrices”, Serge Nyawa(Toulouse School of Economics) “High‐Dimensional Multivariate Realized Volatility Estimation”, 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, Nikolaus Hautsch (University of Vienna) “Large‐Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High‐ and , Rogier Quaedvlieg (Erasmus) “Realized Semi‐Covariances: Looking for Signs of Direction inside Realized Covariances”, 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”, 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”, 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)”, 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”, 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”, 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”, Weining Wang (King’s College London) “Network Quantile Autoregression”, Xiu Xu (Humboldt) “Dynamic Credit Default Swaps Curve in a Network Topology”, Xiu Xu (Humboldt) “Dynamic Credit Default Swaps Curve in a Network Topology”, Serena Ng (Columbia) “Estimation of Common Factors by Regularized Principal Components”, 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”, 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”, Christian Brownlees (Pompeu Fabra) “Detecting Granular Time Series in Large Panels”, Glenn Rudebusch (FRB San Francisco) “Term Structure Modeling with Big Data”, 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”, 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”, Eric Ghysels (UNC) “Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty”, Allan Timmermann (UCSD) “Forecasting Panel Data in the Presence of Breaks”, 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”, 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”, 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”, Manfred Deistler (Technical University of Vienna) “High‐Frequency Linear Time Series Models and Mixed Frequency Data”