Workshop in Time Series
Zaragoza. April 11-12, 2013

IIt WorkshopProgramme

Thursday, 19

9:00-9:45 Registration  
9:45-10:00 Inaguration José María García (Director General de Economía del Gobierno de Aragón)
10:00-10:15 Welcome address Antonio Montañés and Lola Gadea
10:15-11:00 J. Andrés, J.E. Bosca and J. Ferri Household Leverage and Fiscal Multipliers
11:00-11:30 Coffee break  
11:30-12:00 L. Baele, G. Bekaert, S. Cho, K. Inghelbrecht and A. Moreno Macroeconomic Regimes


J. Ching Wai Chiu, B. Erakerz, A. E. Foerster, T. B. Kim and H.D. Seoane Estimating VAR.s Sampled at Mixed or Irregular Spaced Frequencies : A Bayesian Approach


L. Gadea and G. Pérez-Quirós Credit and the Business Cycle Describing the past or Inferring the Future?


Julian Andrada-Félix, Fernando Fernández-Rodríguez and Simon Sosvilla-Rivero Historical Analogies of the Current Crisis


15:30-16:00 M. Luciani and D. Veredas A Simple Model for Vast Panels of Volatilities


C. Broto and G. Pérez-Quirós How Can we Interpret Sovereign CDS Spreads during the Crisis? A Dynamic Factor Model Approach


B. Feunou, J.S. Fontain, A. Taamouti and R. Tédongap Risk Premium, Variance Premium and the Maturity Structure of Uncertainty


Coffee break Poster session A
18:00-18:30 P. Agnese and P.F. Salvador More Alike than Different: The Spanish and Irish Labour Markets before and after the Crisis
18:30-19:00 P. Poncela and E. Ruíz On the Issue of how many Variables to use when Estimating Common Factors using the Kalman Filter
19:00-19:30 T. del Barrio The Impact of Persistent Cycles on Zero Frequency Unit Root Tests
19:30-20:00 TSW meeting  
21:00 Gala dinner  

Friday, 20

9:15-10:00 B. Rossi and T. Sekhposyan Tests of Specification and Distributional Change for Predictive Densities
10:00-10:30 G. Koop and L. Onorante Estimating Phillips Curves in Turbulent Times using the ECB's Survey of Professional Forecasters
10:30-11:00 J. Olmo and M. Sanso Forecasting the Performance of Hedge Fund Styles
11:00-12:00 Coffee break Poster session B


S. Moon and C. Velasco Tests for m-dependence Based on Sample Splitting Methods


J.L. Carrion-i-Silvestre and D. Kim Likelihood Ratio Tests for Cointegration, Cobreaking and Cotrending


A. Carnero, A. Pérez and E. Ruiz Effects of Outliers on the Identification and Estimation of Asymmetric GARCH-type Models


J.J. Dolado, H. Rachinger and C. Velasco LM and Wald Tests for Breaks in the Persistence and the Level of a Time Series
14:00 Closing ceremony Mariam Camarero (Secretaria General de Universidades)
14:30 Lunch  

Posters session A

A Dynamic Markov-Switching Network Analysis of the Stock Market Risk Synchronization D. Leyva
Can External Shocks Explain the Asian Side of Global Imbalances? Lessons from a Structural VAR Model C. Guillaumin
Leverage Skewness and Amplitude Asymmetric Cycles M. Artiach
Estimating and Forecasting Financial Risk: The Realized Quantile Approach F. Rinnen
Integración Espacial en el Mercado de Verdel en España J. García Enríquez
Non-renewable Resource Prices. A Robust Evaluation from Stationarity Perspective M.J. Presno, P. Fernández y M. Landajo
House Price Bubbles and Their Impact on Consumption: Evidence from the US A. Spiru

Posters session B

Nonparametric Pseudo-LM Stationarity testing. Asymptotic Results and Some Bootstrap and Panel Improvements M. Landajo and M.J. Presno
Numerical Distribution Functions for Seasonal Unit Root Tests I. Díaz-Emparanza
Linear Trends and Initial Conditions in Long Memory Time Series H. Rachinger
A New Correlation Coefficient for Bivariate Time Series Data O. Erdem and Y. Varli
Identifying Observed Factors in Approximated Factor Models. Estimating and Hypothesis testing L. Chen
Residual-Based Tests for Cointegration under a weak Bilinear Unit Root Julio-Afonso Rodriguez
On the Estimation of Dynamic Stochastic General Equilibrium Models: an Empirical Likelihood Approach S. Riscado