Workshop in Time Series
Zaragoza. April 16 -17, 2015


Thursday, 16th

9:00-10:30 Registration  
10:15-10:30 Welcome address Antonio Montañés and Lola Gadea
10:30-11:15 Enrique Sentana, Gabriele Fiorentini and Alessandro Galesi

Spectral inferences in state space models

11:15-12:00 Andreas Pick and Tom Boot Optimal forecasts from Markov switching models
12:00-12:30 Coffee break  
12:30-13:00 Javier Hualde and Morten Ørregaard Nielsen Conditional pseudo-maximum likelihood estimation of fractional time series models with deterministic trends


José Olmo and Ch. W. Cheang Asynchronicity, International Portfolio Diversification and The Efficiency of Financial Markets


15:30-16:00 Francesco Gallio Monetary News, Surprises and Forward Guidance


Mehdi Hamidi Sahneh Are the shocks obtained from SVAR fundamental?


Cecilio Tamarit, Jordi Paniagua and Juan Sapena Sovereign debt spreads in EMU: Disentangling the role of fundamentals and market perceptions


Laura Carabotta and Peter Claeys Combine to compete: improving fiscal forecast accuracy over time
17:30-18:00 Coffee break  
18:00-18:30 Flash Session 1
  • G. Gánics, DSGE forecast evaluation
  • Y. Sun, Ch. Brownlees and E. Nualart, Realized Networks
  • C. Melguizo, An analysis of the Okun’s law for the Spanish provinces
  • J. Dolado, Jesús Gonzalo and L. Chen, Quantile Factor Models.
  • A. Aznar, Reformulating the Piketty’s two fundamental laws of capitalism. the long-run approach
18:30-19:00 Geert Mesters and S.J. Koopman Empirical Bayes Methods for Dynamic Factor Models
19:00-19:30 TSW meeting  
21:00 Gala dinner  

Friday, 17th

9:30-10:00 Carlos Velasco and Seongman Moon Variance Ratio Tests for Panels with Cross Section Dependence

Josu Arteche and Jesús Orbe

A bootstrap strategy for optimal bandwidth selection in Local Whittle estimation
10:30-11:00 Carles Bretó Inference in non-linear, non-Gaussian state-space stochastic leverage models
11:00-11:30 Flash Session 2
  • Y. E. Ergemen, Generalized Efficient Inference on Factor Models with Long-Range Dependence
  • V. Troster, A Specification Test of Dynamic Conditional Distribution and Quantile Models
  • J. Afonso, On the behaviour of tests for the null of stationarity under near stationarity with weakly dependent errors
  • C. G. Taufemback, A Frequency Domain Approach for Mixed Data Sampling Regressions
  • T. Del Barrio, G. Cubadda and d. Osborn, Cointegration between processes integrated at different frequencies.
  • J.L. Carrion-i-Silvestre and L. Gadea, Detecting multiple level breaks in bounded time series.
11:30-12:00 Coffee break  


Maribel Ayuda, Antonio Aznar and Hugo Ferrer The Role of Initial Conditions on the Lag Length Selection. A Monte Carlo Study


Anindja Banerjee, Massimiliano Marcellino and Igor Masten

An Overview of the Factor-augmented Error-Correction Model

14:00 Lunch