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The Econometrics of Macroeconomic and Financial Data

A Conference in Honor of Francis X. Diebold

March 13–14, 2020 Dallas Fed

When

  • March 13–14, 2020

Where

  • Federal Reserve Bank of Dallas
    2200 N. Pearl St.
    Dallas, TX 75201 
  • Directions

This conference is by invitation only.

Agenda

Friday, March 13
6:30 p.m. Registration and reception
Saturday, March 14
7:45 a.m. Breakfast
8:25 a.m. Introduction
Marc Giannoni, Federal Reserve Bank of Dallas
8:30 a.m. Realized Semi(co)variances with Endogenously Determined Thresholds
Tim Bollerslev, Duke University
Marcelo C. Medeiros, PUC-Rio
Andrew J. Patton, Duke University,
Rogier Quaedvlieg, Erasmus University Rotterdam
9:10 a.m. Consistent Inference and Tests for Breaks in Predictive Ability: A Study of Implied and Realized Volatility Forecasts
Torben Anderson, Northwestern University
Rasmus Varneskov, Copenhagen Business School
9:50 a.m. Break
10:20 a.m. Tests of Forecasting Performance and Choice of Estimation Window
Allan Timmermann, UCSD
Yinchu Zhu, University of Oregon
11:00 a.m. Evaluating the Rationality of Mode Forecasts
Timo Dimitriadis, University of Konstanz
Andrew Patton, Duke University
Patrick Schmidt, Frankfurt University
11:40 a.m. Approximate Maximum Likelihood for Complex Structural Models
David Frazier, Monash University
Eric Renault, University of Warwick
12:20 p.m. Lunch
2:00 p.m. Monitoring Macroeconomic Conditions with Big Data
Domenico Giannone, Federal Reserve Bank of New York
Francesca Monto, Bank of England
Andrei Sokol, Bank of England
2:40 p.m. Overreaction to News
Ben Gardner, Chiara Scotti and Clara Vega, Federal Reserve Board
3:20 p.m. SVARs with Occasionally-Binding Constraints
S.B. Aruoba, University of Maryland
Frank Schorfheide, University of Pennsylvania
4:00 p.m. Break
4:30 p.m. Bayesian Inference on Structural VAR Models that Combine Zero and Sign Restrictions
Atsushi Inoue
, Vanderbilt University
Lutz Kilian, Federal Reserve Bank of Dallas
5:10 p.m. Real and Nominal Yield Curves in Canada: A New Normal?
Glenn Rudebusch, Federal Reserve Bank of San Francisco
Jens H.E. Christensen, Federal Reserve Bank of San Francisco
Patrick Shultz, Wharton School, University of Pennsylvania
5:50 p.m. Climate Econometrics
Frank Diebold, University of Pennsylvania
Glenn Rudebusch, Federal Reserve Bank of San Francisco
6:30 p.m. Break
7:00 p.m. Dinner
Dinner Speech: Glenn Rudebusch
Remarks: Frank Diebold