Poster Sessions

Friday, Oct. 15
11:45 am-1:15 pm (CDT U.S. and Canada, or UTC/GMT-5)

Breakout Room 1: Advances in Time Series Modeling
Brownless, Caporin, Catania, Chan, Polivka
SESSION MODERATOR:  Serena Ng, Columbia University

• • Empirical Risk
    Christian Brownlees, Universitat Pompeu Fabra
    Co-Author:  Jordi Llorens-Terrazas, Universitat Pompeu Fabra
  • Estimating financial networks by realized interdependencies: A restricted autoregressive approach
    Massimiliano Caporin, University of Padova
    Co-Authors:  Deniz Erdemlioglu and Stefano Nasini, IÉSEG School of Management
  • Identifying Structural Shocks to Volatility Through a Proxy-MGARCH Model
    Jeannine Polivka, University of St. Gallen
    Co-Author:  Matthias R. Fengler, University of St. Gallen
  • A General Framework: Optimal Difference-based Variance Estimator in Time Series
    Kin Wai Chan, Chinese University of Hong Kong
  • Unobserved Component Models with Parameter Uncertainty, Approximated Filters, and Dynamic Adaptive Mixture Models
    Leopoldo Catania, Aarhus University and CREATES
    Co-Authors: Enzo D’Innocenzo, Vrije Universiteit Amsterdam; Alessandra Luati, University of Bologna

Breakout Room 2: Advances in Multivariate Time Series
Carrasco, B. Chen, H. Chen, João, Li
SESSION MODERATOR:  Michael Weylandt, Rice University

• • Theoretical Comparison of the Functional Principal Component Analysis and Functional Partial Least Squares
    Marine Carrasco, University of Montreal
    Co-Author:  Idriss Tsafack, UC Irvine
  • Time-varying Forecast Combination for High-Dimensional Data
    Bin Chen, University of Rochester
    Co-Author:  Kenwin Maung, University of Rochester
  • Dynamic Clustering of Multivariate Panel Data
    Igor Custodio João, Vrije Universiteit Amsterdam
    Co-Authors:  André Lucas and Julia Schaumburg, Vrije Universiteit Amsterdam; Bernd Schwaab, European Central Bank, Financial Research
  • Autoregressive Models for Tensor-Valued Time Series
    Zebang Li, Rutgers University
    Co-Author:  Han Xiao, Rutgers University
  • Inference of Jumps Using Wavelet Variance
    Heng Chen, Bank of Canada
    Co-Author:  Mototsugu Shintani, The University of Tokyo

Breakout Room 3: Time Series Solutions to Global Challenges
Chan, Hillebrand, Ruiz, Wang, Zhang
SESSION MODERATOR:  Robin Sickles, Rice University

• • Nonlinear Modal Regression for Dependent Data with Application for Predicting COVID-19
    Tao Wang, University of California, Riverside
    Co-Authors:  Aman Ullah and Weixin Yao, University of California, Riverside
  • Inference for Spatial Trend and Glaucoma Detection
    Ngai Hang Chan, Chinese University of Hong Kong (CUHK)
    Co-Authors:  Clement Tham, CUHK; Rongmao Zhang, Zhejiang University; Chun Yip Yau, CUHK
  • A Statistical Model of the Global Carbon Budget
    Eric Hillebrand, Aarhus University
    Co-Authors:  Mikkel Bennedsen, Aarhus University; Siem Jan Koopman, Vrije Universiteit Amsterdam
  • Expecting the Unexpected: Economic Growth in Stress
    Esther Ruiz, Universidad Carlos III de Madrid
    Co-Authors:  Gloria Gonzalez-Rivera, University of California, Riverside; Vladimir Rodriguez-Caballero, ITAM Mexico, and CREATES, Aarhus University
  • Modeling and Decoupling Systemic Risk into Endopathic and Exopathic Competing Risks
    Zhengjun Zhang, University of Wisconsin
    Co-Authors:  Jingyu Ji and Deyuan Li, Fudan University

Breakout Room 4: Mixed Frequency Time Series, News and Finance
Erdemlioglu, Kindberg-Hanlon, Paccagnini, Schwenkler, Yang
SESSION MODERATOR:  Brian King, Rice University

• • News-Driven Systemic Tail Risk at High Frequency
    Deniz Erdemlioglu, IÉSEG School of Management
    Co-Authors:  Christopher J. Neely, Federal Reserve Bank of St. Louis; Xiye Yang, Rutgers University
  • Variance Maximizing Identification and the Plague of Confounding Shocks
    Gene Kindberg-Hanlon, World Bank
    Co-Authors:  Alistair Dieppe, European Central Bank; Neville Francis, University of North Carolina, Chapel Hill
  • Identifying High-Frequency Shocks with Bayesian Mixed-Frequency VARs
    Alessia Paccagnini, University College Dublin
    Co-Author:  Fabio Parla, Central Bank of Ireland
  • News-Driven Co-Movement in Crypto Markets
    Gustavo Schwenkler, Santa Clara University
    Co-Author:  Hanna Zheng, Fidelity Investments
  • An Effective Test for Stationarity for Small Sample Time Series
    Junho Yang, Academia Sinica
    Co-Author:  Alex Coulter, Texas A&M University

Saturday, Oct. 16
12:45 – 2:15 pm (CDT U.S. and Canada, or UTC/GMT-5)

Breakout Room 1: Machine Learning in Finance
Jackson, Li, Pelger, Wang, Zanotti
SESSION MODERATOR:  Nalini Ravishanker, University of Connecticut

• • Deep Learning in Asset Pricing
    Markus Pelger, Stanford University
    Co-Authors:  Luyang Chen and Jason Zhu, Stanford University
  • Forecasting Daily Returns of American Index Future Contracts via Wavelets Thresholding & Recurrent Neural Networks
    Michael Jackson, Rice University
    Co-Authors:  Katherine Ensor and Yifan Zhang, Rice University
  • Forecasting Realized Volatility: An Automatic System Using Many Features and Machine Learning Algorithms
    Sophia Zhengzi Li, Rutgers University
    Co-Author:  Yushan Tang, Rutgers University
  • A Generalized Machine Learning Framework for Linear Factor Model Test
    Junbo Wang, Louisiana State University
    Co-Authors:  Christopher Jones and Jinchi Lv, University of Southern California;
    Kuntara Pukthuanthong, University of Missouri
  • Deep Learning Statistical Arbitrage
    Greg Zanotti, Stanford University
    Co-Authors:  Jorge Guijarro-Ordonez and Markus Pelger, Stanford University

Breakout Room 2: Multivariate and Adaptive Time Series
Bae, Karmakar, Kim, Wu, Zadrozny
SESSION MODERATOR: Daniel Kowal, Rice University

• • Factor-Augmented Forecasting in Big Data
    Juhee Bae, University of Glasgow
  • Trend and Variance Adaptive Bayesian Changepoint Analysis & Local Outlier Scoring
    Haoxuan Wu, Cornell University
    Co-Author:  David S. Matteson, Cornell University
  • Long-term prediction intervals with many covariates
    Sayar Karmakar, University of Florida
    Co-Authors:  Marek Chudy, University of Vienna, Erste Group; Wei Biao Wu, University of Chicago
  • Simultaneous Inference of a Partially Linear Model in Time Series
    Kun Ho Kim, Yeshiva University
    Co-Authors:  Likai Chen and Tianwei Zhou, Washington University, St Louis
  • Linear Identification of Linear Rational Expectations Models with Exogenous Variables
    Peter Zadrozny, Bureau of Labor Statistics

Breakout Room 3: Interlinked Economies to Monetary Policy
Cascaldi-Garcia, Hubrich, Nandi, Sekhposyan, Yu,
SESSION MODERATOR: Junhyeon Kwon, University of Houston

• • Nowcasting from Cross-Sectionally Dependent Panels
    Shaoni Nandi, King’s College London
  • The Transmission of Financial Shocks and Leverage of Banks: An Endogenous Regime Switching Framework
    Kirstin Hubrich, Federal Reserve Board
    Co-Author:  Daniel Waggoner, Federal Reserve Bank of Atlanta
  • Networking the Yield Curve: Implications for Monetary Policy
    Tatevik Sekhposyan, Texas A&M University
    Co-Authors:  Tatjana Dahlhaus, Bank of Canada; Julia Schaumburg, Vrije Universiteit Amsterdam
  • Dynamic Matrix Factor Model
    Ruofan Yu, Rutgers University
    Yuefeng Han, Rong Chen, Han Xiao, Rutgers University
  • Back to the Present: Learning about the Euro Area through a Now-casting Model
    Danilo Cascaldi-Garcia, Federal Reserve Board
    Co-Authors: Thiago R.T. Ferreira and Michele Modugno, Federal Reserve Board; Domenico Giannone, Amazon.com

Breakout Room 4: Advances in Time Series Methodology
de Wit, Jin, Jurado, McElroy, Zhong
SESSION MODERATOR:  John Zito, Rice University

• • The Block-Autoregressive Model in Non-Standard Bases
    Karel de Wit, Erasmus University Rotterdam
    Maria Grith and Dick van Dijk, Erasmus University Rotterdam
  • A Bootstrap Assisted Second-Order Stationarity Test for Nonlinear Time Series
    Lei Jin, Texas A&M University, Corpus Christi
    Co-Author:  Suojin Wang, Texas A&M University
  • Rational Inattention in the Frequency Domain
    Kyle Jurado, Duke University
  • Polyspectral Factorization and Prediction for Quadratic Processes
    Tucker McElroy, U.S. Census Bureau
  • Nonlinear Dynamic Factor Models
    Molin Zhong, Federal Reserve Board
    Co-Authors:  Pablo Guerron-Quintana and Alexey Khazanov, Boston College