Friday, October 15
(Central Daylight Time U.S. and Canada, or UTC/GMT-5)
8:00 – 8:15 am Introduction and Opening Remarks
Katherine Ensor, Noah G. Harding Professor of Statistics, Rice University
Session I: Inflation, Geopolitical Risk and Causal Dependence in Climate, 30 min lectures
SESSION CHAIR: Robin Sickles, Reginald Henry Hargrove Chair of Economics and Professor of Statistics Emeritus, Rice University
8:15 – 8:45 am Francis Diebold, Paul F. and Warren S. Miller Professor of Economics, Professor of Finance and Statistics, University of Pennsylvania
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
8:45 – 9:15 am Robert Engle, Michael Armellino Professor of Management and Financial Services, Stern School of Business, New York University
Measuring and Hedging Geopolitical Risk
9:15 – 9:45 am Granville Tunnicliffe-Wilson, Reader Emeritus of Mathematics and Statistics, University of Lancaster
A Gaussian Process Model for Causal Dependence Between Irregularly Observed Climate Variables
9:45 – 10:00 am Breakout Sessions, one for each speaker
Session II: Time Varying Methods, 30 min lectures
SESSION CHAIR: Xun Tang, Henry S. Fox Sr. Chair and Professor of Economics, Rice University
10:00 – 10:30 am Jiti Gao, Professor & Donald Cochrane Chair of Business Economics, Professor of Econometrics & Business Statistics, Monash University
A Class of New Time Varying Models for Multivariate Time Series
10:30 – 11:00 am Andrew Harvey, Emeritus Professor of Econometrics, University of Cambridge
Regime Switching Models for Directional and Linear Observations
11:00 – 11:30 am Lutz Kilian, Senior Economic Policy Adviser, Federal Reserve Bank of Dallas
Joint Bayesian Inference About Impulse Responses in VAR Models
11:30 – 11:45 am Breakout Sessions, one for each speaker
11:45 am – 1:15 pm Virtual Poster discussion with networking Lunch
SESSION CHAIRS: Serena Ng, Columbia University; Michael Weylandt, Rice University; Robin Sickles, Rice University; Brian King, Rice University
Preview posters prior to the conference here
Session III: High Dimensional Time Series, 30 min lectures
SESSION CHAIR: Scott Holan, Professor of Statistics, University of Missouri; Senior Research Fellow, U.S. Census Bureau
1:15 – 1:45 pm Hedibert Lopes, Professor of Statistics and Econometrics, INSPER Institute of Education and Research
Dynamic Ordering Learning in Multivariate Forecasting
1:45 – 2:15 pm Suhasini Subba Rao, Professor of Statistics, Texas A&M University
Graphical Models for Nonstationary Time Series
2:15 – 2:45 pm Di Wang, Postdoctoral Principal Researcher, Booth School of Business, University of Chicago
Robust Estimation of High-Dimensional Vector Autoregressive Models
2:45 – 3:00 pm Breakout Sessions, one for each speaker
3:00 – 3:15 pm Closing Remarks
Saturday, October 16
(Central Daylight Time U.S. and Canada, or UTC/GMT-5)
9:00 – 9:15 am Introduction and Opening Remarks
Session IV: Count Time Series and IoT, 30 min lectures
SESSION CHAIR: Nalini Ravishanker, Professor of Statistics, University of Connecticut
9:15 – 9:45 am Mirko Armillotta, Postdoctoral Researcher, Department of Mathematics & Statistics and IRIDA Research Centre, University of Cyprus
Poisson Network Autoregression
9:45 – 10:15 am Daniel Kowal, Dobelman Family Assistant Professor of Statistics, Rice University
Warped Dynamic Linear Models for Time Series of Counts
10:15 – 10:45 am Chunming Zhang, Professor of Statistics, University of Wisconsin
Maximum Independent Component Analysis for Non-Linear Time Series Data with Application to EEG Data
10:45 – 11:00 am Breakout Sessions, one for each speaker
Session V: Projections, Forecasts and Causal Inference, 30 min lectures
SESSION CHAIR: Richard Davis, Howard Levene Professor of Statistics, Columbia University
11:00 – 11:30 am Mikkel Plagborg-Moller, Assistant Professor of Economics, Princeton University
Local Projections vs. VARs: Lessons from Thousands of DGPs
11:30 am – 12:00 pm Andrew Martinez, Economist, Office of Macroeconomic Analysis, U.S. Department of Treasury
Testing for Differences in Hurricane Path Forecast Accuracy
12:00 – 12:30 pm Ruoxuan Xiong, Assistant Professor of Quantitative Theory & Methods, Emory University
Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference
12:30 – 12:45 pm Breakout Sessions, one for each speaker
12:45 – 2:15 pm Virtual Poster discussion with networking Lunch
SESSION CHAIRS: Nalini Ravishanker, University of Connecticut; Daniel Kowal, Rice University; John Zito, Rice University; Junhyeon Kwon, University of Houston
Preview posters prior to the conference here
Session VI: Financial Time Series, 30 min lectures
SESSION CHAIR: Mohsen Pourahmadi, Professor of Statistics, Texas A&M University
2:15 – 2:45 pm Viktor Todorov, Harold H. Hines Jr. Professor of Risk Management, Northwestern University
Intraday Volatility Curves
2:45 – 3:15 pm Sumanta Basu, Assistant Professor of Statistics and Data Science, Cornell University
Learning Financial Networks with Graphical Models of Time Series Data
3:15 – 3:45 pm Tze Leung Lai, Ray Lyman Wilbur Professor of Statistics, Stanford University
Recent Advances in Markov Chain Monte Carlo, Decoupling Inequalities, Gradient Boosting, Causal Inference, Portfolio Optimization with Risk Measure Constraints, and Their Applications to Dynamic Factor Models