Ceiling-Martel Hall

Program

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

3:45 – 4:00 pm Breakout Sessions, one for each speaker
4:00 – 4:15 Closing Remarks