October 19, 2017
October 20, 2017
Brussels
Hilton Brussels City Hotel
![](http://cdn.uclouvain.be/styles/full_content/groups/cms-editors-core/events/2017-2018/highlight-bauwensconf.jpg?itok=RhfBoiPP)
Together with LFIN and UNamur, we are organizing a conference to celebrate Prof. Luc Bauwens contributions to econometrics and CORE. The event will be held at the Hilton Brussels City Hotel on October 19-20, and will reunite Prof. Bauwens's former PhD students, co-authors, colleagues and friends. We aim at covering all important topics of Prof. Bauwens's long career, including Bayesian and financial econometrics.
Keynote Speakers
- Eric Ghysels, University of North Carolina, Chapel Hill
- Eric Renault, Brown University
- Herman Van Dijk, Erasmus University Rotterdam
- Jean-Michel Zakoian, CREST, ENSAE
Program
Download the program (updated Oct. 12).
October 19, 2017
14:00-16:00 Bayesian Econometrics and VAR Models
14:00 Keynote Lecture > Herman van Dijk (Erasmus University Rotterdam)
Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank
14:45 Christiane Baumeister (University of Notre Dame)
Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks
15:10 Jeroen Rombouts (ESSEC Business School)
Sparse Change-point VAR Models
15:35 Arnaud Dufays (Université Laval)
Modelling Time-varying Parameters Using Artificial Neural Networks: A GARCH Illustration
16:00-16:30 Coffee Break
16:30 Joachim Grammig (Universität Tübingen)
Empirical Asset Pricing with Multi-Period Disasters and Partial Government Defaults
16:55 Sébastien Laurent (Institut Universitaire de France)
Estimation of Realized Betas in a Multi-factor Model in Presence of Noise and Asynchronisity
17:20 Kris Boudt (Vrije Universiteit Brussel)
The Minimum Regularized Covariance Determinant Estimator
17:45 David Veredas (Vlerick Business School)
Flexible multivariate Hill Estimators
19:00 Conference Dinner (for paying participants, speakers & organizers)
October 20, 2017
9:00 Keynote Lecture > Jean-Michel Zakoian (CREST)
Estimation Risk for the VaR of Portfolios Driven by Semi-parametric Multivariate Models
9:45 Genaro Succarat (BI Norwegian Business School)
Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
10:10 Juan Pablo Ortega (CNRS and University of St. Gallen)
Option Pricing and Hedging With One-step Kalman Filtered Factors in Non-affine Stochastic Volatility Models
10:35-11:00 Coffee break
11:00 Keynote Lecture > Eric Ghysels (University of North Carolina – Chapell Hill)
Liquidity and Volatility in the US Treasury Market: Evidence from a New Class of Dynamic Order Book Models
11:45 Giuseppe Storti (Università degli Studi di Salerno)
Time Varying Heteroskedastic Realized GARCH Models for Tracking Measurement Error Bias in Volatility Forecasting
12:10 Alvaro Escribano (U. Carlos III de Madrid)
Score-driven Non-linear Multivariate Dynamic Location Models
12:35-14:00 Lunch
14:00 Keynote Lecture > Eric Renault (Brown University)
Indirect Inference With(Out) Constraints
14:45 Geert Dhaene (KU Leuven)
Polynomial Shrinkage of Large-dimensional Covariance Matrices
15:10 Yukai Yang (Uppsala University)
State-Space Models on Stiefel Manifold: Specification and Estimation
15:35 Olivier Scaillet (GFRI, Université de Genève)
Saddlepoint Techniques for Spatial Panel Data Models
16:00-16:30 Concluding words of Philippe Chevalier, President of CORE
16:30 Coffee and end of conference
Practical Information
Registration
Registration is closed.
Fees
- UCLouvain & UNamur members: free
- Other participants (national or international): €100
Venue
Hilton Brussels City
Place Charles Rogier 20, 1210 Brussels
Accomodation
We have a negotiated rate with hotel Villa Royale at the price of €89.24/night (breakfast & city tax incl.) IF booking before September 15, 2017.
Organizing and Scientific Committee
- Sophie Béreau, Université de Namur et Université catholique de Louvain
- Pierre Giot, Université de Namur
- Christian Hafner, Université catholique de Louvain
- Léonardo Iania, Université catholique de Louvain
- Jeroen Rombouts, ESSEC Business School