Workshop "Recent Advances in Econometrics"

June 02, 2023

09:00 - 18:00

CORE - Room B-135

The workshop gathers internationally renowned econometricians to promote and inspire research in econometrics and adjacent fields at UCLouvain. The topics cover econometric and statistical theory and methodology with a wide range of applications in economics and finance.

Research in econometrics at UCLouvain has suffered in previous years, not the least due to the Covid crisis. The emergence of data science as a new discipline inspires us to rethink and perhaps redefine the position of econometrics and econometricians in teaching and research.

The main part of the program includes twelve scientific presentations of invited speakers. The workshop is open to everyone, but registration is mandatory.

If you want to register to this event please send a mail to before 25 May 2023


Friday, June 2, 2023

Room: UCLouvain, CORE B.-135

9:00-9:30: Gilles Mordant
Center-Outward Multiple-Output Lorenz Curves and Gini Indices: a measure transportation approach

9:30-10:00: Jozef Barunik
The Dynamic Persistence of Economic Shocks

10:00-10:30: Geert Dhaene
Approximate Functional Differencing

coffee break

11:00-11:30: Nikolaus Hautsch
Estimation risk for systemic risk measures driven by semi-parametric models

11:30-12:00: Edoardo Otranto
Realized Covariance Models with Time-varying Parameters and Spillover Effects

lunch break

14:00-14:30: Roman Liesenfeld
A TVP Model with Bayesian Shrinkage for Global Minimum Variance Portfolio Prediction

14:30-15:00: Arnaud Dufays
Linking Frequentist and Bayesian Change-Point Methods

15:00-15:30: Jeroen Rombouts
Factor Dynamics, Risk Premia, and Higher Moments in Multi-Factor Option Pricing Models

coffee break

16:00-16:30: Ines Wilms
Monitoring Machine Learning Forecasts for Platform Data Streams

16:30-17:00: Frantisek Cech
Quantile Treasury Futures Pricing

17:00 - 17:30: Piet Sercu
Efficient Y-indices for Regressions with an Application of Covid's Impact on Stock-market Liquidity