NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.
SUMMER INSTITUTE 2000
NBER/NSF Forecasting Seminar
NBER EF & G Working Group on Empirical Methods in Macroeconomics
Francis Diebold and Kenneth West, Organizers
Royal Sonesta Hotel
5 Cambridge Parkway
Cambridge, Massachusetts
July 18-21, 2000
PRELIMINARY PROGRAM
TUESDAY, JULY 18:
8:00 AM Coffee and Doughnuts
VOLATILITY
8:30 AM JOHN MAHEU, University of Alberta
THOMAS MCCURDY, University of Toronto
Nonlinear Features of Realized FX Volatility
9:30 AM XUEZHENG BAI, University of Chicago
JEFFREY RUSSELL and GEORGE TIAO, University of Chicago
Beyond Merton's Utopia: Effects of Non-normality and
Dependence o the Precision of Variance Estimates Using
High-frequency Financial Data
10:30 AM Break
11:00 AM TIMOTHY BOLLERSLEV, Duke University and NBER
HAO ZHOU, Duke University
Estimating Stochastic Volatility Diffusions Using Conditional
Moments of Integrated Volatility
12:00 N SASSAN ALIZADEH, University of Pennsylvania
MICHAEL BRANDT, University of Pennsylvania and NBER
FRANCIS DIEBOLD, New York University and NBER
Range-Based Estimation of Stochastic Volatility Models
1:00 PM Lunch and Adjourn
SI00 EFDW Program
Page two
WEDNESDAY, JULY 19:
8:00 AM Coffee and Doughnuts
FORECASTING
8:30 AM JUSHAN BAI and SERENA NG, Boston College
Determining the Number of Factors in Approximate Factor Models
9:30 AM JAMES STOCK, Harvard University and NBER
MARK WATSON, Princeton University and NBER
Empirical Bayes Forecasts of One Time Series Using Many Predictors
10:30 AM Break
11:00 AM BLAKE LEBARON, Brandeis University and NBER
Technical Trading Profitability in Foreign Exchange Markets in the 1900's
12:00 N MICHAEL MCCRACKEN, Louisiana State University
Asymptotics for Out of Sample Tests of Causality
Tests of Equal Forecast Accuracy and Encompassing for Nested Models
1:00 PM Lunch and Adjourn
THURSDAY, JULY 20:
8:00 AM Coffee and Doughnuts
TERM STRUCTURE DYNAMICS
8:30 AM ANDREW JEFFREY, THONG NGUYEN and OLIVER LINTON, Yale University
Nonparametric Estimation of Single Factor Heath-Jarrow-Morton
Term Structure Models and a Test for Path Independence
9:30 AM ANDREW ANG, Columbia University
MONIKA PIAZZESI, Stanford University
A No-Arbitrage Vector Autoregression of Term Structure
Dynamics with Macroeconomic & Latent Variables
10:30 AM Break
11:00 AM MICHAEL BRANDT, University of Pennsylvania and NBER
AMIR YARON, University of Pennsylvania and NBER
Time-Consistent No-Arbitrage Models of the Term Structure
12:00 N Lunch and Adjourn
SI00 EFDW Program
page three
FRIDAY, JULY 21:
8:00 AM Coffee and Doughnuts
ESTIMATION OF CONTINUOUS-TIME MODELS
8:30 AM GARLAND DURHAM and RONALD GALLANT,
University of North Carolina at Chapel Hill
Numerical Techniques for Simulated Maximum Likelihood
Estimation of Stochastic Differential Equations
9:30 AM FEDERICO BANDI, University of Chicago
PETER PHILLIPS, Yale University
Accelerated Asymptotics for Diffusion Model Estimation
10:30 AM Break
11:00 AM GEORGE CHACKO, Harvard University
LUIS VICEIRA, Harvard University and NBER
Spectral GMM Estimation of Continuous-Time Processes
12:00 N Lunch and Adjourn
5/4/00