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

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

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