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Heavy-Tails and Robust Estimation in Economics and Finance

Heavy-Tails and Robust Estimation in Economics and Finance

Heavy-Tails and Robust Estimation in Economics and Finance will be held on May 24 and 25 at the Nova School of Business and Economics in Carcavelos, Portugal.

Many of the methods of analysis in finance and economics developed over the past decades rest upon the assumption that the data is normally distributed. But this assumption is frequently not empirically supported. Frequently it is found that data exhibit, among other things, excess kurtosis, i.e. heavy tails. Hence, the need arises to carefully re-examine the distributional features of many financial variables and to move away from the normality assumption in the direction of distributions with heavier tails. These results motivate the development and applications of robust inference approaches under heavy tails, heterogeneity, and dependence in observations.
The objective of this conference is to discuss recent econometric developments which address important features typically found in economic and financial data.

Conference Program


Tuesday, May 24, 2022

9:15 – 9:30

Session 1

9:30 – 10:00
Panel Cointegration Bounds Testing with Common Factors

Anindya Banerjee (University of Birmingham) and Josep Lluis Carrion Silvestre (University of Barcelona)

10:00 – 10:30
Testing for the Cointegration Rank between Periodically Integrated Processes

Tomás del Barrio Castro (University of the Balearic Islands)

10:30 – 11:00
Exploring the Links between Energy and Growth in Europe: Panel cointegration analysis with useful exergy for EU-15 countries.

João Santos (Universidade de Lisboa)

11:00 – 11:30
Coffee Break

Session 2

11:30 – 12:00
Tests for Equal Forecast Accuracy Under Heteroskedasticity

David I. Harvey (University of Nottingham), Stephen J. Leybourne (University of Nottingham) and Yang Zu (University of Nottingham)

12:00 – 12:30
Forecasting House Prices under Real Estate Bubbles

Nuno Sobreira (Universidade de Lisboa)

12:30 – 13:00
Score-driven Threshold Ice-age Models: Benchmark Models for Long-run Climate Forecasts

Szabolcs Blazsek (Universidad Francisco Marroquín) and Alvaro Escribano (Department of Economics, Universidad Carlos III de Madrid)

13:00 – 14:30

Session 3

14:30 – 15:00
Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies

Martin Bruns (University of East Anglia) and Helmut Luetkepohl (DIW Berlin and Freie Universitaet Berlin)

15:00 – 15:30
Is U.S. Real Output Growth really Non-normal? Testing Distributional Assumptions in Time-varying Location-scale Models

Kruse-Becher, Yves Robinson (FernUniversität in Hagen) and Matei Demetrescu (University of Dortmund)

15:30 – 16:00
Structural Breaks and Instabilities at the end of Sample

Josep Lluis Carrion Silvestre (University of Barcelona) and Dukpa Kim (University of Virginia)

16:00 – 16:30
Coffee Break

Session 4

16:30 – 17:00
Economic Policy Before and During the Covid-19 Uncertainty and Non-performing Loans in the Euro Area

Veton Zeqiraj (University of Prishtina)

17:00 – 17:30
Firm Size, Volatility, and Business Cycles

Carlos Daniel Rodrigues A. Santos (ISEG – Universidade de Lisboa)

Wednesday, May 25, 2022

Session 5

9:30 – 10:00
Manipulating Evidence Subject to Snooping (MESS)

Uwe Hassler (Goethe University Frankfurt)

10:00 – 10:30
Inference in Heavy-Tailed Non-stationary Multivariate Time Series

Lorenzo Trapani (University of Nottingham), Matteo Barigozzi (University of Bologna) and Giuseppe Cavaliere (University of Bologna)

10:30 – 11:00
Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series

Philipp Sibbertsen (University of Hannover)

11:00 – 11:30
Coffee Break

Session 6

11:30 – 12:00
Investigating the Impact of Consumption Distribution on CRRA Dstimation: Quantile-CCAPM-based Approach?

Sofia B. Ramos (ESSEC Business School), Abderrahim Taamouti (University of Liverpool), Helena Veiga (Universidad Carlos III de Madrid)

12:00 – 12:30
In Search of Sparsity: A Bayesian Exploration  of the Factor Zoo.

Fahiz Baba-Yara and Robert Hill (Nova SBE – Universidade Nova de Lisboa)

12:30 – 13:00
First Passage Times in Portfolio Optimization: a Novel Nonparametric Approach

Gabriel Zsurkis (Banco de Portugal), João Nicolau (ISEG-Universidade de Lisboa and CEMAPRE) and Paulo M. M. Rodrigues (Banco de Portugal and Nova SBE)

13:00 – 14:30