Conferences and Symposia 2009

10 March - the Danish National Research Foundation
Annual Meeting with the board of the Danish National Research Foundation.
Program and participants

10 March - Mini Workshop "Cointegration, Fractional Processes, and Long Memory"
Speakers:
Javier Hualde, University of Navarra: Consistent Estimation of Cointegration Subspaces
Joerg Breitung, University of Bonn: Testing for Cointegration in High-Dimensional Systems
Kasia Lasak, CREATES: Some remarks on nonparametric cointegration analysis
Søren Johansen, Copenhagen + CREATES : Likelihood Inference for a Vector Autoregressive Model which allows for Fractional and Cofractional Processes
Gilles Teyssiere, CREATES: Increment Ratio Statistic for Long Range Dependence and Unit Root
Program and participants

2-3 June - Symposium "Dynamic Asset Allocation"
Organizers: Tom Engsted, Olaf Posch, Thomas Quistgaard Pedersen, Claus Munk and Charlotte Christiansen.
Speakers:
Anthony W. Lynch, Stern School of Business, New York University: Labor income dynamics at business-cycle frequencies: Implications for portfolio choice
Claus Munk, Aarhus University: Investment, income, and incompleteness
Allan Timmermann, Rady School of Management, University of California at San Diego and CREATES: Risky arbitrage strategies: Optimal portfolio choice and economic implications
Ralph S.J. Koijen, Booth School of Business, University of Chicago: The cross-section of managerial ability and risk preferences
Nicole Branger, University of Muenster: Asset allocation in SVCJ models: How much does model choice matter?
Peter Schotman, Maastricht University: Strategic asset allocation for long-term investors: Parameter uncertainty and prior information
Marcel Marekwica, Copenhagen Business School: Heuristic portfolio trading rules with capital gain taxes
Thomas Q. Pedersen, CREATES, Aarhus University: Intertemporal asset allocation with habit formation in preferences: An approximate analytical solution
Program and participants

4-6 June - CREATES-Stevanovich Center Conference, Skagen
Financial Econometrics and Statistics: Current Themes and New Directions.
The conference is for invited speakers only and is a collaboration between CREATES and the Stevanovich Center, at the University of Chicago.
Participation by invitation only.
Program and participants

21-23 August - Conference, Hotel Koldingfjord
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series
See program
See news (in Danish)

2 October - Mini workshop "Stationary and Non-stationary VAR models"
Speakers:
Peter Boswijk, University of Amsterdam: Nuisance parameter free inference on cointegration parameters in the presence of a variance shift
Rocco Mosconi, Politecnico de Milano: Identification of multi-cointegrating relations in vector Autoregressive models
Paolo Paruolo, University of Insubria: A Beveridge-Nelson type decomposition for stationary VARs
See program

18-19 December
EC2-conference, Aarhus University: Real Time Econometrics.
Program chair, Peter R. Hansen, Stanford University and CREATES.
Local organizing committee, Asger Lunde, Tom Engsted and Niels Haldrup.


Conference website