Symposium on Long Memory 2013

Wedneday - June 26, 2013

12:00-13:00

Lunch (Building K)

 

13:00-15:00

Session I (Session chair: Niels Haldrup)

  1. Søren Johansen

The role of initial values in nonstationary fractional time series models

with Nielsen, M. Ø.

 

  1. Federico Carlini

On the identification of fractionally cointegrated VAR models with the F(d) condition

with Santucci di Magistris, P.

 

  1. Andreas N. Jensen

A fast fractional difference algorithm

with Nielsen, M. Ø.

 

15:00-15:30

Coffee break

 

15:30-17:30

Session II (Session chair: Paolo Santucci di Magistris)

  1. Javier Hualde

Conditional maximum likelihood estimation of fractional time series models with deterministic trends

with Nielsen, M. Ø.

 

  1. Rolf Tschernig

Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation

with Weber, E. and Weigand, R.

 

  1. Katarzyna Lasak

Likelihood Inference for Fractional Systems

 


Thursday - June 27, 2013

09:00-10:20

Session III (Session chair: Daniela Osterrieder)

  1. Robert Taylor

Bootstrap Fractional Integration Tests in Heteroskedastic ARFIMA Models

with Nielsen, M. Ø. and Cavaliere, G.

 

  1. Uwe Hassler

Quantile Regression for Long Memory Testing: A Case of Realized Volatility

with Rubia, A. and Rodrigues, P.

 

10:20-10:50

Coffee break

 

10:50-12:10

Session IV (Session chair: Morten Ø. Nielsen)

  1. Remigijus Leipus

Long memory and aggregation of autoregressive random fields

 

  1. Liudas Giraitis

Studentizing weighted sums of linear processes

with Dalla, V. and Koul, H.

 

12:10-13:15

Lunch (Building K)

 

13:15-14:35

Session V (Session chair: Paolo Santucci di Magistris)

  1. Rasmus Varneskov

The Information Content of Realized Volatility Forecasts

with Andersen, T. G., Frederiksen, P., and Nielsen, F. S.

 

  1. James Davidson

Modelling the Interactions in paleoclimate data from Ice cores

 

14:35-15:05

Coffee break

 

15:05-16:25

Session VI (Session chair: Niels Haldrup)

  1. Peter Robinson

Inference on Nonstationary Time Series with Moving Mean

with Gao, J.

 

  1. Paolo Santucci di Magistris

Testing for shifts in a long memory framework: a state-space approach

with Grassi, Stefano

 

17:00-18:45

Visit to AROS art museum (en.aros.dk)

 

19:00

Dinner at Restaurant Miró (https://mirovin.dk/)

 

Friday - June 28, 2013

09:00-10:20

Session VII (Session chair: Morten Ø. Nielsen)

  1. Carlos Velasco

Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence

with Ergemen, Y. E.

 

  1. Matei Demetrescu

Single-Equation Error-Correction Testing and Weak Exogeneity: The case of fractional cointegration

 

 

 

10:20-10:50

Coffee break

 

10:50-12:10

Session VIII (Session chair: Daniela Osterrieder)

  1. Peter Boswijk

Inference on Cointegration Parameters in Vector Autoregressions with Non-Stationary Volatility

with Cavaliere, G., Rahbek, A., and Taylor, R.

 

  1. Philipp Sibbertsen

Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility

with Demetrescu, M.

 

12:10

Lunch (Building L)