ESRC Virtual Workshop on Predictability, Forecasting and Monitoring

The Essex Centre for Macro and Financial Econometrics (ECMFE) is holding a virtual workshop over three (12-14 July 2021) days on Predictability, Forecasting and Monitoring.  Speakers include Barbara Rossi, Todd Clark and Allan Timmermann.  All sessions are at 16:00-18:00 BST (starting 17:00 CEST, 11:00 EST, 08:00 PDT).  

The full programme is at https://www.essex.ac.uk/events/2021/07/12/esrc-virtual-workshop-on-predictability-forecasting-and-monitoring 

Registration is free through this link:  https://www.eventbrite.co.uk/e/esrc-virtual-workshop-on-predictability-forecasting-and-monitoring-tickets-151629886071

Programme

12th July (BST ): Session 1

4:00pm - 4:05pm: Welcome and Introduction
Organisers: Robert Taylor, Simon Price and Yuqian Zhao

4:05pm - 5:00pm: “Monitoring and Comparing Forecasting Performance with Panel Data”
Speaker: Allan Timmermann (UC San Diego)
(joint with Yinchu Zhu)

5:00pm - 6:00pm: “Forecasting with Shadow rate VARs”
Speaker: Todd Clark,(Federal Reserve Bank of Cleveland)

13th July (BST): Session 2

4:00pm - 5:00pm : On Local Projection Based Inference
Speaker: Ke Li Xu (Indiana University)

5:00pm - 6:00pm : “Extensions to IVX Methods of Inference for Return Predictability”
Speaker: Robert Taylor, (Essex Business School)
(joint with Matei Demetrescu, Iliyan Georgiev and Paulo Rodrigues)

14th July (BST ): Session 3

4:00pm - 5:00pm : Censored Density Forecasts: Production and Evaluation
Speaker: James Mitchell, (Federal Reserve Bank of Cleveland)
(Joint with Martin Weale)

5:00pm - 6:00pm: The 8 th Annual John C. Nankervis Memorial Lecture
Speaker: Barbara Rossi (CREI, Univ. Pompeu Fabra)

The Essex Centre for Macro and Financial Econometrics (ECMFE) is a joint venture between Essex Business School and the Department of Economics and brings together academics and industry expertise from both inside and outside the University of Essex to research and help solve important issues in macroeconomics and financial markets.

This is an EBS ECMFE and MMF event. The organisers are grateful to the Economic and Social Research Council of the United Kingdom for their funding of this workshop under the research grant ES/R 00496 X/ 1