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The Granger Centre for Time Series Econometrics

Seminars 2021/2022

Granger Centre Seminar: Giuseppe Cavaliere (University of Bologna)

Date: 30 September 2021 (11:30-13:00)
Location:: Zoom
Description: Bootstrap inference for Hawkes and general points processes

Granger Centre Seminar: Shuping Shi (Macquarie University)

Date: 07 October 2021 (11:00-12:30)
Location:: Zoom
Description: Realized drift

Cancelled Granger Centre Seminar: Luca Fanelli (University of Bologna)

Date: 14 October 2021 (10:30-12:00)
Location:: Zoom
Description: *Cancelled* An identificiation strategy for proxy-SVARs with weak proxies

Granger Centre Seminar: Stephan Smeekes (University of Maastricht)

Date: 21 October 2021 (12:30-14:00)
Location:: Zoom
Description: Lasso inference for high-dimensional time series

Granger Centre Seminar: Christian Francq (ENSAE)

Date: 04 November 2021 (12:30-14:00)
Location:: Zoom
Description: Testing the existence of moments and estimating the tail index of Augmented GARCH processes

Granger Centre Seminar: Xinbing Kong (Soochow University)

Date: 11 November 2021 (10:30-12:00)
Location:: Zoom
Description: Projected estimation for large-dimensional matrix factor models

Granger Centre Seminar: Yong Song (University of Melbourne)

Date: 18 November 2021 (10:00-11:30)
Location:: Zoom
Description: Identification and forecasting of bull and bear markets using multivariate returns

Granger Centre Seminar: Andros Kourtellos (University of Cyprus)

Date: 25 November 2021 (12:30-14:00)
Location:: Zoom
Description: Threshold spatial Durbin model

Granger Centre Seminar: George Kapetanios (King's College London)

Date: 02 December 2021 (12:30-14:00)
Location:: Zoom
Description: High dimensional generalised least squares inference

Granger Centre Seminar: Olivier Scaillet (University of Geneva)

Date: 09 December 2021 (12:30-14:00)
Location:: Zoom
Description: A penalized two-pass regression to predict stock returns with time-varying risk premia

Granger Centre Seminar: Offer Lieberman (Bar-Ilan University)

Date: 09 December 2021 (12:30-14:00)
Location:: Zoom
Description: Inference in a spatial autoregressive model with an extended coefficient range and a similarity-based weight matrix

Granger Centre Seminar: Tassos Magdalinos (University of Southampton)

Date: 03 March 2022 (12:30-14:00)
Location:: A45 Sir Clive Granger Building
Description: Uniform and distribution-free inference with general autoregressive processes (A45, SCGB)

Granger Centre Seminar: Davide Pettenuzzo (Brandeis International Business School)

Date: 10 March 2022 (12:30-14:00)
Location:: Zoom
Description: Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model

Granger Centre Seminar: Jean-Michel Zakoian ( ENSAE)

Date: 17 March 2022 (14:00-15:30)
Location:: LG11 Trent Building
Description: Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models (LG11, Trent Building)

Granger Centre Seminar: Luca Fanelli (University' di Bologna

Date: 23 March 2022 (13:00-14:00)
Location:: Zoom
Description: An identification strategy for proxy-SVARs with weak proxies

Granger Centre Seminar: Marc Hallin (Universite Libre de Bruxelles)

Date: 31 March 2022 (14:00-15:00)
Location:: A42 Sir Clive Granger Building
Description: Factor Models for High-Dimensional Functional Time Series (A42, SCGB)

The Granger Centre for Time Series Econometrics

School of Economics
University of Nottingham
University Park
Nottingham, NG7 2RD

lorenzo.trapani@nottingham.ac.uk