Virtual Time Series Seminar

Thursdays @ 4pm (London time)

The goal of the Virtual Time Series Seminars is to advance all branches of time series analysis. The seminar provides a forum for researchers to present their work to a broad academic and professional audience.

Each seminar lasts for 60 minutes, followed by an informal discussion.

To join the seminar, please register on Zoom here (the passcode is vtss). Participants only need to register once to gain access to the entire series of seminars. To have the link resent to you, please register again.

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Spring 2024

1 February, Almut Veraart (Imperial), Nonparametric Estimation of Trawl Processes: Theory and Applications. Guest Panellist: Orimar Sauri (Aalborg University). Video

8 February, Kostas Fokianos (Cyprus), Auto-Distance Covariance Function for Time Series Analysis. Guest Panellist: Adam Sykulski (Imperial). Video

22 February, Barbara Rossi (UPF). Has the Phillips curve flattened? Guest Panellists: Domenico Giannone (IMF) and Jesus Gonzalo (Carlos III).

29 February, Allan Timmermann (UCSD), Forecasting with panel data: Estimation uncertainty versus parameter heterogeneity. Guest Panelist: Giovanni Urga (Bayes). Video

14 March, Bent Nielsen (Oxford), Asymptotic Properties of the Gauge and Power of Step-Indicator Saturation. Guest Panellist: Jennifer Castle (Oxford). Video

28 March, Siem Jan Koopman (VU Amsterdam), The Extremum Monte Carlo Filter for Nonlinear Non-Gaussian State Space Models. Guest Panellist: Drew Creal (Notre Dame). Video

4 April, Mihai Cucuringu (Oxford), Graph Clustering and Ranking for Multivariate Time Series with Applications to Statistical Arbitrage and Lead-Lag Detection. Guest Panellist: Alex Shestopaloff (Queen Mary).

11 April, Andrew Patton (Duke). Bespoke Realized Volatility: Tailored Measure of Risk for Volatility Prediction. Guest Panellist: Nikolaus Hautsch (Vienna). Video

18 April, Virtual Workshop for Junior Researchers in Time Series

Autumn 2023

14 September, Alexander Aue (UC Davis), Random Matrix Theory for High-dimensional Time Series. Guest Panellist: Alexei Onatski (Cambridge). Video

21 September, Andrii Babii (UNC), Tensor Principal Component Analysis. Guest Panellists: Yao Zheng (Connecticut) and Mirco Rubin (EDHEC). Video

28 September, Matteo Barigozzi (Bologna), FNETS: Factor-adjusted Network Estimation and Forecasting for High-dimensional Time Series. Guest Panellist: Esther Ruiz (UC3M). Video

5 October, Ed Herbst (Fed Board), Bias in Local Projections. Guest Panellist: Giuseppe Ragusa (Sapienza). Video

12 October, Eric Eisenstat (Queensland), Singular Vector Autoregressions. Guest Panellist: Peter Zadrozny (Bureau of Labor Statistics). Video

19 October, Christian Brownlees (UPF), Empirical Risk Minimization for Principal Component Regression. Guest Panellist: Jonas Striaukas (Copenhagen Business School). Video

26 October, Paul Ho (Richmond Fed), Averaging Impulse Responses Using Prediction Pools. Guest Panellist: Gianni Amisano (FED Board). Video

2 November, Marie-Christine Düker (Friedrich-Alexander), Testing for Common Structures in High-Dimensional Factor Models. Guest Panellist: Younghoon Kim (Cornell). Video

9 November, Daniel Lewis (UCL), A Robust Test for Weak Instruments with Multiple Endogenous Regressors. Guest Panellist: Frank Windmeijer (Oxford). Video

16 November, Otilia Boldea (Tilburg), Bootstrapping GMM tests for an Unknown Threshold. Guest Panellist: Jean-Yves Pitarakis (Southampton). Video

23 November, Karim Abadir (Imperial), Explicit Minimal Representation of Variance Matrices, and its Implication for Dynamic Volatility Models. Guest Panellist: Christian Conrad (Heidelberg). Video

30 November, Stephan Smeekes (Maastricht), Inference in Non-stationary High-Dimensional VARs. Guest Panellist: Giuseppe Cavaliere (Bologna & Exeter). Video

7 December, Yoosoon Chang (Indiana), Unravelling Dynamic Interactions of Economic Activity and Climate Change. Guest Panellist: Mikkel Plagborg-Moller (Princeton). Video