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Семинар ЦЭБА 💬

Спикер: Fabrizio Ghezzi (University of Pavia)

Время: 28 ноября (вторник), в 15.00 по МСК

Название: Fast Online Changepoint Detection

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in 1 hour

52 NES conference program external (1).pdf

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Семинар ЦЭБА 💬

Спикер: Dragana Radojicic (Assistant Professor, University of Belgrade, Faculty of Economics, Serbia)

Время: 5 декабря (вторник), в 15.00 по МСК

Название: Evaluating statistical characteristics and analyzing the GRU model of the Limit Order Book

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Семинар ЦЭБА 💬

Спикер: Josef Ruzicka (Assistant professor at Nazarbayev University)

Время: 30 января (вторник), в 15.00 по МСК

Название: Quantile Local Projections: Identification, Smooth Estimation, and Inference

Более подробная информация, ссылка на презентацию и на предстоящий семинар здесь.

Seminar in 5 min

Interesting conf at MSU in April: https://math-conf.msu.ru/

Good confs to take part

And two others:
Dear Rustam,

hope  you are well and  all is  fine.
Sending information about  some   conferences. They  are interesting
and  I  am planning to attend. Brunel   conference is  in London.
Maybe  some  of them will suit to  your  plans.

1  Brunel Univ
https://www.rcea.world/events/forthcoming-events/the-8th-rcea-time-series-econometrics-workshop

2  IAAE   conferences  (deadline  Febr 18)
Xiamen (China)  and  Thessaloniki

https://appliedeconometrics.org/iaae-annual-conference-2024-call-papers
 
3. Nonparametric  Stat  (Braga, Portugal)
https://w3.math.uminho.pt/ISNPS2024/programme.html#

Best  wishes,
Liudas

5 Mar 14:30 (1h)
1 conflict: All Staff Meeting
5 Mar 15:30 (2h)
3 conflicts: All Staff Meeting Lunch
The Econometric Society: FINAL Call for Papers, 2024 European Summer Meetings (ESEM)
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The Econometric Society

February 27, 2024 www.econometricsociety.org
FINAL CALL FOR PAPERS
DEADLINE FEBRUARY 29

2024 Econometric Society European Meetings
August 26-30, 2024
Erasmus University
Rotterdam, Netherlands

The 2024 Econometric Society European Meetings (ESEM2024) hosted by the Erasmus School of Economics will take place from August 26 to August 30, 2024, in Rotterdam, Netherlands.

Erasmus School of Economics is delighted to invite you to participate in the 76th European meeting of the Econometric Society and the 39th meeting of the European Economic Association (EEA).

Important Dates
Submissions open: January 12, 2024
Submissions close: February 29, 2024
Decisions announced: May 1, 2024
Registration for presenting authors opens: May 1, 2024
Registration deadline for presenting authors: May 16, 2024

Keynote speakers:
ES Presidential Address - Eliana La Ferrara (Harvard University)
Fischer-Schultz Lecture - Samuel Kortum (Yale University)
Jean Jacques Laffont Lecture - Hélène Rey (London Business School)

Hotelling Lectures in Economic Theory, Friday, August 30
Alberto Bisin (New York University)
The Hotelling Lectures are a series of three lectures that present an overview of a topic in which the lecturer has done significant research. Attendance is open to all members of the Society.

Invited Sessions
Tuesday, August 27
Spatial Economics: David Nagy (CREI) and Jonathan Dingel (Chicago Booth)
Labour/Development: Paula Gobbi (ULB) and Gabriel Ulyssea (UCL)

Wednesday, August 28
Finance: Motohiro Yogo (Princeton) and Victoria Vanasco (CREI)
Inequality Redistribution and Taxation: Andreas Fagereng (BI Norway) and Florian Scheuer (Zurich)

Thursday, August 29
Econometrics: Clément De Chaisemartin (Sciences Po) and Peter Hull (Brown)
Theory of Markets and Algorithms: Vasiliki Skreta (UCL/Texas) and Nicole Immorlica (Microsoft)

Lunch Session
Wednesday, August 28
“Replication Challenges in Economics and Econometrics”
Chair: Olivier Scaillet (UNIGE and SFI)
Joan Lull (UAB and BSE)
Maia Guell (CUNEF and Edinburgh)
Victor Gay (TSE)
Christophe Pérignon (HEC Paris and CASCAD)

For more information about the conference as well as submission instructions, please visit https://www.eea-esem-congresses.org/submit-your-paper cm_dontconvertlink

Each person may submit only one paper and present only one paper. However, each person is allowed to co-author multiple papers submitted to the conference. The same paper CANNOT be submitted to both the EEA and the ES sessions. The programme committees will remove the paper from one of the associations without consultation with the submitter. The programme committees CANNOT accept submissions of papers presented in any previous in-person EEA-ESEM congresses. At least one author of each paper must be a member of the Econometric Society and the submitter is the presumed presenter. To join or renew a membership, please visit https://www.econometricsociety.org/user/register cm_dontconvertlink

To submit your paper, please click here to access Congress Creator.
NOTE: If you have a Congress Creator profile already, please use the log in under that account. Under SUBMIT A PAPER, please choose the button ESEM 2024 to submit to ES and EEA 2024 to submit your paper to EEA.

The ESEM conference will run concurrently with the European Economic Association (EEA) meetings that will be held in the same location.

Submitting Full Sessions
The EEA and the ES allow submitters to submit full sessions. Before you can submit a session, you must first ensure that each paper in your proposed session has already been submitted individually, and thus has a paper ID number. Full information on this can be found under "Submit a Session" when you are logged in to your Congress Creator profile.

Submitting a full session does not guarantee that all papers in a session will be accepted. If a session is not accepted in full, the Programme Chairs reserve the right to reassign papers. Information on submitting full sessions can be found on the dashboard when you submit a paper.
Note: All papers submitted in sessions must be submitted to the same association. There can be no mix of papers submitted to EEA and ESEM.

Awards for the best applied papers by young researchers
Two prizes will be awarded for the best papers in applied economics (broadly taken to include applied theory, empirical economics, experimental economics, and computational economics, including both micro and macro approaches) presented by young researchers within 10 years of their PhD, i.e. with PhD awarded not earlier than January 1, 2014. When submitting papers, presenters who want to be considered for a prize will have to click a box to indicate their interest and to certify that they are eligible.

Women In Economics (WinE) Mentoring Retreat
The Econometric Society will once again join forces with the WinE Committee of the European Economic Association in the organization of this mentoring retreat. Co-chairs are Paula Bustos (EEA WinE Committee Chair) and Caterina Calsamiglia (ES representative).

The retreat will begin at around 2pm on Sunday, August 25, and conclude at lunchtime on Monday, August 26, just before the start of EEA-ESEM 2024. All details will be given out on acceptance of application. For more information on the event and on how to apply, click here.

Local Organizing Committee (Erasmus University)
Chair: Philip Hans Franses
Committee: Aart Gerritsen, Vadym Volosovych, Agnieszka Markiewicz, Anne Boring, Andreas Pick, Carlos Riumallo Herl, Michiel Gerritse, Wendun Wang, Annika Camehl
Supported by: Ronald de Groot, Communications Erasmus School of Economics, and Marije Stofregen, Congress & Event Services

Scientific Committee Chairs
Christian Hellwig (Toulouse School of Economics)
Olivier Scaillet (University of Geneva and Swiss Finance Institute)

Field Coordinators
Development: Matteo Bobba (Toulouse School of Economics) and Mounu Prem (Einaudi Institute for Economics and Finance)
Econometrics: Giuseppe Cavaliere (University of Bologna), Blaise Melly (University of Bern) and Melanie Schienle (Karlsruhe Institute of Technology)
Economic Theory & Experimental Economics: Daniel Garrett (University of Essex), Jeanne Hagenbach (Sciences Po), Antonio Penta (Universitat Pompeu Fabra & BSE), and Marek Pycia (University of Zurich)
Environmental, Spatial & Urban Economics: Mathias Reynaert (Toulouse School of Economics)
Finance: Julien Hugonnier (Ecole Polytechnique Fédérale de Lausanne) and Sophie Moinas (Toulouse School of Management & Toulouse School of Economics)
Industrial Organisation: Estelle Cantillon (Université libre de Bruxelles) and Mathias Reynaert (Toulouse School of Economics)
International Economics: Swati Dhingra (London School of Economics) and Nicolas Coeurdacier (Sciences Po)
Labour: Matteo Bobba (Toulouse School of Economics), David Dorn (University of Zurich) and Sarah Smith (University of Bristol)
Macroeconomics: Timo Boppart (IIES, Stockholm University), Wei Cui (University College London), Axelle Ferriere (Paris School of Economics), Federica Romei (University of Oxford) and Edouard Schaal (CREI, UPF & BSE)
Political Economy & Public Economics: Felix Bierbrauer (University of Cologne), Mounu Prem (Einaudi Institute for Economics and Finance) and Sarah Smith (University of Bristol)

Christian Hellwig and Olivier Scaillet and their Committee look forward to your paper submission and we all look forward to greeting you in Rotterdam between August 26 -30th!


The Econometric Society
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Dear colleagues,

The Vega Institute Foundation invites you to join the weekly meeting of the Global Seminar.

On Saturday, our guest will be Prof. Rama Cont (Oxford Mathematical and Computational Finance Group), who will deliver the talk on “Rough Volatility: Fact or Artefact?”.

When: March 2, Saturday, 15:00 Moscow time (13:00 CET)

Abstract:
We investigate the statistical evidence for the use of ‘rough’ fractional pro- cesses with Hurst exponent H < 0.5 for modeling the volatility of financial assets, using a model-free approach. We introduce a non-parametric method for estimating the roughness of a function based on discrete sample, using the concept of normalized p-th variation along a sequence of partitions. Detailed numerical experiments based on sample paths of fractional Brownian motion and other fractional processes reveal good finite sample performance of our estimator for measuring the roughness of sample paths of stochastic pro- cesses. We then apply this method to estimate the roughness of realized volatility signals based on high-frequency observations. Detailed numerical experiments based on stochastic volatility models show that, even when the instantaneous volatility has diffusive dynamics with the same roughness as Brownian motion, the realized volatility exhibits rough behaviour corre- sponding to a Hurst exponent significantly smaller than 0.5. Comparison of roughness estimates for realized and instantaneous volatility in fractional volatility models with different values of Hurst exponent shows that, irre- spective of the roughness of the spot volatility process, realized volatility always exhibits ‘rough’ behaviour with an apparent Hurst index H  < 0.5. These results suggest that the origin of the roughness observed in realized volatility time series lies in the estimation error rather than the volatility process itself.

Link: https://us02web.zoom.us/j/88170210779?pwd=WnBES21UN2dvTTM0enhyNmRJY29sdz09

Warmest wishes to all the ladies of CEBA. Happy 8th of March! May all your desires come true. 🥳

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Семинар ЦЭБА 💬

Спикер: Mehdi Hosseinkouchack (EBS Business School, Econometrics Chair, EBS University)

Время: 19 марта (вторник), в 15.00 по МСК

Название: Self-normalizing Tests Using the Cauchy Distribution

Более подробная информация, ссылка на презентацию и на предстоящий семинар здесь.

Коллеги, начинается семинар

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Семинар ЦЭБА 💬

Спикер: Mikhail V. Sokolov (European University at St. Petersburg, Center for Econometrics and Business Analytics (CEBA)

Время: 16 апреля (вторник), в 15.00 по МСК

Название: An effective interest rate cap: a clarification

Более подробная информация, ссылка на презентацию и на предстоящий семинар здесь.

Mikhail Sokolov's talk starting now https://us06web.zoom.us/j/82018917127?pwd=MGdPRFZXZlR6OE54VEUveW5MREc4Zz09