[May 25-27, 2011] Interdisciplinary workshop on "Econometric and statistical modelling of multivariate time series"

Louvain-la-Neuve (Belgium)
May 25-27, 2011

Pictures of the workshop


This interdisciplinary workshop on multivariate time series will address substantial questions of  common interest in econometrics and statistics. 
The particular topics that are covered by the meeting are:

  • Multivariate volatility models
  • High Frequency data 
  • Extreme value modelling
  • Dimension reduction and Factor Models
  • Time-varying parameter models and structural changes
  • Forecasting

Programme  (last updated on May 19, 2011)

Wednesday, May 25

13:15 - 13:50: Registration and welcome coffee

13:50 - 14:00: Opening speech by Vincent Yzerbyt , Prorecteur à la recherche

- Invited paper session 1 (chair: David Veredas, ULB)

14:00 - 14:45Timo Teräsvirta (Aarhus University & CREATES)
"Nonlinear forecasting of macroeconomic variables using automated model selection techniques"

14:45 - 15:30:Luc Bauwens (Université catholique de Louvain, CORE)
"CAW-DCC: a dynamic model for vast realized covariance matrices" 

15:30 - 16:45: Poster session 1 and coffee break

- Invited paper session 2 (chair: François Roueff, Paris Tech)

16:45 - 17:30: Jun Yu (Singapore Management University)
"Bias in Estimating Multivariate and Univariate Diffusions"

17:30 - 18:15: Dennis Kristensen (Columbia University)
"Estimation of Diffusion Models with Time-varying Parameters" 

18:15 - 19:30: Cocktail

Thursday, May 26

09:00 - 9:30: Welcome coffee

- Keynote Session (Luc Bauwens, UCL)

09:30 - 10:30: Keynote lecture: Robert F. Engle  
(New York University Stern School of Business)
"Volatility, Correlation and Tails for Systemic Risk Measurement"
Video talk

10:30 - 12:00: Poster session 2 and coffee break

12:00 - 13:30Lunch

- Invited paper session 3 (chair: Manfred Deistler, Wien)

13:30 - 14:15Qiwei Yao (London School of Economics)
"Factor modelling for high-dimensional time series: a dimension-reduction approach"

14:15 - 15:00: Christian Gouriéroux (University of Toronto & CREST)
"Correlated Risks vc Contagion in Stochastic Transition Models"

15:00 - 15:30: Coffee break

- Invited paper session 4 (chair: Franz Palm, Maastricht)

15:30 - 16:15: Johan Segers (Université catholique de Louvain, ISBA)
"Modelling extremes of multivariate time series via the tail process"

16:15 - 16:40Matteo Barigozzi (London School of Economics and Political Science)
"Which models to match ?"

16:40 - 17:05 Dimitris Korobilis (Université catholique de Louvain)
"Assessing the transmission of monetary policy shocks using dynamic"

18:00 - Conference dinner
Aula Magna, Place Raymond Lemaire, 1, Louvain-la-Neuve

Friday, May 27

08:30 - 09:00: Welcome coffee

- Invited paper session 5 (chair: Piotr Fryzlewicz, LSE)

09:00 - 09:45Christian Hafner (Université catholique de Louvain)
"Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets"

09:45 - 10:30: Jeroen Rombouts (HEC Montreal, CORE)
"Marginal Likelihood for Markov-Switching and Change-Point Garch Models"

10:30 - 11:00Coffee break

- Invited paper session 6 (chair: Jürgen Franke, Kaiserslautern)

11:00 - 11:45:  Marc Hallin (Université Libre de Bruxelles, ECARES)
"Quantiles, Time Series, and Spectral Analysis"

11:45 - 12:30: Richard A. Davis (Columbia University)
"Noncausal Vector AR Processes with Application to Financial Time Series”

12:30 - Closing lunch



Registration to the workshop is now CLOSED.
We thank you in advance for your participation and we hope you will enjoy this event.

Poster sessions (last updated on May 19)

Poster sessions will take place on Wednesday afternoon and on Thursday morning in order to allow for the best conditions to interact with the audience, the invited speakers and the key note speaker of our conference.

Submission period for posters is now closed. Thanks for your proposals. 

List of posters presented on May 25 and 26. Mind that this list might be updated in case of withdrawals.

Scientific Committee

  • Luc Bauwens
  • Christian Hafner
  • Rainer von Sachs
  • Johan Segers
  • Sébastien Van Bellegem
  • David Veredas


Auditoire Montesquieu 03
Place Montesquieu, 32
1348 - Louvain-la-Neuve

Building 25 on the city map  (use "zoom-in").

Parking areas:
- Parking Sainte Barbe
- Parking Aula Magna

Practical informations and accommodation 

  1. Hotel Mercure. Booking has to be done as soon as possible!
    Boulevard de Lauzelle 61
    1348 Louvain-la-Neuve
    Tel: (+32)10/450751
    @: h2200@accor.com
  2. Hotel Leonardo (more difficult public transportation to LLN)
    Rue de la Wastinne 45
    B-1301 Wavre
    Tel: (+32)10/411363
    @: info.wavre@leonardo-hotels.com
  3. At Home Hotel (more difficult public transportation to LLN)
    Place Bosch 33
    B-1300 Wavre
    Tel: (+32)10/228383
    @: contact@at-homehotel.be
  4. Hotels in Brussels (30km/45' by train)

    How to get to Louvain-la-Neuve?


Contract « Projet d'Actions de Recherche Concertées » nr. 07/12/002 of the « Communauté française de Belgique », granted by the « Académie universitaire Louvain »

Contact & Informations

Mrs Monique Tanga
Voie du Roman Pays 20
B-1348 Louvain-la-Neuve
Email :
Phone : (+32)10/47.89.62
Fax : (+32)10/47.30.32

| 3/04/2012 |