European Seminar on Bayesian Econometrics (ESOBE)

EUROPEAN SEMINAR ON BAYESIAN ECONOMETRICS (ESOBE)

Brussels, Belgium, November 4-5, 2011

Context

Main theme : The Interface of Macroeconomics, Finance and Forecasting.

ESOBE stands for European Seminar on Bayesian Econometrics. This series of seminars was launched in 2010 with the first meeting in Rotterdam. In recent decades Bayesian econometrics has expanded enormously in areas such as optimal processing of information from different sources, efficient forecasting using sets of models, and measuring policy effectiveness and its associated risk.

The computational revolution in simulation techniques is a key ingredient in this expansion. Empirical applications of Bayesian econometrics deal with issues such as: risk management in international and financial markets, the education effect on income and individual entrepreneurship, measurement of policy effectiveness in the macro and monetary economy and individual decision making in marketing.

The ESOBE meetings are intended as a discussion forum for new and recent research. Their aim is to bring together researchers and professionals interested in the application of Bayesian inference in economics in relatively small annual workshops that usually take two days.

Format

The conference starts on Friday, November 4 and closes on Saturday, November 5 at noon.
12 papers will be presented by invited speakers. A lively poster session will be organized also.

Program

Invited speakers and titles

Christophe ANDRIEU, University of Bristol, Particle Markov chain Monte Carlo Methods
Siddhartha CHIB, Washington University in Saint-Louis, Monetary Policy Regime Changes and the Term Structure: Evidence from a DSGE Model
Claudia CZADO, TU University, Munich, Bayesian Analysis of Vine Copulas with Applications to Financial Data
Marco DEL NEGRO, Federal Reserve Bank of New York, Rare Shocks, Great Recessions
Hans DEWACHTER, National Bank of Belgium, Bayesian Estimation of the Extended Macro-Finance Model (tbc)
Sylvia FRÜHWIRTH-SCHNATTER, Vienna University of Economics and Business (with Helga WAGNER, Johannes Kepler University Linz and Liana JACOBI, University of Melbourne), Bayesian Treatment Effects Models for Panel Outcomes
Domenico GIANNONE, Université Libre de Bruxelles, Prior Selection for Vector Autoregressions
Paolo GIORDANI, Sveriges Riksbank, On Some Properties of Markov Chain Monte Carlo Simulation Methods based on The Particle Filter
Gary KOOP, Strathclyde University, Glasgow, Hierarchical Shrinkage in Time-Varying Parameter Models
John MAHEU, University of Toronto, Bayesian Semiparametric Multivariate GARCH Modeling
Massimiliano MARCELLINO, EUI, Florence, Structural Analysis with Classical and Bayesian Large Reduced Rank VARs
Luc BAUWENS and Arnaud DUFAYS, Université catholique de Louvain, Marginal Likelihood for Markov-Switching and Change-Point Garch Models

Poster session

Poster presentations guidelines

Nalan BASTURK, Direct and indirect Monte Carlo for Simultaneous Equations, Instrumental Variables and Errors in Variables models: On the Connection between Model Structures, Data Information and Efficient Posterior Simulators
Cem CAKMALI, Bayesian Semiparametric Dynamic Nelson-Siegel Model
Lukasz T. GATAREK, Censoring in Metropolis - Hastings algorithm. Application to Value-at-Risk
Jim E. GRIFFIN, Flexible modelling of dependence in volatility processes
Mark JENSEN, The Distribution of the Future Value A Portfolio : Incorporating Uncertainty about the Returns Process
Lawrence M. KESSLER, Bayesian Estimation of Fractional Dependent Variables in Panel Data Models with Endogeneity: An Application to Standardized Test Rates
Michel LUBRANO, Inequality decomposition using the Gibbs output of a Mixture of lognormal distributions
Jani LUOTO, Bayesian Estimation of the CES Production Function with Nonneutral Technological Change
Justinas PELENIS, Bayesian Semiparametric Regression
Stefano PELUSO, A Bayesian Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns
Simon POTTER, Dynamic Hierarchical Factor Models
Jakob STÖBER, Markov Switching Regular Vine Copulas
Josef STRASKY, Modified Bayesian VAR for Inflation Forecasting
Aline TALHOUK, Bayesian Estimation of Dynamic Covariance Matrices Using the Wishart Autoregressive Process
Enrique ter HORST, Exchange Rate Fundamentals, Forecasting, and Speculation: New Evidence from Black Markets
Herman van DIJK, Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data
Fuyu YANG, Bayesian Inference in a Stationary Bilinear Model with Finite Samples