Penn Econometrics Research/Reading Group
(Fridays, 1:30, McNeil 582)
12/11 Ross and/or Jake on "Factor Analysis for Volatility"
------------------------------
Archives:
11/20 Paul on "Density Forecasting for Risk Estimation"
10/23 Maria on "Dynamic Analysis of Multivariate Time Series Using Conditional Wavelet Graphs". Slides here.
10/02/2015 Ronald on "Which Factors Drive the Skill-Mix of Migrants in the Long-Run?"
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2533091
9/18/2015 Katja Gisler on "GLOBAL EQUITY MARKET VOLATILITY SPILLOVERS:
A BROADER ROLE FOR THE UNITED STATES," paper here.
9/11/2015 Paul on long-horizon forecasting. Mueller-Watson paper here. Slides here.
9/4/2015 Jake on "Factor Analysis for Volatility". Slides here.
4/17/2015 Laura on Plott and Chen. Slides here.
4/10/2015 Paul on Hautsch et al. Slides here.
3/31/2015
Mini-Conference: Modeling High-Dimensional Dynamic Networks in Economics and Finance
12:00-1:30 Lunch, White Dog, 3420 Sansom Street (Barigozzi, Diebold)
1:30-2:10 Frank Diebold, Penn, "Introduction and Background"
2:10-2:50 Matteo Barigozzi, LSE, "NETS: Network Estimation for Time Series"
2:50-3:30 Laura Liu, Penn, "Estimating Global Bank Network Connectedness"
3:30-4:10 Coffee Break
4:10-4:50 Ross Askanasi and Jacob Warren, Penn, "Factor Analysis For Volatility"
4:50-5:30 Matteo Barigozzi, LSE, "On the Consequences of Power-Law Behavior in Partial Correlation Networks"
6:30 Dinner, Pumpkin, 1713 South Street (Barigozzi, Diebold, Wright, Askanasi, Liu, Warren)
4/3/2015 No meeting. (See 3/31 above.)
3/27/2015 Ross on Barigozzi and Hallin. Slides here.
11/7/2014 Minchul on Patton. Slides here.
11/14/2014 Frank on Diebold and Shin. Slides here.
11/21/2014 Penn R Workshop (organized by Frank DiTraglia): Big Data and Open Science with R
12/5/2014 Laura on Gillen, Plott and Shum. Slides here.
Jan-Feb 2015 job market season:
No Friday research/reading group meetings, but you should attend as many job-market seminars as possible (not just those in econmetrics). See the schedule here.
2/27/2015 Molin on Karstanje et al. Slides here.
3/6/2015 Frank on "Visualizing VAR's: Regularization and Network Tools for High-Dimensional Financial Econometrics." Slides here.
3/13/2015 Spring Break
3/20/2015 Jake on Ahelegbey et al. (2012) Slides here.
(Sorry, archives are not available for meetings before November 2014.)