Probabilistic Approach to Assessing Macroeconomic Uncertainties

PRAMU

ESRC/ORA Project

Organised Sessions in International Conferences


 

The 9th CSDA International Conference on Computational and Financial Econometrics (CFE2015)

12-14 December 2015, University of London.

Session CO448: Macroeconomic Uncertainty and Policy (Organisers: Wojciech Charemza and Svetlana Makarova)

  • When information on forecast uncertainty improves the performance of a combined forecast (Presenter: C. Conrad, Heidelberg University, Germany)
  • Quantitative easing and tapering uncertainty: Evidence from Twitter  (Presenter: A. Meinusch, ustus-Liebig University Giessen, Germany)
  • Understanding the role of uncertainty in the Euro area business cycle (Presenter: G. Kenny, European Central Bank, Germany)
  • Measuring economic uncertainty using news-media textual data (Presenter: P. Eckley, Bank of England, UK)
  • ECB footprints on the inflation forecast uncertainty (Presenter: S. Makarova, University College London, UK)

 

The 8th CSDA International Conference on Computational and Financial Econometrics (CFE2014)

6-8 December 2014, University of Pisa, Italy.

Session CS13: Modelling Uncertainty in Macroeconomics (Organisers: Wojciech Charemza and Svetlana Makarova)

  • What's the outlook: Combining narrative, numerical forecasts, and policy uncertainty (Presenter: P. Siklos, Wilfrid Laurier University, Canada)
  • Uncertainty and economic activity: A global perspective (Presenter: A. Cesa-Bianchi, Bank of England, UK)
  • Fan charts vs. survey forecasts. How similar are they in Poland? (Presenter: H. Kowalczyk, National Bank of Poland, Poland)
  • Measuring global and country-specific macroeconomic uncertainty (Presenter: X. Sheng, American University, US )
  • Ex-post inflation forecast uncertainty and skew normal distribution: `Back from the future' approach (Presenter: S. Makarova, University College London, UK)

 

* The 7th CSDA International Conference on Computational and Financial Econometrics (CFE 2013)

14-16 December 2013, London, UK.

Session CS13: Probabilistic Forecasting: Statistical Issues (Organisers: Wojciech Charemza and Svetlana Makarova)

  • On the usefulness of product spreads for forecasting: An empirical evaluation of the Verleger hypothesis (Presenter: C. Baumeister, Bank of Canada, Canada)
  • Parsimonious models for probabilistic macroeconomic forecasting (Presenter: P. McSharry, University of Oxford, UK)
  • Forecasting VARs, model selection, and shrinkage (Presenter: C. Kascha, University of Zurich, Switzerland)

Session CS35: Probabilistic Forecasting: Density Forecasts and Disagreement (Organisers: Wojciech Charemza and Svetlana Makarova)

  • Forecasting exchange rate densities using model averaging (Presenter: E. Mise, Department of Economics, University of Leicester, UK)
  • Measuring uncertainty of a combined forecast and a new test for forecaster heterogeneity (Presenter: X. Sheng, American University, US)
  • Forecasting disaggregates: Small open economies and foreign transmission channels (Presenter: L. Thorsrud, Norwegian Business School, Norway)
  • Two-dimensional fan charts and uncertainties (Presenter: W. Charemza, University of Leicester, UK)

 

The 10th International Conference on Computer Data Analysis and Modelling: Theoretical and Applied Stochastics.

10-14 September 2013, Minsk, Belarus.

Closing Lecture: Too Many Skew Normal Distribution? The Practioneer's Perspective (Presenter: Wojciech Charemza)

 

* Forecasting Stream at the 26th European Conference on Operational Research

1-4 July 2013, Rome, Italy.

Special Session: Probabilistic Approach to Modelling Macroeconomic Uncertainties (Organiser: Carlos Díaz)

  • Combining density forecasts (Presenter: Stephen Hall, University of Leicester, UK)
  • Inflation and inflation uncertainty: A dynamic framework (Presenter: Yeliz Yalcin, Gazi University, Turkry. Co-author: H. Berrumet)
  • Defective probabilistic forecasts: Confronting the perplexed (Presenter: Reason L. Machete, University of Botswana, Botswana and London School of Economics)
  • Inflation fan charts, monetary policy and skew normal distributions (Presenter: Carlos Díaz, University of Leicester, UK. Co-authors: W. Charemza and Svetlana Makarova)

 

* International Conference on Economic Modeling (EcoMod2013)

1-3 July 2013, Prague, Czech Republic.

Session D: Miscellaneous Modeling Techniques (Chair: Wojciech Charemza)

  • Trends in real convergence and structural changes in EU (Presenter: Lucian-Liviu Albu)
  • How responsive are people to changes in their bargaining position? Earned bargaining power and the 50-50 norm (Presenter: Nejat Anbarci, Nick Feltovich)
  • Frequent episodes of high inflation and real effects (Presenter: Wojciech Charemza. Co-authors: Svetlana Makarova, Imran Shah)

 

* The 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012)

1-3 December 2012, Oviedo, Spain.

CS14: Modelling with heavy tails: Applications (Organisers: Wojciech Charemza and Svetlana Makarova)

  • Do European Sovereign CDS price correctly? (Presenter: David Veredas, Université libre de Bruxelles, Belgium)
  • Tempered Ornstein-Uhlenbeck processes: A practical view (Presenter: Michele Bianchi, Bank of Italy, Italy)
  • Generating tempered stable random variates from mixture representation (Presenter: Piotr Jelonek, University of Leicester, UK)
  • Simulated minimum distance estimators in macroeconomics (Presenter: Svetlana Makarova, University College London, UK)
  • Testing exponentiality versus Pareto via likelihood ratio (Presenter: Anna Panorska, University of Nevada, US)

 

* The 5th CSDA International Conference on Computational and Financial Econometrics (CFE'11)

17-19 December 2011, University of London, UK.

CS11: Modelling with heavy tails: computational issues (Organisers: Wojciech Charemza and Svetlana Makarova)

  • Computational problems for multivariate stable laws (Presenter: John Nolan, American University, US)
  • Modeling and simulation with tempered stable laws (Presenter: Mark M. Meerschaert, Michigan State University, US)
  • Fast calculation of PDFs of multi-factor Levy processes with exponentially decaying tails (Presenter: Marco de Innocentis, University of Leicester, UK. Co-authors: Svetlana Boyarchenko, Sergei Levendorskii)
  • Heavy tailed time series: Estimation and numerical issues for dependent observations (Presenter: Svetlana Makarova, University College London, UK. Co-authors: Wojciech Charemza, Christian Francq, Jean-Michel Zakoian)
  • On the distribution of European sovereign bond returns: Empirical evidence (Presenter: Christian Lau, Martin Luther University Halle-Wittenberg, Germany. Co-authors: Christian Gabriel)

 

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