Princeton-QUT-SJTU-SMU Conference on Econometrics 2019

12.00pm - 12:15pm

Registration

12.00pm - 1:00pm

Lunch

1:00pm - 3:00pm  

 Session 1 Chaired by Jun YU (SMU)

1. Yacine AIT-SAHALIA (Princeton)
   Title: Testing Whether Volatility Can Be Written As a Function of the Asset Price
2.  Adam CLEMENTS (QUT)
   Title: Using Weighted Least Squares in Multivariate HAR Models
3. Liangjun SU (SMU)
   Title: Inference in Partially Identified Panel Data Models with Interactive Fixed Effects
4. Bin WANG (HIT)
   Title: Testing for jump diffusion models based on threshold estimation of diffusive volatility

3:00pm - 3:30pm

Afternoon Tea

3:30pm - 5:30pm

Session 2 Chaired by Sainan JIN (SMU)

5.  Xun LU (HKUST)
   Title: Uniform Inference in Linear Panel Data Models with Two-dimensional Heterogeneity
6. Vance MARTIN (University of Melbourne)
   Title: Coastal Dynamics and Adaptation to Uncertain Sea Level Rise: Optimal Portfolios for Salt Marsh Migration
7. Annastiina SILVENNOINEN (QUT)
   Title: Not all quiet on the MTV-STCC-GARCH front
8. Wenxin HUANG (SJTU)
   Title: Beat the Midpoint: Heterogeneity in Bid-ask long-run Equilibrium

6:30pm - 8:30pm

Conference Dinner (Hotel Rendezvous Straits Café)

8:45am - 9:00am

Morning Tea

9:00am - 10:30am

Session 3 Chaired by Yichong ZHANG (SMU)

9. Katherine UYLANGCO (QUT)
   Title: Asset Allocation with Regime Shifts and Feedback Effects
10. Xi QU (SJTU)
    Title: Social Networks with Misclassified or Unobserved Links
11. Allen LUI (SMU)
    Title: Bubble Detection under Long Memory Error Processes

11:00am - 12:30pm

Session 4 Chaired by Stan HURN (QUT)

12. Weilin XIAO (ZJU)
    Title: Local powers of the least squares estimator-based test for the panel fractional Ornstein-Uhlenbeck process
13. Yanbo LIU (SMU)
    Title: Inferences in the Predictive Regression with Functional Nonstationary Processes
14. Stan HURN (QUT)
    ​​​​​​​Title: Modelling Wind Drought

12:30pm - 12:35pm

Photo Taking

12:35pm - 1:30pm

Lunch