The Second SIRE Econometrics Workshop will take place on 18 March, 2009 at the University of Strathclyde. Gary Koop is the local organizer and the speakers will be Mark Steel (University of Warwick), Gianni Amisano (European Central Bank) and Gael Martin (Monash University).

Schedule:

1:30-2:30 Gael Martin, "Modeling and Predicting Volatility and its Risk Premium: a Bayesian Non-Gaussian State Space Approach" (coauthored with Alex Nichols and Catherine Forbes).

Abstract: The object of this paper is to model and forecast both objective volatility and its associated risk premium using a non-Gaussian state space approach. Option and spot market information on the unobserved volatility process is captured via non-parametric, `model-free' measures of option-implied and spot price-based volatility, with the two measures used to define a bivariate observation equation in the state space model. The risk premium parameter is specified as a conditionally deterministic dynamic process, driven by past 'observations' on the volatility risk premium. The inferential approach adopted is Bayesian, implemented via a Markov chain Monte Carlo (MCMC) algorithm that caters for the non-linearities in the model and for the multi-move sampling of the latent volatilities. The simulation output is used to estimate predictive distributions for objective volatility, the instantaneous risk premium and the aggregate risk premium associated with a one month option maturity. Linking the volatility risk premium parameter to the risk aversion parameter in a representative agent model, we also produce forecasts of the relative risk aversion of a representative investor.

2:30-3:00: Coffee break

3:00-4:00: Mark Steel, "On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression" (coauthored with Eduardo Ley).Paper available via this link

4:00-4:30: Break

4:30-5:30: Gianni Amisano, "A Nonlinear DSGE Model for the Term Structure with Regime Shifts" (coauthored with Oreste Tristani). Paper available via this link

Location: The workshop will take place at the University of Strathclyde in Room 2.12, Sir William Duncan Building, 130 Rottenrow, Glasgow G4 0GE. Click here for a map. The university is within a 10 minute walk of both the Queen Street station (the train station where trains from Edinburgh, Stirling, Dundee, Aberdeen, etc. will arrive) and the Buchanan Street Bus station (where inter-city buses arrive).

ALL THOSE WISHING TO ATTEND MUST REGISTER FOR THE WORKSHOP AT:

****Registration is now closed. Please contact Kirsty Fontanella (kirsty.fontanella@strath.ac.uk if you wish to attend the conference)****

Last Updated: January 2009.