Welcome Speech by Jun Yu (Singapore Management University)

Session 1: Time Series Methods I

Chair: Hee Joon Han (National University of Singapore)

C Y Sin (Xiamen University), "Exploiting the GARCH Effects to Test for Cointegrating Rank "

Yoon-jin Lee (Indiana University), "Detecting Misspecifications in Autoregressive Conditional Duration Models"

Session 2: Microeconometrics I

Chair: Jun Yu (Singapore Management University)

Juan Carlos Escanciano (Indiana University), "Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Efects"

David T. Jacho-Chávez (Indiana University), "Optimal Bandwidth Choice for Estimation of Inverse Conditional-Density-Weighted-Expectations"

Session 3 (Invited)

Chair: Yiu Kuen Tse (Singapore Management University)

Frank Diebold (University of Pennsylvania), "Modeling and Forecasting the Term Structure of Government Bond Yields"

Session 4: Financial Econometrics

Chair: C Y Sin (Xiamen University)

Xiangdong Long (Cambridge University), “Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model”

Jun Yu (Singapore Management University), “Simulation-Based Estimation of Contingent-Claims Prices ”

 --- Afternoon Tea ---

Session 5: Applied Econometrics I

Chair: Hwee Kwan Chow (Singapore Management University)

Songsak Sriboonchitta (Chiang Mai University), “ Tests of Asset Pricing Models: A Case Study of the Stock Exchange of Thailand”

Zahid Asghar (Quaid-i-Azam University Islamabad), “Granger Causality a test of causation An Analysis”

Dennis S. Mapa (Univ of Philippines), “Range-Based GARCH: A New Method of Estimating Value-at-Risk”

Session 6 (Invited)

Chair: Anthony Tay (Singapore Management University)

Eric Ghysels (Univ of North Carolina), " In-sample asymptotics and across-sample efficiency gains for high frequency data statistics "

Session 7: Microeconometrics II

Chair: Anthony Tay (Singapore Management University)

Aurobindo Ghosh (Singapore Management University), "A semi-parametric two-stage projection type estimator of multi-valued treatment effects"

Chuan Goh (University of Toronto), “A Universal Nonparametric Test for Detecting Changes in Trend”

---Morning Tea---

Session 8: Time Series Methods II

Chair: Daniel Preve (University of Uppsala)

Anders Eriksson (University of Uppsala), "A Class of Nonnegative Autoregressive Models and Its Applications to Volatility Forecasting"

Liang Hu (Leeds University ), "Testing for Cointegration in Markov Switching Error Correction Models"

Renee Fry (ANU), "A New Class of Tests of Contagion: Application to Asian Real Estate and Equity Markets"

Session 9 (Invited)

Chair: Aurobindo Ghosh (Singapore Management University)

Peter C. B. Philips (Yale University), "Transition Modeling and Econometric Convergence Tests "

Session 10: Time Series Methods III

Chair: Aurobindo Ghosh (Singapore Management University)

Jonathan Reeves (University of New South Wales), "Monthly Forecasts of Systematic Risk: An Evaluation"

Hsein Kew (Melbourne University), "Fractional Dickey-Fuller Tests under Heteroskedasticity"

Session 11: Applied Econometrics II

Chair: Zhenlin Yang (Singapore Management University )

Xiaoneng Zhu ( Nanyang Technological University ), "Testing Present Value Model Under Regime Shift with Bootstrap-based Wald Test: the Japanese Term Structure"

Sungbae An (Singapore Management University), "Intertemporal Substitution in Aggregated Economies"

Matthew Yiu (Hong Kong Institute for Monetary Research), "Nowcasting GDP and Inflation of Hong Kong, Using a Large Data Set"