Past seminars

Carriero, Andrea (QMUL)

Title: TBA

Nicolas Bianco (PhD student, University of Padova)

“Dynamic Variable Selection in Time-Varying Regression Models: A Variational Bayes Approach”

Fulvia Marotta (QMUL - PhD Student)

"Inference on Unevenly Spaced Time Series: an Application to Climate Data"

Yufei Li (QMUL - PhD Student)

"Testing for correlation in non i.i.d setting"

Cecilia Sarchi (QMUL - PhD Student)

"From Micro to Macro: Insights into Firms Financing Access and Composition and their Interactions with the Monetary Policy"

Stefano Fasani (QMUL)

"Unemployment, Firm Dynamics, and the Business Cycle"

Chuanping Sun (QMUL - PhD Student)

"Dissecting the factor zoo: correlation-robust machine learning approach"

Fabio Calonaci (QMUL - PhD Student)

"Multi Step Non-Parametric Estimation method in Asset Pricing"

Liudas Giraitis (QMUL)

"Estimation of  time varying covariance matrices for large datasets" (joint with Yiannis Dendramis and George Kapetanios)

Alessio Volpicella (QMUL - PhD Student)

"Prior Tightness for Set-Identified Structural Vector Autoregressions"

Ioannis Kasparis (University of Cyprus)
"Regressions with Fractional d=0.5 and Weakly Non-stationary Processes"

Steve Pischke (LSE)
"Poorly Measured Confounders are More Useful on the Left Than on the Right" with Zhuan Pei and Hannes Schwandt

Matteo Barigozzi (LSE)
"Non-Stationary Dynamic Factor Models for Large Datasets [PDF 1,041KB]"

Yulia Gel (University of Waterloo, University of Texas at Dallas)
"Detecting Anomalies in Higher Order Structures of Dynamic Networks Using Generalized Tensor Spectrum"

Yiannis Karavias (University of Birmingham)
"Autocorrelation Robust Testing of Regression Hypotheses"

Violetta Dalla (University of Athens)

"The behaviour of SMEs’ capital structure determinants in different"

Anders Bredal (Aarhus University)
"Multiarmed bandits and optimal dynamic treatment allocation"

Liudas Giraitis (QMUL)
"Testing mean stability of heteroskedastic time series" (joint work with Violetta Dalla and Peter CB Phillips)

George Kapetanios (Kings College)
"Multi-dimensional Heterogeneous Panel Data with Hierarchical multi factor error structure"

Carina Gerstenberger (QMUL, University of Bochum)
"How to Distinguish between Long Memory and Short Memory with a Change in Mean"

Marcelo Fernandes (QMUL)
"Guns and Suicides"

Daniel Vogel (University of Aberdeen)
"Change-point tests based on U-statistics and U-quantiles"

Yuya Sasaki (Johns Hopkins University)
"Quantile Regression Kink Designs"

Bertille Antoine (Simon Fraser University)
"Identification-Robust Nonparametric Inference in a Linear IV Model" (joint with Pascal Lavergne)

Francesc Ortega (Queens College CUNY)

"The Effects of Hurricane Sandy on the New York City Housing Market"

PhD students (Finance)
"Introduction to the research of the School’s Finance PhD students"

Richard Baillie (QMUL)
"Is Robust Inference with OLS Sensible in Time Series Regressions? Investigating Bias and MSE Trade-offs with Feasible GLS and VARs"

Kostas Theodoridis (Bank of England)

"Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility"

Konrad Menzel (New York University)
"Strategic Network Formation with Many Agents"

Katerina Petrova (QMUL)
"A quasi-Bayesian nonparametric approach to time varying parameter VAR models"

Martin Weale (QMUL)
"Firms' Expectations and Price Setting: Evidence from Micro Data [PDF 384KB]"

Marcelo Fernandes (QMUL)
"Price discovery and market microstructure noise (joint with Gustavo Dias and Cristina Scherrer)"

Vasilis Sarafidis (Monash University)

"A Simple Estimator for Short Panels with Common Factor"

Jeff Yao (University of Hong Kong)
"On estimation of the noise variance in high-dimensional probabilistic principal component analysis"

Stepana Lazarova (QMUL)
"Data-driven GMM test for  parameter instability" (joint with Emmanuel Guerre)

Peter Malec (Cambridge University)
"Estimating the Spot Covariation of Asset Prices: Statistical Theory and Empirical Evidence"

Elise Gourier (QMUL)
"Inferring volatility dynamics and risk premia from the S and P 500 and VIX markets"

Zeyyad Mandalinci (QMUL)
"Global Economic Divergence and Portfolio Capital Flows to Emerging Markets" (joint with Haroon Mumtaz)

George Kapetanios (QMUL)
"A multistage and multiple testing approach to variable selection in linear regression models with a large number of covariates"

Michele Modugno (Board of Governors of the Federal Reserve System)
"Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models"

James Lothian (Fordham University)

"UIP: the long and the short [PDF 485KB]"

Murad S Taqqu (Boston University)

"Spatial Contagion in Financial Markets"

Richard Baillie (QMUL)
"Inference for Impulse Responses in Multivariate Long Memory Processes"

Yoosoon Chang (Indiana University)
"Regime switching model with endogenous autoregressive latent factor"

Natalia Bailey (QMUL)

"A multiple testing approach to the regularisation of large sample correlation matrices"

Niels Haldrup (Aarhus University)

"Discriminating between fractional integration and spurious long memory"

Zeyyad Mandalinci (QMUL)
"Time-Varying Global Drivers of Portfolio Capital Flows and the Role of Quantitative Easing"

Stella Hadjiantoni (QMUL)
"Estimating large-scale general linear and seemingly unrelated regressions models after deleting observations"

James Brugler (University of Cambridge)
"Dark Trading and Market Quality: The Case of UK Equities"

Giovanni Pellegrino (University of Verona)
"Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory"

Martin Weale (QMUL)
"The Macro-economic Effects of Asset Purchases"

Jungyoon Lee (New College of the Humanities)

"Bootstrapping change-point in regression and sample splitting"

Tang Srisuma (University of Surrey)
"Identifying Dynamic Games with Switching Costs"

Nam-Hyun Kim (University of Konstanz)
"Control Function Approach to Weak Instruments."

Leone Leonida (QMUL)

"Sample separation and the investment-cash flow sensitivity."

Marcia Schafgans (LSE)

"Inference and homogeneity in large dynamic panels with strong cross sectional dependence."

Haroon Mumtaz (QMUL)
"The changing transmission of uncertainty shocks and monetary policy. An empirical analysis."

George Kapetanios (QMUL)
"Large Dimensional Time varying Covariance Estimation with Application to Portfolio Management."

Liudas Giraitis (QMUL)
"Integrated AR and ARCH processes and the FIGARCH model: origins of long memory."

Joao M.C. Santos Silva (Essex)

Title: TBA

Stella Hadjiantoni (QMUL)

"Strategies for estimating systems of large-scale simultaneous equations models."

Mohaimen Mansur (QMUL)

"Forecasting under structural change and long memory noise."