Econometrics Seminars Winter 2011

Mondays, 4:10-5:30 pm (unless otherwise specified)
Sproul Hall 2206

Questions? Contact Gloria Gonzalez-Rivera

When available, the papers may be downloaded as pdf files, which can be read or printed using the Acrobat Reader.

1/3/2011 No Seminar No Seminar
1/10/2011 Peter R. Hansen, Stanford University Realized GARCH: A Joint Model For Returns and Realized Measures of Volatility
1/17/2011 No Seminar – MLK Jr. Birthday Holiday No Seminar
1/20/2011* Jerry Hausman, MIT – Boston

*NOTE: Thursday 2:10-3:30pm

Estimating a Semi-Parametric Duration Model without Specifying Heterogeneity
1/21/2011* Jerry Hausman, MIT – Boston

*NOTE: Friday

Understanding Choice Intensity: A Poisson Mixture Model with Logit-based Random Utility Selective Mixing
1/24/2011 Oscar Jorda, UC Davis Performance Evaluation of Zero Net-Investment Strategies
1/31/2011 Thomas Kim, UCR School of Business Distribution of Individual Stock Performances in a Mutual Fund and the Fund Manager’s Stock Picking Ability
2/7/2011 Pascale Valery, HEC Montreal – Canada Wald-type Tests When Rank Conditions Fail: A Smooth Regularization Approach
2/14/2011 Jose Lopez, Federal Reserve, San Francisco Extracting Deflation Probability Forecasts From Treasury Yields
2/21/2011 No Seminar – Presidents Day Holiday No Seminar
2/28/2011 Allan Timmerman, UC San Diego Out-Of-Sample Forecast Evaluation: Choice of Sample Split
3/7/2011 Victoria Zinde-Walsh, McGill University – Canada Measurement Error and Convolution Equations In Generalized Functions Spaces