Essex Centre for Macro and Financial Econometrics
Seminar series
Discover the latest macro and financial econometrics research
Our Seminar Series showcases the cutting-edge research in modern econometrics from leading experts across the field, and helps facilitate and encourage the exchange of ideas between all attendees.
Upcoming schedule
| Date | Seminar title | Speaker |
| Tuesday 15 October | ECFME Research Workshop |
Professor Hashem Pesaran, Professor George Kapetanios, Dr Ilais Chronopoulos |
Previous seminars
Summer 2024
| Date | Seminar title | Speaker |
| Thursday 23 May | ECMFE Workshop on “High-dimensional Econometrics and Machine Learning” | Various |
| Thursday 30 May | Predictive Density Combination Using a Tree-Based Synthesis Function | Professor James Mitchell (Federal Reserve Bank of Cleveland) |
Spring 2024
| Date | Seminar title | Speaker |
| Wednesday 21 February | Estimation and Inference of the Forecast Error Variance Decomposition for Set-Identified SVARs | Dr Alessio Volpicella (University of Surrey) |
Autumn 2023
| Date | Seminar title | Speaker |
| Wednesday 15 November | Estimation of Cyclical Time Series: an Application to Central England Temperatures | Fulvia Marotta (University of Oxford) |
| Wednesday 13 December | Heterogeneous Grouping Structures in Panel Data | George Kapetanios (King's Business School) |
Summer 2023
| Date | Seminar title | Speaker |
| Tuesday 16 May | ECMFE Mini Workshops | Professor Matei Demetrescu (Dortmund), Professor Paulo Rodrigues (Bank of Portugal) and Dr Ilias Chronopoulos (EBS) |
Spring 2023
| Date | Seminar title | Speaker |
| Wednesday 25 January | Uniform and Distribution-Free Inference with General Autoregressive Processes | Professor Tassos Magdalinos, University of Southampton |
| Wednesday 15 March | Determining Climate Sensitivity Using the Quasi-cointegrated VAR | Dr Jerome Simons, University of Cambridge |
| Thursday 23 March | Real Time Monitoring of Bubbles and Crashes | Dr Emily Whitehouse, University of Sheffield |
Autumn 2022
| Date | Seminar title | Speaker |
| Wednesday 19 October | When do State-Dependant local projections work? | Professor Elena Pesavento, Emory University |
| Wednesday 2 November | Inference on Winners | Professor Adam McCloskey, University of Colorado, Boulder |
Summer 2022
| Date | Seminar title | Speaker |
| Wednesday 4 May | Least Trimmed Squares Asymptotics | Dr Vanessa Berenguer-Rico |
| Wednesday 11 May | Cross-Section Error Dependence in Panel Quantile Regressions | Matei Demetrescu |
| Wednesday 1 June | Uniform inference in vector autoregressive models | Atsushi Inoue |
Spring 2022
| Date | Seminar title | Speaker |
| Wednesday 26 January | New Results on Correlation Matrices |
Peter Reinhard Hansen |
| Wednesday 2 February | Inference on the dimension of the nonstationary subspace in functional time series | Morten Ørregaard Nielsen |
| Wednesday 9 February | A Review on Semiparametric Model Averaging for Dynamic Time Series Forecasting: Methodology and Applications | Zudi Lu |
Autumn 2021
| Date | Seminar title | Speaker |
| Wednesday 27 October | Estimating and Testing Long-Run Risk Models: International Evidence |
Junye Li |
| Wednesday 24 November |
Uniform and distribution-free inference with general autoregressive processes | Katerina Petrova |
Summer 2021
| Date | Seminar title | Speaker |
| Wednesday 19 May 2021 | Dynamic Network Analysis via Diffusion Multipliers | Michael Thorton |
Spring 2021
| Date | Seminar title | Speaker |
| Wednesday 10 February |
A dynamic conditional score model for the log correlation matrix | Christian Hafner |
| Wednesday 3 March |
Tests for Equal Forecast Accuracy Under Unconditional Heteroskedasticity | David Harvey |
| Wednesday 10 March |
Modeling for Volatility | Yingying Li |
Autumn 2020
| Date | Seminar title | Speaker |
| Wednesday 16 December |
Time series models for the difference of counts | Jon Michel |
| Wednesday 2 December |
An Order Book Dependent Hawkes Process for Large Datasets |
Alessio Sancetta |
| Wednesday 25 November |
New ideas in econometrics | Mingli Chen |
| Wednesday 11 November | Identification and inference in Discrete Choice Models with imperfect information | Cristina Gualdani |
| Wednesday 4 November | The Econometrics of Portfolio Sort | Valentina Corradi |
| Wednesday 21 October |
Factor models with downside risk | Lorenzo Trapani |
