CFE 2021

The 15th International Conference on Computational and Financial Econometrics (CFE 2021) invites oral and poster presentations containing computational or financial econometric components. Due to the COVID-19 pandemic, the conference will be hybrid. The keynote talks, the special invited sessions, the hybrid organized sessions, and the virtual sessions will be live-streamed for all the conference participants. 

You need to register. Participation is paid. Link here.

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Saturday 18.12.2021 11:10 - 12:50

High dimensionality, regime shifts and robust inference

Session CO032 Room: Virtual R28

Chair: Artem Prokhorov Organizer: Artem Prokhorov

• A1217: D.M. Drukker, D. Liu 

Using BIC-based forward stepwise instead of Lasso for Neyman-orthogonal estimation

• A1298: V. de la Pena

On the expectation and bias of the Gini coefficient under grouping

• A1443: A. Semenov, A. Skrobotov, A. Prokhorov

Change point detection in time series using mixed integer programming

• A1276: R. Tabri, S. Dahmann, B. Beare

On the compatibility of experts' Lorenz curves with plausible assumptions on unit nonresponse in household surveys

Sunday 19.12.2021 10:25 - 12:30

Structural shocks and their propagation

Session CO038 Room: K2.31 Nash (Hybrid 07)

Chair: Rustam Ibragimov Organizer: Rustam Ibragimov

• A0780: M. Karamysheva, B. Craig, D. Salakhova

Do market-based network reflect true exposures between banks?

• A0832: A. Pestova, M. Mamonov

Credit supply shocks and household defaults

• A1116: A. Skrobotov

On robust testing for trend

• A1716: R. Ibragimov, W. Distaso, A. Semenov, A. Skrobotov

COVID-19: Tail risk and predictive regressions

• A1398: P. Kattuman, A. Harvey

Time series models for tracking and forecasting epidemics

More info here.