This one-day cemmap workshop has been organised with joint funding from the ERC (grant 312474).
Please note that registration is from 09:30.
The workshop will bring together researchers working at the frontier of econometrics of financial and macroeconomic data. The talks will introduce new techniques for modelling and estimating dynamic relationships in economics and finance. Topics include structural breaks in economic and financial data, robust inference in vector autoregressions, high-dimensional modelling of asset returns, the econometrics of dynamic stochastic general equilibrium models, and weak identification in dynamic models.
Speakers include: