8:00

Opening session: Jacek Prokop (Vice-rector of SGH Warsaw School of Economics)      
                                Joanna Plebaniak (Dean of Collegium of Economic Analysis at SGH Warsaw School of Economics)

             Aula I

 

 

8:15 – 10:30

 

30min (presentation) + 10 min (discussant)

+ 5 min (Q&A)

 

Session 1: Portfolio Analysis and Asset Pricing, Chair: Christian Brownlees (Universitat Pompeu Fabra and Barcelona GSE, Spain)

Aula I

 

Presentation: Ekaterina Kazak (University of Konstanz, Germany), Winfried Pohlmeier (University of Konstanz, Germany) “Testing Out-of-Sample Portfolio Performance

Discussion: Robert A. Korajczyk

 

Presentation: Soohun Kim (Georgia Institute of Technology, US), Robert A. Korajczyk (Northwestern University, US) Large Sample Estimators of the Stochastic Discount Factor

Discussion: Christian Brownlees

 

Presentation: Christian Brownlees, Eulalia Nualart, Yucheng Sun (Universitat Pompeu Fabra and Barcelona GSE, Spain) “Realized networks

Discussion: Winfried Pohlmeier

10:30 – 10:45           Jan ZwierzchowskiIntroduction to STATA” Presentation sponsored by Timberlake Consultants Ltd                                                                Aula I

10:45 – 11:00   Coffee break

 

11:00 – 13:00

 

20min (presentation) + 5 min (discussant)

+ 5 min (Q&A)

 

Session 2A Aula I: Forecasting in Finance, Chair: Antoni Vaello-Sebastià (University of Balearic Islands, Spain)

 

Presentation: Antoni Vaello-Sebastià, Magdalena Vich-Llompart (University of Balearic Islands, Spain) “Can we really discard forecasting ability of risk-neutral densities?

Discussion: Carlos Diaz

 

 

 

 

 

Presentation: Carlos Diaz (University of Leicester) “Extracting the Information Shocks from the Bank of England Inflation Density Forecasts

Discussion: Zuzanna Karolak

 

 

 

 

Presentation: Zuzanna Karolak (SGH Warsaw School of Economics) “Commodity prices forecasting using autoregressive nonlinear models

Discussion: Maziar Sahamkhadam

 

Presentation: Gazi Salah Uddin (Linköping University, Sweden), Ramazan Gençay (Simon Fraser University, Canada), Maziar Sahamkhadam (Linnaeus University, Sweden) “Does multi-scale decomposition improve forecasting horizons in crude oil market?

Discussion: Antoni Vaello-Sebastià

Session 2B Room 1B: Macroprudential Issues, Chair: Konrad Kostrzewa (SGH Warsaw School of Economics)

 

Presentation: Fatma Pinar Erdem, Etkin Ozen, Ibrahim Unalmis (Central Bank of the Republic of Turkey) “Are Macroprudential Policies Effective Tools to Reduce Credit Growth in Emerging Markets?

Discussion: Mihir Dash

 

 

 

 

Presentation: Mihir Dash (Alliance University, India) “Capital Adequacy and Systemic Risk of Banks in India” Discussion: Oskar Krzesicki

 

 

 

 

 

Presentation: Oskar Krzesicki, Marcin Borsuk (Narodowy Bank Polski) „NBP stress testing satellite models

Discussion: tba

 

 

Presentation: Axel Hedström, Nathalie Zelander (Linköping University), Juha Junttila (University of Jyväskylä), Gazi S. Uddin (Linköping University) Emerging Market Contagion under Geopolitical Uncertainty

Discussion: Ewa Syczewska

 

Session 2C Aula II: Economic Modelling, Chair: Carlo Milani (BEM Research, Italy)

 

Presentation: Maryna Brychko (Sumy State University, Ukraine), Hassan Obeid (European Business School, France) “Stakeholder's financial relations and bank business management efficiency: evidence from Ukraine

Discussion: Piotr Dybka

 

 

 

 

Presentation: Michał Chojnowski, Piotr Dybka, Mariusz Kapuściński (SGH Warsaw School of Economics) “Measurement of economic sentiments on the housing market and their impact on monetary policy transmission mechanism

Discussion: Carlo Milani

 

Presentation: Carlo Milani (BEM Research, Italy) “Are foreign banks better at measuring and managing risks? Evidence from European credit markets

Discussion: Rumiana Górska

 

Presentation: Georgios P. Kouretas (Athens University of Economics and Business, Greece), Małgorzata Pawłowska (SGH Warsaw School of Economics, National Bank of Poland) “Does the market structure have an impact on the supply of alternative bank loans in the EU?

Discussion: tba

Session 2D Room 1A: Stock Market Risk, Chair: Anmar AL WAKIL (University of Paris-Dauphine)

 

Presentation: Danilo Carità and Giovanni De Luca (Università degli Studi di Napoli "Parthenope", Italy), Giampiero Maria Gallo (Università di Firenze, Italy) “The evaluation of combination of forecasts for realized volatility using asymmetric loss functions

Discussion: Katarzyna Bień-Barkowska

 

Presentation: Katarzyna Bień-Barkowska (SGH Warsaw School of Economics) “Extensions of the ACD-augmented peak-over-threshold method for assessing value at risk

Discussion: tba

 

 

Presentation: Krzysztof Borowski (SGH Warsaw School of Economics) “Normal distribution of returns of 65 stock exchange indexes

Discussion: Anmar Al Wakil

 

Presentation: Anmar Al Wakil (University of Paris-Dauphine, PSL Research University, France) “Do Hedge Funds Hedge? Evidence from Tail Risk Premia Embedded in Options

Discussion: Danilo Carità

 

13:00 – 13:45   Lunch break

 

13:45 – 14:30

Poster session: Economic Modelling , Chair: Ali Aga Ismayilzade Atxam (Azerbaijan State University of Economics)

Entresol

Presentation: Aleksandra Wójcicka (Uniwersytet Ekonomiczny w Poznaniu, Poland) “The dynamic approach to financial ratios analysis: an experimental approach”

Presentation: Larysa Zomchak, Veronika Marusina (Ivan Franko National University of Lviv, Ukraine) “MIDAS-model of Ukrainian GDP forecasting on the basis of mixed social-economic development data”

Presentation: Rumiana Górska (SGH Warsaw School of Economics) “Decomposition of sovereign CDS spread using the concept of factorization”

Presentation: Aneta Maria Kłopocka (University of Finance and Management, Warsaw) “Does the Buffer Stock Model Explain the Household Saving Rate in CEE Countries? An empirical analysis of Poland”

Presentation: Ali Aga Ismayilzade Atxam (Azerbaijan State University of Economics) “Human resources as the most important production and investment resource”

Presentation: Alba Kruja (Luigj Gurakuqi University, Albania) “Non-linearity of the debt-growth relationship. Albanian empirical evidence”

Presentation: Larysa Zomchak (Ivan Franko National University of Lviv, Ukraine), Andriy Skrypnyk and Maryna Nehrey (National University of Life and Environmental Sciences of Ukraine) “An analysis of deposit portfolio in macroeconomic instability”

Presentation: Worku R. Urgaia (Addis Ababa University, Ethiopia and JIBS, Jonkoping University, Sweden) “Impact of foreign direct investment on GDP growth in the East Africa”

Presentation: Mohd Afjal (Aligarh Muslim University, India) “Testing Causal relations of Macroeconomic Determinants with the Stock Market in India: A Time Series Analysis”

Presentation: Alexandra M. Espinosa (Escuela Politécnica Nacional, Ecuador) “The Cournot-Ricardo Solution under Domestic Free Movement of Labour”

Presentation: Jugnu Ansari (Reserve Bank of India) “Financial Constraints and Financing Distress of Corporate”

Presentation: Chinmaya Behera (GITAM University), Biswashree Tanaya Priyadarsini (Rourkela Institute of Management Studies) “Nexus between Monetary and Fiscal Policies in India: Role of Central Bank and Government”

Presentation: Michał Konopczak (SGH Warsaw School of Economics) “Impact of ECB announcements of asset purchase programmes on sovereign bond markets in individual EU Member States”

 

14:30 – 16:00

 

20 min (presentation) + 5 min (discussant)

+ 5 min (Q&A)

 

Session 3A Aula I: Sovereign Risk, Chair: Andreas Tsopanakis (Cardiff University, UK)

 

Presentation: Jana Ohls (Deutsche Bundesbank) “Moral Suasion in Regional Government Debt Markets

Discussion: ---

 

 

 

 

 

 

Presentation: Karolina Konopczak, Michał Konopczak (SGH Warsaw School of Economics) “Impact of international capital flows on emerging markets’ sovereign risk premium – demand vs. vulnerability effect

Discussion: Jana Ohls

 

 

 

Session 3B Room 1B: Econometric Forecasting, Chair: Yongli Wang (University of Leicester, UK)

 

Presentation: Krystian Jaworski (SGH Warsaw School of Economics) “Density forecasts of emerging markets’ exchange rates using Monte Carlo simulation with regime switching

Discussion: Yongli Wang

 

 

 

 

Presentation: Konrad Kostrzewa, Maciej Kowalczyk, Tomasz Szabluk (SGH Warsaw School of Economics) “Sovereign bond CDS portfolio risk modeling with copulas

Discussion:tba

 

 

 

Presentation: Yongli Wang (University of Leicester, UK) “Optimal Window Selection for Forecasting in The Presence of Recent Structural Breaks

Discussion: Krystian Jaworski

 

Session 3C Aula II: Economic Modelling, Chair: Dorota Skała (University of Szczecin, Poland)

 

Presentation: Andreas Stephan, Aleksandar Petreski (Jönköping International Business School) “Spatial dimension of the credit risk: spatial filter approach

Discussion: Dorota Skała

 

 

 

 

Presentation: Rafał Raciborski (Vistula University, Poland) “Structural and financial cycles

Discussion:tba

 

 

 

 

 

Presentation: Dorota Skała (University of Szczecin, Poland) “Does shareholder structure affect income smoothing in Central European banks?

Discussion: tba

 

Session 3D Room 1A: Asset Pricing, Chair: Wasin Siwasarit (Thammasat University, Thailand)

 

Presentation: Martin Bohl, Christoph Sulewski (University of Münster, Germany) “The Impact of Long-Short Speculators on Agricultural Commodity Futures Prices

Discussion: Dobromił Serwa

 

 

 

 

Presentation: Po-Lin Wu, Wasin Siwasarit (Thammasat University, Thailand) “Capturing the order imbalance with hidden Markov model: a case of SET50 and KOSPI50

Discussion: Christoph Sulewski

16:00 – 16:15   Coffee break

16:15 – 16:30          Remigiusz Lipiec Accelerating Model Development in Finance with MATLAB Presentation sponsored by Oprogramowanie Naukowo-Techniczne              Aula I

 

16:30 – 18:00

 

20min (presentation) + 5 min (discussant)

+ 5 min (Q&A)

Session 4 Aula I: Macroeconometrics, Chair: Michał Rubaszek (SGH Warsaw School of Economics)

 

Presentation: Wojciech Charemza (Vistula University, Poland), Carlos Diaz (University of Leicester, UK), Svetlana Makarova (University College London, UK) “Quasi ex-ante inflation forecast uncertainty

Discussion: Adam Golinski

 

Presentation: Adam Golinski (University of York, UK) “Monetary Policy at the Zero Lower Bound: Information in the Federal Reserve's Balance Sheet

Discussion: Michał Rubaszek

 

Presentation: Marcin Kolasa, Michał Rubaszek (SGH Warsaw School of Economics) “Does foreign sector help forecast domestic variables in DSGE models?

Discussion: Wojciech Charemza

18:00

Closing session          Aula I

 

              *presenting person denoted in bold