Methods in International Finance Network (MIFN) Conference
The Departments of Economics and Applied Finance and Actuarial Studies, in conjunction with the Centre for Financial Risk at Macquarie University, hosted The 6th Methods in International Finance Conference.
DAY ONE: Friday 24 August
Welcome: Premier Room
||Plenary address: Wolfgang Haerdle
"An Axiomatic and Data Driven View on the EPK Paradox” (PDF)
Discussant: Heather Anderson
Chair: Stefan Trueck
||Track 1: Premier room (downstairs)||Track 2: Cove Room (ground floor)|
|10.00 - 10.45
"Optimal Chinese Monetary Policy Under Low Global Interest Rates" (PDF)
Discussant: Ying Li
Chair: Jean-Francois Carpentier
"Systematic Risk and Credit Ratings" (PDF)
Discussant: Bertrand Candelon
Chair: Christophe Hurlin
||Jeff Sheen/Ben Wang
"Estimates for Australia of a Small Open Economy Model with Labour Market Frictions" (PDF)
Discussant: James Morley
Chair: Glenn Otto
"Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling" (PDF)
Discussant: Valentyn Panchenko
Chair: Wolfgang Haerdle
|12.00 – 1.30||Lunch
“Flexible Inflation Forecast Targeting: Evidence from Canada” (PDF)
Discussant: Alan Rai
Chair: Lance Fisher
"Do We Need Intra-Daily Data to Forecast Daily Volatility?" (PDF)
Discussant: Yuri Salazar
Chair: Egon Kalotay
|2.15- 3.00||Qing Han
"Further evidence on the stationarity of China's macroeconomic series" (PDF)
Discussant: Roselyne Joyeux
Chair: Yin-Wong Cheung
"A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus DCoVaR" (PDF)
Discussant: Mark Spiegel
Chair: Ekaterini Panopoulou
|3.00 – 3.30||Afternoon Tea
|3.30 – 4.15||Erica Perego
"Macroeconomic determinants of European stock and government bond correlations: A tale of two regions" (PDF)
Discussant: Michel Beine
Chair: Natalia Ponomareva
“The Count of Monte Carlo: Analysing Global Banking and Currency Crises, 1883-2008” (PDF)
Discussant: Eiji Fujii
Chair: Heather Anderson
“Nonparametric Estimation of General Multivariate Tail Dependence and Application to Financial Time Series” (PDF)
Discussant: Andy Tremayne
Chair: Harald Scheule
“Mixture Modeling of Ultimate Recoveries on Defaulted Debt” (PDF)
Discussant: Chris Heaton
Chair: Qing Han
Conference Dinner (by invitation)
Bayly’s Restaurant – Downstairs at the Ensemble Theatre, 78 Mc Dougall Street, Kirribilli
(As there is also a performance in the adjoining theatre, your prompt arrival would be appreciated)
Alternatively, it is 3 mins by taxi.
DAY TWO: Saturday 25 August
||Track 1: Premier Room (downstairs)
||Track 2: Cove Room (ground level)
“Modeling financial mutations” (PDF)
Discussant: Vance Martin
Chair: Mark Spiegel
"Real exchange rate and human capital: revisiting the Balassa-Samuelson effect" (PDF)
Discussant: Yin-Wong Cheung
Chair: Marc Joets
"Assessment of Rating Agency's Information Value - China Case" (PDF)
Discussant: Harald Scheule
Chair: Renee Adams
"Dutch Disease and the Mitigation Effect of Migration: Evidence from Canadian Provinces" (PDF)
Discussant: Natalia Ponomareva
Chair: Jeff Sheen
“Common nonlinearities in multiple series of stock market volatility” (PDF)
Discussant: Christophe Hurlin
Chair: Marc Joets
"A Hybrid Model for Equity Indices and Stochastic Interest Rates" (PDF)
Discussant: Denisa Banulescu
Chair: Alan Rai
"A Quantile Regression Approach to Equity Premium Prediction" (PDF)
Discussant: Erica Perego
Chair: Andy Tremayne
“Out-of-sample comparison of copula specifications in multivariate density forecasts with emphasis on tail behaviours” (PDF)
Discussant: Wolfgang Haerdle
Chair: Roselyne Joyeux
"Commodity Currencies and Commodity Prices: Modeling Static and Time-Varying Dependence" (PDF)
Discussant: Glenn Otto
Chair: Michel Beine
"Exchange Rate Misalignment Estimates – Sources of Differences" (PDF)
Discussant: Fengming Qin
Chair: Ying Li
“Testing for crude oil markets globalization during extreme price movements” (PDF)
Discussant: Stefan Trueck
Chair: Valentyn Panchenko
"Reassessing the link between market illiquidity and economic growth" (PDF)
Discussant: Jean-Francois Carpentier
Chair: Erica Perego
“Short- and long-run causality between energy consumption and economic growth: Evidence across regions in China” (PDF)
Discussant: Ekaterini Panopoulou
Chair: Denisa Banulescu
"What do bankers know?"
Discussant: Katja Ignatieva
Chair: James Morley
“State-Dependent Effects of Fiscal Policy” (PDF)
Discussant: Jeff Sheen
Chair: Bertrand Candelon
Conference concludes at 5pm.
Informal Drinks to follow at Lord Nelson Brewery Hotel, The Rocks.
- Invited authors should submit the titles of their paper by 1st June, 2012 and their completed papers by 1st August, 2012 to Linda Drake.
- PhD students associated with invited authors are welcome to submit a paper for possible inclusion at the conference.
- Please indicate if you are willing to be a discussant.
- Copies of papers, together with the names of discussants, will be posted on the program page when available.
- When: Friday 24th August
- Time: 7pm
- Where: Bayly's Restaurant, Enesemble Theatre, Kirribilli
For budget options, you may wish to consider the following as accommodation in Sydney can be expensive. Booking in advance will help secure the lowest rates. Because the conference is being held during university term time, we are not able to offer campus based college accommodation to delegates or PhD students.
A fairly new hotel-style youth hostel, located in Sydney's The Rocks. Can walk across the Harbour Bridge to the conference venue, or one train stop away. A handy location for those wanting to explore Sydney.
A small boarding house style hotel, in an excellent location close to the conference venue.
Popular, but can be noisy with a party atmosphere and young crowd. Catch train one stop to conference.
Reasonable hotel accommodation (double room with own bathroom, safe location) will normally cost +$150/night. You may find these sites useful:
We are happy to advise if you are unsure whether a location is suitable.
The conference is being held at Milsons Point/Kirribilli, which is on the northern side of Sydney Harbour.
Travelling from the Airport
If you’re staying at the Vibe Hotel, North Sydney:
Request driver takes you to Vibe Hotel, North Sydney, next to Milsons Point railway station, and uses the Alfred Street exit once over the Harbour Bridge. Depending on traffic, about 15-20 mins from airport. Tolls will be added to the fare.
The airport train (green line) runs into the city every 15 minutes or so. You will need to change trains at Central onto either the red or yellow train lines that cross the Harbour Bridge. It’s three stops from Central to Milson’s Point station, and the hotel is opposite the station. The International Airport Station entry is in the terminal building.
The NSW Transport Info Website can help you plan your trip on Sydney's public transport.
Entry requirements to Australia
Visitors to Australia attending MIFN will need to check their visa requirements and most travellers will require a visa or similar electronic permit. General information at the Department of Immigration website.
Here is some information for people travelling to Australia to attend an event (PDF), such as the MIFN conference.
Please read this document carefully to be sure you apply for the correct visa or travel authority. Visitors from the EU and a number of European countries have different requirements from other countries. Most applications can be made online.
Please apply for your visa well in advance of travel. If you are travelling with family members, each person will require their own entry visa.
Quarantine laws in Australia are among the strictest the world. If you bring any food with you – including confectionary or packaged items – it must be declared upon arrival. You will be allowed to keep most items if they are commercially prepared, but bringing any fruit and other plant matter into the country is generally not permitted. Here is some information on Quarantine restrictions.
More about Sydney
The Visit NSW website contains more information about Sydney, which will help you plan your visit.
||Heather Anderson||Michel Beine|
|Bertrand Candelon||Yin-wong Cheung||David Colwell|
|Eiji Fujii||Wolfgang Haerdle||Tony Hall|
|Qing Han||Christophe Hurlin||Katja Ignatieva|
|Vance Martin||James Morley||Valentyn Panchenko|
|Harald Scheule||Glenn Otto||Ekaterini Panopolou|
|Mark Spiegel||Susan Thorp||Rodney Wolf|
|Professor Jeffrey Sheen
||Professor Stefan Trueck