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Universita` di Trieste






selection of papers to appear in

Universita` di Udine


Call for papers


Wednesday 30 August

Lodging  Map of Udine
Train from Vienna


9.30-10.30 Howell Tong London School of Economics
Some new results in threshold moving average models

coffee break - poster session 1

11.00-13.00 Session 1 Nonlinearity and semi/non-parametrics (tentative)
Dennis W. Jansen Texas A&M University
Evidence on asymmetric gasoline price response from error correction models with Garch errors
Marcelo C. Medeiros Pontifical Catholic University of Rio de Janeiro
A (semi-)parametric functional coefficient autoregressive conditional duration model
Zaka Ratsimalahelo University of Franche-Comté
Efficient non-linear and nonparametric prediction
Mohitosh Kejriwal Boston University
Estimating and testing multiple structural changes in cointegrated regression models


14.30-16.00 Session 2* Tests for dependence in time series
Sebastiano Manzan University of Leicester
A bootstrap-based non-parametric forecast density
Dimitris Kugiumtzis Aristotle University of Thessaloniki
Surrogate data test for nonlinearity: pros and cons
Cees Diks University of Amsterdam
Tests for serial independence based on quadratic forms

coffee break - poster session 1 continued

16.30-18.00 - Session 3* Modeling nonlinear dependence in time series
Ana-Maria Fuertes Cass Business School
Nonlinearities in interest rate pass-through using a panel of UK data
Valentyn Panchenko University of Amsterdam
Estimating and evaluating the predictive abilities of semiparametric multivariate models with application to risk management
Angelos Kanas University of Crete
Real exchange rates, stationarity, and developing countries
*Sessions organized by Cees Diks

Thursday 31 August


9.00-10.00 Timo Terasvirta Stockholm School of Economics
Modelling autoregressive processes with a shifting mean

10.00-13.00 Session 4 Interest rates, inflation and risk (tentative)
Kevin J. Lansing Federal Reserve Bank of San Francisco
Time-varying U.S. inflation dynamics and the new Keynesian Phillips curve

coffee break

Travis Nesmith Federal Reserve System, Washington
Linear cointegration of nonlinear time series with an application to interest rate dynamics
Theofanis Archontakis Johann Wolfgang Goethe-University
Threshold dynamics of short-term interest rates: Empirical evidence and implications for the term structure
Andrea Beccarini University LUISS and University of L'acquila
Interest rates and business cycle fluctuations: A focus on higher moments
Marcelo Fernandes University of London
The efficiency of risk sharing between UK and US: Estimation and calibration under market incompleteness


14.30-16.00 Session 5* Applications of nonlinear time series analysis in international finance
Matthieu Bussiere European Central Bank
Exchange rate pass-through in the G7 economies: the role of non-linearities and asymmetries
Jerry Coakley University of Essex
TAR models of the basis in commodity futures
Heikki Kauppi University of Helsinki
Predicting U.S. recessions with dynamic binary response models

coffee break

16.30-18.00 Session 6* Applications of nonlinear time series analysis in macroeconomics
Ana Galvao Bank of Portugal
The changing effect of the yield curve on GDP growth
James Morley Washington University in St. Louis
A multi-stage adaptive particle filter for nonlinear time series models
Dick van Dijk Erasmus University Rotterdam
Instability and nonlinearity in the EURO area Phillips curve
*Sessions organized by Dick van Dijk

Friday 1 September


9.00-10.00 Antonello Provenzale Ist. di Scienze dell'Atmosfera e del Clima, CNR, Torino
Empirical models in Ecology:An example of mountain ungulates

coffee break

10.30-12.30 Session 7 Non linear time series analysis in geophysics*
Paulo Gonçalves INRIA - ENS, Lyon
Empirical Mode Decomposition: Definition and application to non-linear time series
Roberto Carniel University of Udine
Seismic site effects estimation from experimental time series: what can innovative dynamical systems and time series analysis techniques offer?
Reto Holzner Spectraseis Technologie AG, Zurich
Interpretation of Hydrocarbon Microtremors as nonlinear oscillations driven by oceanic background waves
Luciano Telesca CNR Inst. of Methodologies for Environmental Analysis, Tito, Italy
Clustering in temporal distribution of environmental and geophysical point processes
*Session organized by Roberto Carniel



Workshop co-sponsored by
Italian Ministry of Universities, PRIN2004
Numerical and graphical methods for the analysis of time series data
Italian Society of Chaos and Complexity
University of Udine
Workshop Secretary
Petra Malisan
Workshop Program
Quick Links:
Organizing Committee
Marji Lines

Roberto Carniel
Alfredo Medio
Serena Fonda
Sergio Invernizzi
Aldo Casaleggio
Sebastiano Manzan