Egbert Dierker, Emeritus Professor of Economics at the University of Vienna and Senior Fellow at the Institute for Advanced Studies in Vienna, passed away on December 31, 2023. An obituary by Klaus Ritzberger.

Nearly all the members of QED will be present at the 17th International Conference on Computational and Financial Econometrics (CFE2023) in Berlin in December 2023 holding high-quality presentations:

Session “Advances in high-dimensional structural modeling”
Chair and Organizer: Martin Wagner
L. Soegner, M. Wagner “Open-end monitoring of structural breaks in the cointegration VAR”
A. Konstantopoulos, C. Zwatz, M. Wagner “GVAR models and linear transformations of VAR processes”

Session “Cointegration analysis: Nonlinearity, SUR and higher integration orders”
Chair and Organizer: Sebastian Veldhuis
M. Wagner, O. Stypka “Testing linear cointegration against smooth transition cointegration”
K. Reichold, M. Wagner “Smooth transition cointegrating regressions: Modified nonlinear least squares estimation and inference”
F. Knorre, M. Wagner “Fully modified OLS estimation of seemingly unrelated cointegrating polynomial regressions with common regressors”
S. Veldhuis, M. Wagner “Integrated modified OLS estimation and inference in I(2) cointegrating regressions”

Session “Regime switching, filtering and portfolio optimization”
Chair and Organizer: Joern Sass
M. Scholz, J.P. Nielsen, M. Marchese, M.D. Martinez-Miranda “Robustifying and simplifying high-dimensional regression: Applications to financial returns and telematics data”