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Luiss Guido Carli

Logo Luiss

First Rome Workshop of Time Series and Financial Econometrics

11 October 2019 at 9:30 AM
Luiss LOFT Viale Romania 32, Roma
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Workshop organized by Associate Professor Paolo Santucci De Magistris of the Luiss Department of Economics and Finance in collaboration with Associate Professor Stefano Grassi of the University of Rome Tor Vergata, who will organize the next meeting in 2020.

This workshop is an occasion for both junior and senior researchers of Rome-based institutions (Luiss, Sapienza, Tor Vergata and Banca d’Italia) to interact and share ideas. The aim of the meeting is to give young scholars in the field of time series and financial econometrics the possibility of presenting their most recent works and interacting with more senior scholars.

The workshop is divided into 8 sections of 45 minutes composed of: 30 minutes of presentation, 10 minutes of discussion by a senior researcher and 5 minutes of questions from the audience.

Program

Presentations

Marco Lippi Fellow Einaudi Institute for Economics and Finance "Topics of Factor VAR Models"

Valentina Raponi Assistant Professor IESE Business School "Detecting Spurios Factor using Cross-Sectional Regression"
Discussant: Gianluca Cubadda Full Professor Tor Vergata University

Federico Carlini Assistant Professor Luiss University "Vector Autoregressive Model with Dynamic Factors"
Discussant: Søren Johansen Emeritus Professor Copenaghen University

Alessandro Casini Assistant Professor Tor Vergata University "Theory of Evolutionary Spectra for Heteroskesdasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models"
Discussant: Massimo Franchi Associate Professor Sapienza University

Leopoldo Catania Assistant Professor Aarhus University "Semiparametric Modeling of Multiple Quantiles"
Discussant: Davide Pirino Associate Professor Tor Vergata University

Emilio Zanetti Chini Assistant Professor Sapienza University "Strategic judgment: its game-theoretic foundations, its econometric elicitation"
Discussant: Barbara Guardabascio Researcher ISTAT

Alessandro Giovannelli Assistant Professor Tor Vergata University "Nowcasting Monthly GDP: a Model Averaging Approach"
Discussant: Stefano Fachin Full Professor Sapienza University

Giuseppe Buccheri Post Doc Scuola Normale di Pisa "A High-Dimensional Realized Covariance Dynamic Factor Model: analysis, estimation and forecasting"
Discussant: Davide delle Monache Economist at Bank of Italy

More information and contact (registration required)