[Forum SIS] Workshop PRIN2010-11 Forecasting economic and financial time series, Bologna 12-13 Novembre

Ven 6 Nov 2015 15:03:30 CET

Gentili Soci,

Comunico che nell’ambito del PRIN2010-11 abbiamo organizzato un workshop
dal titolo ‘Forecasting economic and financial time series’. 

Si terrà a Bologna il 12-13 novembre ed avrà il programma seguente (per
aggiornamenti si rimanda a
https://sites.google.com/site/prin2010feftse/home/workshop-in-bologna-12-13-
november)

Venue

12 November

*	11-12.30 Room III,
<https://www.google.it/maps/place/Department+of+Statistical+Sciences+Univers
ity+of+Bologna/@44.49772,11.3500941,17z/data=!3m1!4b1!4m2!3m1!1s0x477fd4bb13
ac7277:0x11353e44ae6d00a5> Department of Statistics, Via Belle Arti 41,
second floor 
*	14-18.30 Room San Giacomo, via San Giacomo 2, ground floor  

13 November 

        Room 22,
<https://www.google.it/maps/place/Piazza+Antonio+Scaravilli,+1,+40126+Bologn
a/@44.497023,11.3501266,17z/data=!3m1!4b1!4m2!3m1!1s0x477fd4bb0bf2eba7:0x6cd
b4c9aff977326> Piazza Scaravilli 1, second floor 

PROGRAMME

Thursday 12 November

10.45-11.00 Welcome address 

11.00-12.30 Università di Roma La Sapienza . Chair: Alessandra Luati

11.00-11.30 Roberto Baragona, Empirical Likelihood and Outliers

11.30-12.00 Massimo Franchi, A small simulation study on the robustness of
cointegration methods against local to unity alternatives (joint with Soren
Johansen)
12.00-12.30 Stefano Fachin, Common Factors and spatial spillovers in the
industrial development of the Italian regions, 1861-1913: new evidence

12.30-14.00 lunch

14.00-15.30 Università dell'Insubria Varese.  Chair: Michele La Rocca  

14.00-14.30 Rocco Mosconi e Paolo Paruolo, A racetrack for I(1) and I(2)
algorithms 

14.30-15.00 Raffaello Seri, Infinite weighted sums of chi square random
variables: econometric examples and approximations

15.00-15.30 Carlo Brambilla e Giuseppe Conti, New bottles, old wine?
Concentrations and performances in Italian banking, 1980s-2000s

15.30-16.00 coffee break

16.00-17.00 Invited talk: Robert Taylor

17.30-18.30 Salerno Unit, Chair: Marianna Brunetti

17.30-18.00 Pietro Coretto, Clusterwise robust autoregressive conditional
heteroskedasticity (joint with Michele La Rocca, Giuseppe Storti)

18.00-18.30 Francesco Giordano, Nonparametric estimation and inference for
the volatility function with applications to model testing and robust risk
evaluation (joint with Maria Lucia Parrella)

18.30-19.00 Vincenzo Candila, Evaluation of volatility forecasts in a VaR
framework (joint with Alessandra Amendola)  

20.00  conference dinner

Friday 13 November, Aula 22
<https://www.google.it/maps/place/Piazza+Antonio+Scaravilli,+1,+40126+Bologn
a/@44.497023,11.3501266,17z/data=!3m1!4b1!4m2!3m1!1s0x477fd4bb0bf2eba7:0x6cd
b4c9aff977326> Piazza Scaravilli 1, 2nd floor 

9.00-10.30  Università di Roma Tor Vergata. Chair:  Lucia Parrella

09:00-09.30 Gianluca Cubadda, Index Augmented Autoregressive Models:
Representation, Estimation and Forecasting (joint with Elisa Scambelloni)

09:30-10.00 Leopoldo Catania, Flexible Adaptive Dynamic Mixture Models with
Applications

10.00-10.30 Tommaso Proietti, Exponential Smoothing, Fractional Integration
and Volatility Prediction   

10.30-11.00 coffee break

11.00-12.30  Università di Modena. Chair:  Alessandro Giovannelli 

11:00-11:30 Maddalena Cavicchioli, Validating Markov Switching VAR through
Spectral Representations (joint with Monica Billio..) 

11:30-12:00 Andrea Cipollini, Volatility risk premia and financial
connectedness (joint with Iolanda Lo Cascio e Silvia Muzzioli) 

12:00-12:30 Mario Forni, Measuring Fundamentalness and Partial
Fundamentalness in Structural VARs (joint with Luca Gambetti and Luca Sala)

12.30-14.00 lunch 

14.00-15.00 Invited talk: Howell Tong, From Fibonacci to NeSS 

15.00-16.30 University of Bologna. Chair: Francesco Battaglia

15.00-15.30 Luisa Bisaglia: Integer-valued time series: some further
research

15.30-16.00 Paolo Foschi,  Dickey-Fuller, Sup-Dickey-Fuller and
semi-parabolic Cauchy-Dirichlet PDE problems

16.00-16.30 Simone Giannerini, TBA

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Chi fosse interessato a partecipare può inviare una email a
tommaso.proietti at uniroma2.it <mailto:tommaso.proietti at uniroma2.it> 

Cordiali saluti,

Tommaso Proietti

-----------------------------------------------------

托玛索 Tommaso Proietti

Dipartimento di Economia e Finanza, Università di Roma 'Tor Vergata'

Via Columbia 2, 00133 Roma.

Tel +39 06 7259 5941. Email:  <mailto:%20tommaso.proietti at uniroma2.it>
tommaso.proietti at uniroma2.it

Website:  <http://www.economia.uniroma2.it/def/>
http://www.economia.uniroma2.it/def/

PhD Economics and Finance Website:
<http://www.economia.uniroma2.it/phd/ef/>
http://www.economia.uniroma2.it/phd/ef/

Statistical Methods and Applications
<http://www.springer.com/statistics/journal/10260>
http://www.springer.com/statistics/journal/10260

New journal: Econometrics and Statistics
<http://www.cfenetwork.org/CFE2015/EcoSta_board.php>
http://www.cfenetwork.org/CFE2015/EcoSta_board.php

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