08:50 – 09:00

Welcoming words by the Principal Investigator of the Research Project,

Tommaso Proietti (University of Rome Tor Vergata)

09:00 – 09:30

Marco Lippi  (EIEF, Rome)  Factor models and two macroeconomic issues: Aggregation and fundamentalness

09:30 – 10:00

Francesco Battaglia (Univ of Roma, La Sapienza), Portmanteau tests based on quadratic forms in the autocorrelations (with R Baragona and D Cucina)

10:00 – 10:30  

Francesca Di Iorio (Univ of Naples Federico II) Evaluating Restricted Common Factor Models for Non-Stationary Data (with S Fachin)

10:30 – 11:00

Coffee Break

11:00 – 11:30

Tata Subba Rao (University of Manchester). Prediction and Modelling of Spatio-Temporal Data – A Frequency Domain Approach (with G Terdik)

11:30 – 12:00

Maura Mezzetti (Univ Rome Tor Vergata) Modelling spatial correlation by the matrix exponential model (with M Strauss and S Leorato)

12:00 – 12:30

Maria Lucia Parrella (Univ of Salerno), Modelling high-dimensional time series efficiently by means of constrained spatio--temporal models

12:30 – 14:00

Lunch

14:00 – 14:30

Niels Haldrup  (University of Aarhus and CREATES)  Sources of Long Memory 

14:30 – 15:00

Carlo Brambilla (Univ Insubria, Varese) Structural change and efficiency in the Italian banking system: An assessment using DEA, 1979-2010 (with R Seri)

15:00 – 15:30

Fausto Galli (Univ Salerno) Indirect estimation of generalized linear dynamic panel data models (with A Cosma)

15:30 – 16:00

Coffee Break

16:00 – 16:30

Alessandra Amendola (Unisa). Combining multiple frequencies in multivariate volatility forecasting (with V Candila, G Storti)

16:30 – 17:00

Rocco Mosconi (Politecnico di Milano) Specification, Identification and Likelihood Maximization developments in the I(2) model (with P. Paruolo)

17:00 – 17:30

Umberto Triacca (Univ L’Aquila) Granger causality between vectors of time series: A Puzzling Property

17:30 – 18:00

Tommaso Proietti (Univ of Rome, Tor Vergata) Optimal linear estimation of stochastic trends (with A Giovannelli)

20:00

Dinner: VINOTECA SAN MARCO,

Via di Mola Cavona, 26 /28, Frascati (RM) - 00044

Tel: 06.94299033; info@vinotecasanmarco.it

09:00 – 09:30

Alesssandra Luati (University of Bologna) The predictive density of a GARCH(1,1) process (with K. Abadir e P. Paruolo)

09:30 – 10:00

Gianluca Cubadda (Rome Tor Vergata) A Vector Heterogeneous Autoregressive Index Model for Realized Volatility Measures  (with A Hecq and B Guardabascio)

10:00 – 10:30

Leopoldo Catania (Univ Rome Tor Vergata) Dynamic Adaptive Mixture Models

10:30 – 11:00

Coffee Break

11:00 – 11:30

Michael Wolf (University of Zurich) Large Dynamic Covariance Matrices (with R Engle and O Ledoit)

11:30 – 12:00

Raffaello Seri (Insubria, Varese) Asymptotic properties of growth rates

12:00 – 12:30

Marianna Brunetti (Univ Roma, Tor Vergata) Public Health Insurance and Household Portfolio Choices: Unravelling Financial “Side Effects” of Medicare (with V Atella)

12:30 – 14:30

Lunch + Visit archeological site Barco Borghese

14:30 – 15:00

Eric Hillebrand (Creates, Aarhus) Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models

15:00 – 15:30

Giuseppe Storti (Unisa)  Least squares estimation for GARCH (1,1) model with heavy tailed errors (with A Preminger)

15:30 – 16:00

Coffee Break

16:00 – 16:30

Manfred Deistler (Vienna University of Technology): Linear dynamic models and mixed frequency data

16:30 – 17:00

Simone Giannerini (University of Bologna) Entropy based tests of dependence for categorical time series (with G. Goracci)

 17:00 -17:30

Massimo Franchi (Univ Rome, La Sapienza) A general representation theorem for cointegration (with P. Paruolo)

20:00

Dinner

Ristorante Cacciani, via A. Diaz, 13 - 00044 Frascati