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Final Conference 12-13 September 2016

 

 

Conference

Forecasting Economic and Financial Time Series

Understanding the complexity and modelling structural change

 

 

September 12 – 13, 2016

Villa Mondragone, Via Frascati, 51, 00040 Monteporzio Catone

 

 

Scientific Committee

Stefano Fachin (University of Rome La Sapienza)

Mario Forni (University of Modena-Reggio Emilia)

Michele La Rocca (University of Salerno)

Alessandra Luati (University of Bologna)

Tommaso Proietti (University of Rome Tor Vergata)

Raffaello Seri (University of Insubria)

 

Organizing Committee

Leopoldo Catania (University of Rome Tor Vergata)

Maura Mezzetti (University of Rome Tor Vergata)

Tommaso Proietti (University of Rome Tor Vergata)

 

 

 

 

 

Monday, September 12 – Sala degli Svizzeri

 

08:50 – 09:00

Welcoming words by the Principal Investigator of the Research Project,

Tommaso Proietti (University of Rome Tor Vergata)

Session 1

 

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

 

 

 

 

Session 2

 

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

 

 

 


 

Monday, September 12 – Sala degli Svizzeri

 

Session 3

 

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

 

 

Session 4

 

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


 

Tuesday  September 13 – Sala degli Svizzeri

 

Session 1

 

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

 

 

Session 2

 

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

 


 

Tuesday  September 13 – Sala degli Svizzeri

 

Session 3

 

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

Session 4

 

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

 

 

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