Home‎ > ‎

Workshop 12-13 November 2015

University of Bologna, Department of Statistics, Via Belle Arti 41, 40126 Bologna


12 November

    Room III, Department of Statistics, Via Belle Arti 41, second floor

13 November 
     Room 22, Piazza Scaravilli 1, second floor 

Lunches and coffee breaks will take place at the Department of Statistics, Via Belle Arti 41, Room Di Tecco, floor -1. 


Thursday 12 November, Room III, Department of Statistics, Via Belle Arti 41second floor

        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, Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form (with Giuseppe Cavaliere and Morten Nielsen)
17.30-18.30 Salerno Unit, Chair: Marianna Brunetti

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

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

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

20.00  conference dinner

Friday 13 NovemberRoom 22 Piazza Scaravilli 1, 2nd floor 
9.00-10.30  Università di Roma Tor Vergata. Chair:  Raffaello Seri

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, Revisiting Feature Matching in Time Series Modelling

          We recommend hotel Orologio:
          email: orologio@inbo.it   or  orsi.cristina@inbo.it