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The goal of the Milan Time Series Seminars (MiTSS) is to bring together researchers with common interests in time series econometrics. The seminar provides a forum for researchers to present their work to a broad academic and professional audience.
Each seminar lasts for 60 minutes, followed by an informal discussion, and will be delivered at
University of Milan (Statale) - Department of Economics, Management and Quantitative Methods (DEMM),
University of Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) and its datalab,
Fondazioni Eni Enrico Mattei (FEEM)
Politecnico di Milano - Department of Management, Economics and Industrial Engineering
Bocconi University - BAFFI Centre on Economics, Finance and Regulation and Department of Economics Ettore Bocconi
Catholic University of Milan - Department of Economics and Finance
Scientific Committee:
Andrea Bastianin (University of Milan-Statale and FEEM)
Chiara Casoli (University of Insubria and FEEM)
Fabrizio Iacone (University of Milan-Statale)
Matteo Manera (University of Milano-Bicocca and FEEM)
Massimiliano Marcellino (Bocconi University)
Riccardo Masolo (Catholic University of Milan)
Andrea Monticini (Catholic University of Milan)
Matteo Pelagatti (University of Milano-Bicocca)
Luca Rossini (University of Milan-Statale and FEEM)
Daniele Siena (Politecnico di Milano)
Upcoming seminars for the Academic Year 2025/26:
02 October 2025 at 12:15:
Speaker: Hilde Bjørnland (Bi Norwegian Business School)
Title: Oil Market Extremes and Their Unequal Effects on the Economy: A Quantile VAR Analysis
Abstract: Oil price movements exhibit fundamental asymmetries with major macroeconomic implications. We develop a Quantile Vector Autoregression (QVAR) that models the full conditional distribution of oil prices, capturing tail risks and asymmetries in shock transmission. Unlike mean-based approaches, our method traces effects across the distribution, yielding forecasting gains, especially for extreme movements relevant to policy. Structural identification shows moderate oil price increases (10th percentile shocks) stimulate U.S. production and global supply, while large spikes (90th percentile shocks) are contractionary. These findings challenge linear models or models that capture only mean nonlinearities, demonstrating that ignoring distributional heterogeneity can lead to misspecification of oil–macro linkages. The QVAR approach offers a flexible and tractable framework for evaluating oil-driven macro risks and improving forecast performance under uncertainty.
Location: University of Milan, Via Conservatorio 7, 20122, Milan
14 October 2025 at 16:00:
Speaker: Frank Schorfheide (University of Pennsylvania)
Title: TBA
Abstract: TBA
Location: Bocconi University, Via Roentgen 1, Milan
20 October 2025 at:
Speaker: Christiane Baumeister (University of Notre-Dame)
Title: TBA
Abstract: TBA
Location: Catholic University of Milan, Italy
16 December 2025 at:
Speaker: Giovanni Ricco (CREST and Warwick University)
Title: TBA
Abstract: TBA
Location: Catholic University of Milan, Italy
18 February 2026 at 12:00:
Speaker: Oliver Linton (University of Cambridge)
Title: TBA
Abstract: TBA
Location: University of Milano-Bicocca, Italy
20 February 2026 at:
Speaker: Francesca Monti (Universitè Catholique de Louvain)
Title: TBA
Abstract: TBA
Location: Politecnico of Milan (Bovisa) - Via R. Lambruschini 4/B, Italy
10 March 2026 at 16:00
Speaker: Atshushi Inoue (Vanderbilt University)
Title: TBA
Abstract: TBA
Location: Bocconi University, Via Roentgen 1, Milan
XX April 2026 at:
Speaker: Matteo Mogliani (Banque de France)
Title: TBA
Abstract: TBA
Location: Politecnico of Milan (Bovisa) - Via R. Lambruschini 4/B, Italy
12 May 2026 at 16:00
Speaker: Giorgio Primiceri (Northwestern University)
Title: TBA
Abstract: TBA
Location: Bocconi University, Via Roentgen 1, Milan
28 May 2026 at 12:15:
Speaker: Laura Coroneo (University of York)
Title: TBA
Abstract: TBA
Location: University of Milan, Via Conservatorio 7, 20122, Milan
04 June 2026 at:
Speaker: Christian Matthes (University of Notre-Dame)
Title: TBA
Abstract: TBA
Location: Catholic University of Milan, Italy
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