Milan Time Series Seminars

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:

18 February 2026 at 12:00:

Speaker: Oliver Linton (University of Cambridge)

Title: Multivariate AutoRegressive Smooth Liquidity (MARSLiQ)

Abstract: We propose MARSLiQ (Multivariate AutoRegressive Smooth Liquidity), a multivariate model for daily liquidity that combines slowly evolving trends with short-run dynamics to capture both persistent and transitory liquidity movements. The trend for each asset is estimated nonparametrically and further decomposed into a common market trend, idiosyncratic (asset-specific) trends, and seasonal trends. We introduce a novel dynamic structure in which an asset’s short-run liquidity is driven by its own past liquidity as well as by lagged liquidity of a broad liquidity index (constructed from all assets). This parsimonious specification - combining asset-specific autoregressive feedback with index-based spillovers - makes the model tractable even for high-dimensional systems, while capturing rich liquidity spillover effects across assets. Using the model’s Vector MA representation, we perform forecast error variance decompositions to quantify how shocks to one asset’s liquidity affect others over time, and we interpret these results through network connectedness measures that map out the web of liquidity interdependence across assets.

Location: University of Milano-Bicocca - Room 4096, 4th floor of Building U7, Via Bicocca degli Arcimboldi 8, Milan.

20 February 2026 at 12:15

Speaker: Francesca Monti (Universitè Catholique de Louvain)

Title: The transmission of shocks across sectors and the dynamics of sectoral prices

Abstract: This paper explores the dynamics of U.S. sectoral producer prices in a large Bayesian Vector Auto Regression (BVAR) model where the Input-Output (IO) matrix is used to structure their long-run relationships, allowing to capture flexibly the propagation of micro shocks to aggregate variables. This model’s forecasts of headline inflation have accuracy comparable to the Survey of Professional Forecasters’ and greater than those generated by a standard BVAR with Minnesota priors, confirming that the IO matrix long-run prior conveys relevant information about the data. We identify three key shocks - an oil price shock, a cereal price shock, and a monetary policy shock - using instrumental variables and find that sectoral linkages play a significant role in their transmission. Sectoral asymmetries are crucial for evaluating the macroeconomic consequences of energy price shocks, as industries with slower price adjustments amplify inflation persistence, even after the shock dissipates. And the impact of a sector-specific shock like the cereals price shock is non-negligible once the production network is accounted for.

Location: Politecnico of Milan (Bovisa) - Via R. Lambruschini 4/B, Milan

10 March 2026 at 16:00 (cancelled)

Speaker: Atshushi Inoue (Vanderbilt University)

Title: TBA

Abstract: TBA

Location: Bocconi University, Via Roentgen 1, Milan

17 April 2026 at 12:15

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