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:

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: