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 events for the Academic Year 2026/27:

16 December 2026:

Second Junior Milan Time Series Workshop

Upcoming seminars for the Academic Year 2026/27:

16 October 2026 at:

Speaker: Daniele Massacci (King's College London)

Title: Model Comparison with Latent Factors (with Cesare Robotti).

Abstract: We show how to conduct asymptotically valid tests of model comparison when the factors in a given model are latent, that is, are estimated by Principal Component Analysis. By extending the squared Sharpe ratio framework of Barillas, Kan, Robotti and Shanken (2020), our methods fully internalize the uncertainty from estimating the underlying latent factors and allow for formal comparisons of observable and latent factor models. Our analysis can be easily adapted to multiple model comparison. Our empirical results show that latent factor models are outperformed by popular observable factor specifications in the literature.

Location: Catholic University of Milan, Italy

5 November 2026 at 12:30:

Speaker: Giuseppe Cavaliere (University of Bologna)

Title: kappa = 1

Abstract: Integrated autoregressive conditional duration (ACD) models serve as counterparts to integrated generalized autoregressive conditional heteroskedastic models used for financial returns. However, despite their resemblance, asymptotic theory for ACD is still incomplete. Central challenges arise from the facts that: (i) integrated ACD processes imply durations with tail index $\kappa = 1$ and infinite expectation; (ii) conventional asymptotic approaches break down due to the randomness in the number of durations within a fixed observation period. We fill this gap in the literature and provide a unified asymptotic theory for the (quasi)maximum likelihood estimator for integrated ACD models. Based on the new theoretical results, we also provide a novel framework for hypothesis testing in duration models, enabling inference on a key empirical question: whether durations possess a finite or infinite expectation. We apply our results to high-frequency cryptocurrency exchange traded fund (ETF) trading data. Motivated by parameter estimates near the integrated ACD region, we assess whether durations between trades in these markets have finite expectation, an assumption often made implicitly in the literature on point process models. Our empirical findings indicate infinite-mean durations for all five cryptocurrency ETFs examined, and we reject the integrated ACD hypothesis in favor of heavier-tailed alternatives for four out of the five ETFs.

Location: Building U3, Room 05 University of Milano-Bicocca, Italy

17 December 2026 at 12:15

Speaker: Michele Modugno (Board of Governors of FED)

Title: TBA

Abstract: TBA

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

14 January 2027 at

Speaker: Tommaso Proietti (University of Tor Vergata)

Title: TBA

Abstract: TBA

Location: University of Milan, Via Conservatorio 7, 20122, Milan

11 March 2027 at