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:

12 May 2026 at 13:15

Speaker: Giorgio Primiceri (Northwestern University)

Title: Bayesian Inference in IV Regressions

Abstract: It is well known that standard frequentist inference breaks down in IV regressions with weak instruments. Bayesian inference with diffuse priors suffers from the same problem. We show that the issue arises because flat priors on the first-stage coefficients overstate instrument strength. In contrast, inference improves drastically when an uninformative prior is specified directly on the concentration parameter - the key nuisance parameter capturing instrument relevance. The resulting Bayesian credible intervals are asymptotically equivalent to the frequentist confidence intervals based on conditioning approaches, and remain robust to weak instruments

Location: Bocconi University, Via Roentgen 1, Milan

28 May 2026 at 12:15:

Speaker: Laura Coroneo (University of York)

Title: Information in (and not in) interest rates surveys

Abstract: We develop a joint term structure model for zero-coupon yields and survey expectations that allows for departures between subjective and objective expectations, arising from biases both in perceived policy responses and in expectations of fundamentals. Using U.S. data, we find evidence of both: reaction function errors at short maturities and probability forecast errors at long maturities. These biases have three main implications. First, survey-implied term premia are systematically lower than those inferred from bond prices. Second, surveys are essential to recover the premium perceived by investors. Third, not accounting for survey biases can distort inference about the dynamics of observed interest rates.

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

Upcoming seminars for the Academic Year 2026/27:

16 October 2026 at:

Speaker: Daniele Massacci (King's College London)

Title: TBA

Abstract: TBA

Location: Catholic University of Milan, Italy