Junior MITSS

First Junior Milan Time Series Workshop (Junior MiTSS)

Date: Monday 31 March 2025

Venue: Sala Lauree, Department of Economics, Management and Quantitative Methods (Via Conservatori 7, 20122, Milan) - Maps

Organizing Committee: Elisabetta Mirto, Lorenzo Tonni, and Andrea Viselli (University of Milan).

PROGRAM

9:00 - 9:20 - Registration

9:20 - 9:30 - Opening Remarks from Alessandro Missale (Head of the Department of Economics, Management and Quantitative Methods) 

9:30 - 11:30 - SESSION 1 - CLIMATE AND ENERGY

9:30 - 10:00 - Serena Ionta (Bocconi University) - "Climate policy uncertainty and financial dynamics: Insights from a Bayesian SVAR analysis" (jointly with M. Guidolin) - Discussant: Elisa Ossola (University of Milan-Bicocca)

10:00 - 10:30 - Pascal Frank (University of Notre Dame) - "Oil, Inflation Expectations, and Household Heterogeneity: A nonlinear cross-Sectional VAR approach" (jointly with M. C. Baumeister, F. Huber, and G. Koop) - Discussant: Daniele Valenti (Polytechnic of Milan and FEEM)

10:30 - 11:00 - Andrea Viselli (University of Milan) - "Modeling European Electricity Market Integration during turbulent times" (jointly with F. Ravazzolo and L. Rossini) - Discussant: Matteo Pelagatti (University of Milan-Bicocca)

11:00 - 11:30 - Daniele Girolimetto (University of Padova) - "Multi-task forecast combination: a stacked regression approach" - Discussant: Fabrizio Iacone (University of Milan)

11:30 - 12:00 - COFFEE BREAK

12:00 - 13:00 - KEYNOTE SPEAKER: 

ROBERTO CASARIN (CA' FOSCARI UNIVERSITY OF VENICE) -

 "A spatiotemporal Gamma Shot Noise Cox Process" (jointly with F. Bassetti and M. Iacopini)

13:00 - 14:00 - LUNCH AND POSTER SESSION (see at the end of the page)

14:00 - 15:30 - SESSION 2 - METHODS IN TIME SERIES

14:00 - 14:30 - Shuo-Chieh Huang (Rutgers University) - "Temporal Wasserstein imputation: Versatile missing data imputation for time series" (jointly with Tengyuan Liang and Ruey S. Tsay) - Discussant: Silvia Sarpietro (University of Bologna)

14:30 - 15:00 - Bjarni Einarson (Central Bank of Iceland) - "Measuring and forecasting quantiles with latent components" - Discussant: Tommaso Tornese (Catholic University of Milan)

15:00 - 15:30 - Marco Tedeschi (Marche Polytechnic University) - "Honey, we shrunk the IRFs! Using 1-norm regularisation to improve inference in structural VAR models" (jointly with R. Lucchetti) - Discussant: Chiara Casoli (University of Insubria and FEEM).

15:30 - 16:00 - COFFEE BREAK

16:00 - 17:30 - SESSION 3 - APPLIED MACRO

16:00 - 16:30 - Damiano Di Francesco (Sant'Anna School of Advanced Studies) - "Are Hysteresis Effects Nonlinear?" (jointly with O. Carnevale) - Discussant: Alessio Volpicella (University of Pavia)

16:30 - 17:00 - Lorenzo Tonni (University of Milan) - "Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy" (jointly with M. Barigozzi and C. Lissona) - Discussant: Riccardo Masolo (Catholic University of Milan).

19:30 - Social Dinner (invitation only)

POSTER SESSION PAPERS AND PRESENTERS

• Gregorio Ghetti (University of Bicocca-Milan and European Central Bank) - "Determinants of house prices in the Euro Area" (jointly with G. De Nora)

• Ryohei Oishi (University College London) - "Simulation pseudo-bias robust modified harmonic mean estimator for marginal likelihoods and its extension"

• Martin Fankhauser (Bocconi University) - "A robust Bayes approach to optimal policy and endogenous macro equations"

• Tobias Scheckel (University of Salzburg) - "Bayesian modelling of VAR precision matrices using stochastic block networks" (jointly with F. Huber, G. Koop and M. Marcellino)

• Amare A. Mersha (University of Milan) - "Technical versus environmental efficiency in steel production: A global perspective" (jointly with G. Benini, E. Enstad and L. Rossini)