Econometrics in the Arena 2019 Program
Thursday, 12/09/2019
08:15-08:45 Registration
08:45-09:00 Welcome
09:00-09:40 Federico Martellosio. Shrinkage estimation of network spillovers with factor structured errors (with Ayden Higgins)
09:40-10:20 Liudas Giraitis. Robust Tests for White Noise and Cross-Correlation (with Violetta Dalla and Peter C.B. Phillips)
10:20-10:50 Coffee
10:50-11:30 Tassos Magdalinos. VAR processes with multiple integration orders: representation and inference via endogenous instrumentation (with Peter C.B. Phillips)
11:30-12:10 Alessandra Luati. Semiparametric modeling of multiple quantiles (with Leopoldo Catania)
12:45-14:30 – Lunch
14:30-15:10 Offer Lieberman. Hybrid Stochastic Local Unit Roots. (with Peter C.B. Phillips)
15:10-15:50 Federico Bandi. Realized moments: identification and pricing (with A. Kolokolov, D.Pirino and R.Reno')
15:50-16:30 Eduardo Rossi. When the going gets tough: extreme overdispersion and persistence in time series of counts. (with Leopoldo Catania, Eduardo Rossi e Paolo Santucci de Magistris)
16:30-17:15 Coffee
17:15-17:55 Valentina Corradi. Testing for Sample Selection (with Daniel Gutknecht)
17:55-18:35 Giuseppe Cavaliere. Random Bootstrap Measures
Friday, 13/09/2019
09:00-09:40 Paolo Paruolo. Generalizations of the Granger-Johansen representation theorem. (with Massimo Franchi)
09:40-10:20 Monica Billio. Markov Switching Tensor Regression for Time-varying Networks. (with Roberto Casarin e Matteo Iacopini)
10:20-10:50 Coffee
10:50-11:30 Massimiliano Caporin. News and intraday jumps: variable selection, regularization, and economic impact with rare events. (with Francesco Poli)
11:30-12:10 Fulvio Corsi. A general framework for score-driven filtering and smoothing.
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program in pdf form.