Econometrics in the Arena 2019

Verona, September 12-13 2019

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Speakers



Federico Bandi

Johns Hopkins University

Monica Billio

Università di Venezia

Massimiliano Caporin

Università di Padova

Giuseppe Cavaliere

Università di Bologna

Valentina Corradi

University of Surrey

Fulvio Corsi

Università di Pisa

Liudas Giraitis

Queen Mary University of London

Offer Lieberman

Bar-Ilan University

Alessandra Luati

Università di Bologna

Tassos Magdalinos

University of Southampton

Federico Martellosio

University of Surrey

Paolo Paruolo

European Commission

Eduardo Rossi

Università di Pavia



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.

Download program in pdf form.

Organizers

Roberto Renò

University of Verona

Francesca Rossi

University of Verona



Local Committee


  • Alessandro Bucciol

  • Luigi Grossi

  • Diego Lubian

  • Laura Magazzini

  • Cecilia Mancini

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Registration is free but required for organizational reasons.

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