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Paolo GIORGI (Amsterdam University) “Conditional score residuals and diagnostic analysis of serial dependence in time series models”

Finance & Financial Econometrics :  Time: 10.30 am Date: 09th of Novembre 2023 Room 3001 Paolo GIORGI (Amsterdam University) "Conditional score residuals and diagnostic analysis of serial dependence in time series models" Abstract : This paper introduces conditional score residuals and it provides a general framework for the diagnostic analysis of time series models. Conditional […]

Jordi LLORENS-TERRAZAS (UPF Barcelona) “An Oracle Inequality for Multivariate Dynamic Quantile Forecasting.”

Finance & Financial Econometrics :  Time: 10.30 am Date: 09th of Novembre 2023 Room 3001 Jordi LLORENS-TERRAZAS (UPF Barcelona) "An Oracle Inequality for Multivariate Dynamic Quantile Forecasting" Abstract : I derive an oracle inequality for a family of possibly misspecified multivariate conditional autoregressive quantile models. The family includes standard specifications for (nonlinear) quantile prediction proposed […]

Francesca ZUCCHI (European Central Bank) “Dynamic Carbon Emission Management”

Quantitative Sustainable Economics and Finance Time: 11.00 am Date: 30th of November 2023 Room 2036 Francesca ZUCCHI (European Central Bank) "Dynamic Carbon Emission Management" Abstract : The control of carbon emissions by policymakers poses the corporate challenge of developing an optimal carbon management policy. We provide a unified model that characterizes how firms should optimally manage […]

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