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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 […]

Massimiliano CAPORIN (Univ. Padova) “Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach”

Finance & Financial Econometrics :  Time: 10.30 am Date: 07th of December 2023 Room 3001 Massimiliano CAPORIN (Univ. Padova) "Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach" Abstract : We address the construction of Realized Variance (RV) forecasts by exploiting the hierarchical structure implicit in available decompositions of RV. We propose a […]

Weifeng JIN (Univ. of Barcelona ) “Estimation of Time Series Models Using the Empirical Distribution of Residuals”

Finance & Financial Econometrics :  Time: 11.30 am Date: 07th of December 2023 Room 3001 Weifeng JIN (Univ. of Barcelona ) "Estimation of Time Series Models Using the Empirical Distribution of Residuals" Abstract : Nonfundamental representations of univariate processes have been applied in the fields of Macroeconomics and Finance to describe nonlinear dynamics resulting from […]

Frederick VAN DER PLOEG (University of Oxford) “Battle of the Markups : Conflict Inflation and the Aspirational Channel of Monetary Policy Transmission”

Quantitative Sustainable Economics and Finance  Time: 11.30 am Date: 21th of December 2023 Room 3001 Frederick VAN DER PLOEG (University of Oxford) "Battle of the Markups : Conflict Inflation and the Aspirational Channel of Monetary Policy Transmission" Abstract : After the post-Covid rise in inflation, a debate has emerged whether this inflation is "seller-driven" and, […]

Alexis DERUMIGNY (Delft University of Technology) “Fast estimation of Kendall’s Tau and conditional Kendall’s Tau matrices under structural assumptions”

Finance & Financial Econometrics :  Time: 11.00 am Date: 11th of January 2023 Room 3001 Alexis DERUMIGNY (Delft University of Technology) "Fast estimation of Kendall's Tau and conditional Kendall's Tau matrices under structural assumptions" Abstract : Kendall's tau and conditional Kendall's tau matrices are multivariate (conditional) dependence measures between the components of a random vector. […]

Ruixun Zhang (Peking University)”A Quantitative Approach to Optimal Impact Portfolios”

Quantitative Sustainable Economics and Finance Time: 11.00 am Date: 18th of January  2023 Room 2036 Ruixun Zhang (Peking University)"A Quantitative Approach to Optimal Impact Portfolios" Abstract : We develop a mathematical framework for constructing optimal impact portfolios and quantifying their financial performance by characterizing the returns of impact-ranked assets using induced order statistics and copulas. […]

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