Random November 2017

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monDay 13th nOveMber - vENice econometrICs wOrkshop
by Monica Billio 02 Nov '17

02 Nov '17

/We are happy to annouce this one-day workshop in honor of Domenico Sartore. The workshop will aim at presenting to the large community of scientists researching in quantitative economics some recent results obtained by the Econometrics group at Ca' Foscari University of Venice in the analysis of latent variable models and high dimensional stochastic models with applications to economics and finance. // / // /Domenico Sartore greatly contributed to the field of time series econometrics and to the development of the econometric community in Italy. Since the beginning of his career in academia he showed a unique talent in attracting a huge number of students, turning them into leading scholars that keep contributing to the area of Econometrics both in academia and out of academia. / /The workshop will feature many contributions by young researchers, discussions from colleagues and former students of Domenico and an invited seminar by Matteo Barigozzi. The main topics will be: stochastic volatility, factor models, regimes switching models, temporal networks, graphical models, Bayesian methods, systemic risk, and business cycle analysis. We will be delighted if you can join us and congratulate Domenico. For organisation reasons, please confirm your presence Kind regards, Monica Billio (billio(a)unive.it) Massimiliano Caporin Roberto Casarin ///Loriana Pelizzon /Francesco Ravazzolo/ Mon*D*ay 13th N*O*ve*M*ber V*EN*ice Econometr*IC*sW*O*rkshop Dipartimento di Economia, Meeting Room 1, San Giobbe Università Ca’ Foscari Venezia *10.00 Welcome* *10.30 Macroeconometrics* ·On the Role of Domestic and International Financial Cyclical Factors in Driving Economic Growth /Monica //Billio/, Michael Donadelli, Giulia Livieri,*Antonio Paradiso *(Università Ca’ Foscari Venezia) ·Parameter heterogeneity, persistence and cross-sectional dependence: new insights on fiscal policy reaction functions for the Euro area Roberto Golinelli, *Irene Mammi *(Università Ca’ Foscari Venezia), Antonio Musolesi Discussant: Francesco Ravazzolo (Università di Bolzano) *11.30 Financial Econometrics* ·Forecasting Electricity Prices with RES penetration Angelica Gianfreda, /Francesco Ravazzolo/, *Luca Rossini *(Università di Bolzano) ·Smile at errors: A discrete-time stochastic volatility framework for pricing options with realized measures Giacomo Bormetti, /Roberto Casarin, Fulvio Corsi/,*Giulia Livieri*(Scuola Normale Superiore, Pisa) Discusssant: Loriana Pelizzon (Università Ca’ Foscari Venezia) *12.30 Seminar* Sequential testing for structural stability in approximate factor models *Matteo Barigozzi *(London School of Economics), Lorenzo Trapani *13.30 Lunch* *15.00 Network Econometrics* ·The impact of network connectivity on factor exposures, asset pricing and portfolio diversification /Monica Billio/, /Massimiliano Caporin/, *Roberto Panzica *(Goethe University, Frankfurt), /Loriana Pelizzon/ ·Networks in risk spillovers: A multivariate GARCH perspective /Monica Billio, Massimiliano Caporin/, *Lorenzo Frattarolo *(Università Ca’ Foscari Venezia), /Loriana Pelizzon/ ·Financial Bridges and Network Communities /Roberto Casarin/, *Michele Costola *(Goethe University, Frankfurt), Erdem Yenerdag ·Bayesian Markov switching tensor regression for time-varying networks /Monica Billio, Roberto Casarin/,*Matteo Iacopini *(Università Ca’ Foscari Venezia) Discussant: Fulvio Corsi (Università Ca’ Foscari Venezia) *17.00 Farewell: Domenico Sartore * -- Monica Billio Dipartimento di Economia, Università Ca' Foscari Venezia Fondamenta San Giobbe 873, 30121 Venezia Tel +39 041 2349170, Fax +39 041 2349176 E-mailbillio(a)unive.it http://www.unive.it/persone/billio http://ideas.repec.org/e/pbi55.html http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=303041 http://scholar.google.it/citations?user=ll83_twAAAAJ&hl=en

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Reminder - Call for Papers - Quantitative Finance Workshop 2018 - Uniroma3
by Francesco Cesarone 02 Nov '17

02 Nov '17

Dear Colleagues, We take great pleasure to invite you to attend the XIX edition of the Workshop on Quantitative Finance that will be held at the Department of Business Studies - University Roma Tre on 24-25-26 January 2018. The official website is http://disa.uniroma3.it/qfw2018/ After the great success of the previous edition at the University of Milano-Bicocca, we repeat the same conference format, lasting two days and a half (from Wednesday 24 January afternoon to Friday 26 January). The deadline for submitting an Extended Abstract is *26 November 2017*. Notification of acceptance will be given by* 23 December 2017*. The full paper for the discussant will have to be provided by *7 January 2018*. Looking forward to seeing you in Rome! Best regards The organizing committee -- http://disa.uniroma3.it/qfw2018/ -- Francesco Cesarone - Ph.D. Ricercatore - Assistant Professor Facoltà di Economia Dipartimento di Studi Aziendali Università Roma Tre Via Silvio D'Amico, 77 00145 - Roma tel: +39 06 57335744 Skype: francesco.cesarone email: francesco.cesarone(a)uniroma3.it Studio n. 20 piano V WWW: http://host.uniroma3.it/docenti/cesarone/

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monDay 13th nOveMber - vENice econometrICs wOrkshop
by Monica Billio 01 Nov '17

01 Nov '17

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Bocconi Call for Applications - PhD in Statistics 2018/19 - deadline Feb 1st, 2018 (fwd)
by Michele Gianfelice 01 Nov '17

01 Nov '17

Salve, ricevo ed inoltro p.c.. Cordialmente, m.gianfelice ---------- Forwarded message ---------- Date: Wed, 1 Nov 2017 05:00:31 +0100 From: Sonia Petrone <sonia.petrone(a)unibocconi.it> Reply-To: angela.baldassarre(a)unibocconi.it To: gianfelice(a)mat.unical.it Subject: Bocconi Call for Applications - PhD in Statistics 2018/19 - deadline Feb 1st, 2018 Dear colleague, I would be grateful if you could bring the Bocconi PhD program in Statistics to the attention of your best master students. The deadline for application is February 1st, 2018. ---------------------------------------------------------------------------------- PhD in Statistics Call for applications for PhD student positions Within the PhD School at Bocconi University, the four-year PhD program in Statistics provides a solid grounding for high level research in statistics, probability and data science. The curricula is organized over two years of courses and two years entirely devoted to research. Students acquire a deep methodological preparation through the first-year courses, which cover the fundamentals of probability and statistics. Specialized competence is acquired through the second-year courses, which are already focused on the doctoral thesis project. Both theoretical and applied research, including methods for machine learning and data science, are supported and encouraged. Dedicated mentorship is offered to students throughout their time at Bocconi. Multidisciplinary interchange with other graduate programs in Bocconi?s PhD School, as well as research experience abroad, are encouraged. The program includes monographic courses held by visiting professors from the most prestigious Universities and research institutions. The Ph.D. in Statistics is designed for highly motivated students who wish to undertake first rate research careers in theoretical or applied statistics and data science. Career opportunities also include central banks, financial institutions, governments and international organizations, and public health institutions. Highly qualified and motivated students with M.Sc. degrees in Statistics, Mathematics, Economics, Engineering, as well as other quantitatively-oriented fields, are encouraged to apply for admission. Applicants should hold or be on their way to hold a graduate degree or equivalent. The Bocconi PhD School offers at least 4 student positions with fellowship for the PhD in Statistics and further positions with fellowship or tuition waiver are possibly available. See the full official call ? attached ? or visit www.unibocconi.eu/admissionphd for all information. Applications are due by February 1st, 2018. For more information about the program, its courses and the admission procedures, please feel free to contact our Program Assistant at infophd(a)unibocconi.it or visit our website www.unibocconi.eu/phdstatistics Sincerely, Sonia Petrone Director, PhD program in Statistics Bocconi University Milano, Italy -------------------------------------------------- Angela Baldassarre PhD School Administrative Assistant Bocconi University Via Röntgen 1 1st floor - room 1-E3-FM02 20136 Milano, Italy T: +39 02 5836.3367 E: angela.baldassarre(a)unibocconi.it

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Senior Data Scientist e Data Scientist in ISI Torino
by Eva Riccomagno 01 Nov '17

01 Nov '17

Buongiorno a Tutti La fondazione ISI di Torino ha messo a bando due posizioni, una di Senior Data Scientist e una di Data Scientist, su un progetto di ricerca nell'ambito AI/ML applicato al problema della copertura dei rischi nei mercati finanziari. Il progetto e’ in collaborazione con la Banca IMI. Ulteriori dettagli sono disponibili al link https://www.isi.it/en/news-events/open-position-isi-applied-research Sperando che l’informazione sia di interesse ed utile, porgo cordiali saluti Eva Riccomagno ————————————————————————————— Dipartimento di Matematica - Universita` degli Studi di Genova Via Dodecaneso, 35 - 16146 Genova - ITALIA Tel: +39 - 010 - 353 6938 Fax: +39 - 010 - 353 6960 www.dima.unige.it/~riccomag

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