/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@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 *