Dear all,
we are glad to announce the following seminar by Dr. Piero Mazzarisi (University of Siena) on Tuesday, February 28th 2023 starting from 11:00 in room 4026 at the Department of Statistics and Quantitative Methods, University of Milano-Bicocca (Milan).
*Realized Random Graphs, with an application to the Interbank Network*
*Piero Mazzarisi*
Department of Economics and Statistics
University of Siena
*Abstract:*
This work introduces a new econometric methodology to infer dynamic network models driven by latent state variables. The main idea is to obtain a noisy representation of the state variables dynamics by computing a sequence of cross-sectional estimates of the network model at each point in time. The dynamic modeling of these cross-sectional estimates, that we name realized random graphs, transforms the original nonlinear state-space network model into a linear time-series model that can easily be estimated. Under the assumption that the network is dense, and of a mixed-membership blockmodel structure, we show that the model parameters and the unobservable state variables can be estimated at a super-consistent rate of convergence for large cross sections. By allowing for an extremely rich parameterization of the model in high dimensions, the proposed methodology describes the heterogeneous topology of real-world networks. We corroborate our findings by using this novel framework to estimate and forecast the dynamic common factors driving the evolution of the Italian electronic market of interbank deposits.
*February 28th, 2023, 11:00 a.m.*
*Department of Statistics and Quantitative Methods*
Aula Seminari 4026 - Building U7 (Fourth floor*)*
*Bicocca degli Arcimboldi street, 8 – 20126 Milan*
For further information, please write to *rosanna.grassi@unimib.it rosanna.grassi@unimib.it*