Agenda

18 Mag 2026 12:00

Score-driven and nonlinear time series models

Aula Baratto, Ca' Foscari

Full title: Score-driven and nonlinear time series models, with applications in economics, finance and climate change

12.00 Lunch & Registration

13.20 Welcome Remarks: Monica Billio, Dario Palumbo, Andrew Harvey

13.30 Model Selection and Neural Networks

  • Sebastien Laurent - Penalized QMLE and model selection of time series regressions
  • Julia Schaumburg - Self-driving neural networks for yield curve modelling
  • Giuseppe Bucchieri - Reservoir-driven parameters

14.45 Short Break

14.55 Invited Lecture: Mark Salmon - Deep Simplicity

15.35 Coffee break

16.00 Continuous-Time and Lévy-Driven Models

  • Simon Godsill - Non-Gaussian continuous-time methods for time series based on the Levy State-Space Model
  • Enzo D’Innocenzo - Continuous-time score-driven models driven by functions of a Lévy process

16.55 Invited Lecture: Andrew Patton - Score-Driven Models for Minimum Variance Portfolios

17.40 PANEL Time Series Modelling in the Age of AI: Implications for Industry, Policy, and Research: Monica Billio, Giuliano De Rossi, Simon Godsill, Andrew Patton, Mark Salmon

18.15 Aperitivo

Lingua

L'evento si terrà in inglese

Organizzatore

Department of Economics

Allegati

Programme 663 KB

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