Agenda

PROGRAMME

10:00 am Registration

10:45 am Welcome Remarks
Monica Billio, Ca’ Foscari University of Venice, Project Leder of the GRINS Spoke 4, Sustainable Finance

11:00 am 1^st session - Chair: Antonio Peruzzi

• Giacomo Bormetti, University of Pavia - Measuring price impact and information content of trades in a time-varying setting
• Giuseppe Buccheri, University of Verona - Semiparametric Estimation of Volatility in the Presence of Intraday Drift Dynamics

12:30 pm Light lunch

2:00 pm 2^nd Session – Chair: Giulia Carallo

• Dario Palumbo, Ca' Foscari University of Venice - An Observation-Driven Generalized Poisson Model
• Enzo D'Innocenzo, University of Bologna - Limit results for score-driven filters

3:30pm Coffee break

4:00pm Keynote speech - Chair: Dario Palumbo

Andrew Harvey, University of Cambridge - Score-driven models: overview and recent developments

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SPEAKERS

• Andrew Harvey, Emeritus Professor in Econometrics, University of Cambridge
• Giacomo Bormetti, Full Professor in Mathematical Methods of Economics, Finance and Actuarial Sciences, University of Pavia
• Giuseppe Buccheri, Tenure-track Assistant Professor in Econometrics, University of Verona
• Enzo D’Innocenzo, Junior Assistant Professor in Econometrics, University of Bologna
• Dario Palumbo, Junior Assistant Professor in Econometrics, Ca’ Foscari University of Venice

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Participation in the workshop is free, for organizational reasons you are asked to register by May 27 here https://bit.ly/form-workshop-timeseriesmodels

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Organising committee: Monica Billio, Dario Palumbo

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Workshop included among the activities of NRRP Project “GRINS” Spoke 4 “Sustainable Finance” - Progetto “GRINS - GROWING RESILIENT, INCLUSIVE AND SUSTAINABLE” (cod. PE0000018 CUP: H73C22000930001). Avviso 341/2022 “Partenariati estesi alle università, ai centri di ricerca, alle aziende per il finanziamento di progetti di ricerca di base”. Piano Nazionale di Ripresa e Resilienza, Missione 4 “Istruzione e ricerca” – Componente 2 “Dalla ricerca all’impresa” – Investimento 1.3, finanziato dall’Unione europea – NextGenerationEU