Hi-Di NET 
Econometric Analysis of High Dimensional Network Structures in Macroeconomics and Finance

The Project

High dimensional modelling and large dataset handling have gained attention in Economics and Finance, given also the recent surge of publicly available data. One of the key challenges of high-dimensional models is the complex interactions among variables and the inferential difficulty associated with handling large datasets.

The project Hi-Di NET deals with the 3 key aspects for forecasting and structural analysis:

  • network effects and interconnectedness;
  • time variation in the relationships;
  • large cross section of variables and high dimension databases.

It is organised in 3 WPs dealing with:

  • inclusion of network into time series analysis to deal with dynamics and time dependence;
  • inference on observed and latent networks and identification issues;
  • use of large datasets and related computational challenges.

The aim is to develop novel multivariate econometric models and efficient methods suitable for high dimension databases and able to deal with network effects and time varying relationships.

From an applied perspective, the Hi-Di NET project will deal with the central theme of financial and macroeconomic stability, declined in 3 empirical vertical streams related to highly relevant topics: systemic risk, uncertainty impact and new fintech instruments.

Events

The 1st intermediate workshop organized by the Hi-Di NET project, was held online on 27 April 2021.

file pdfAgenda54 K

People

Principal Investigator

Monica Billio

Monica Billio, Full Professor of Econometrics, Department of Economics, Ca' Foscari University of Venice

Associated Investigators

Roberto Casarin

Roberto Casarin, Full Professor of Econometrics, Department of Economics, Ca' Foscari University of Venice

Giuseppe Cavaliere

Giuseppe Cavaliere, Full Professor of Econometrics, Department of Economics, University of Bologna

Luca Fanelli

Luca Fanelli, Full Professor of Econometrics, Department of Economics, University of Bologna

Massimo Guidolin

Massimo Guidolin, Full Professor of Econometrics, Department of Finance, Bocconi University

Massimiliano Giuseppe Marcellino

Massimiliano Giuseppe Marcellino, Full Professor of Econometrics, Department of Economics, Bocconi University

Francesco Ravazzolo

Francesco Ravazzolo, Full Professor of Econometrics, Department of Economics, University of Bozen

Researchers

Michele Costola

Michele Costola, Research Fellow in Economic Policy, Department of Economics, Ca' Foscari University of Venice

Jan Ditzen

Jan Ditzen, Research Fellow in Econometrics,  Department of Economics and Management, University of Bozen

Yu Bai

Yu Bai, Research Grant Holder, Department of Economics, Bocconi University

Graziano Moramarco

Graziano Moramarco, Research Grant Holder, Department of Economics, University of Bologna

Publications

Last update: 20/07/2021