Score-driven and nonlinear time series models
With applications in economics, finance and climate change, 18-20/05/2026, Ca’ Foscari University of Venice

Conference JTSA special issue Programme and registration Venue Team Contacts

Conference

The conference “Score-driven and nonlinear time series models, with applications in economics, finance and climate change” held by the Department of Economics is devoted to recent methodological and applied advances in time series econometrics, with a particular focus on score-driven models and, more generally, on nonlinear time series models. The programme will include both theoretical and applied contributions covering topics such as volatility modelling, regime switching, multivariate and filtering methods, extreme-value dynamics, financial applications, and the growing role of artificial intelligence and machine learning in time series analysis.

In addition to invited lectures and contributed sessions, the programme will feature a panel discussion on the role of machine learning and AI in time series modelling, involving both academics and industry representatives. In this way the conference will foster the dialogue between frontier academic research and applied quantitative practice, which also reflects the broader mission of the University to promote knowledge exchange and meaningful engagement with society, institutions, and industry.

JTSA special issue

A special issue of the “Journal of Time Series Analysis (JTSA)” will be associated with the conference.
The Guest Editors are Andrew Harvey (University of Cambridge) and Alessandra Luati (Imperial College London). The Editor-in-Chief of the journal is Robert Taylor (University of Essex). Associate Editors for the special issue are Leopoldo Catania (Aahrus University), Siem Jan Koopman (Vrije University), and Dario Palumbo (Ca’ Foscari University of Venice).

The special issue welcomes contributions on score-driven models and, more generally, on nonlinear time series models. Submissions may be either theoretical or applied. Topics of interest include, but are not limited to, volatility modelling, regime switching, common factor structures, climate and environmental applications, financial econometrics, and the use of artificial intelligence and machine learning in time series analysis.
Presenting a paper at the conference is neither a necessary nor a sufficient condition for publication in the special issue. However, it is envisaged that a substantial proportion of accepted papers will have been presented at the conference. As is customary for JTSA special issues, a section entitled “Notes and Comments” will be included for shorter contributions.

Initial submissions may be provided in PDF format (with at least 1.5 line spacing). Final accepted papers must be prepared in LaTeX. Authors wishing their manuscript to be considered for the special issue should indicate this during the submission process by selecting the special issue “Score-driven and nonlinear state space models” towards the end of the submission procedure.
The submission deadline for the special issue is 30 September 2026.

Programme and registration

Programme
file pdf
Conference full programme
Monday 18, Tuesday 19 and Wednesday 20 May 2026
4 MB
Registration and conference dinner

Participants may register for the conference by 26 April 2026.

The conference dinner will be held on 19 May at Terrazza de Nobili (Zattere area, Canale della Giudecca). The cost is € 30 per person (free of charge for students). Participants are kindly requested to purchase their dinner ticket.

Venue

The conference will be held in Aula Baratto at Ca' Foscari, Dorsoduro 3246, Venice.

Getting to Venice by plane

Arrival at "Marco Polo" airport in Venice (VCE)

From the airport you can reach Mestre or Venice (Piazzale Roma) by land (on a bus or taxi) or take the water route to Venice (Alilaguna boat or water taxi).

Reach Venice from VCE  

Arrival at "Antonio Canova" airport in Treviso (TSF)

From the airport you can reach Mestre or Venice (Piazzale Roma) by land (on a bus, train or taxi)

Reach Venice from TSF  

Getting to Venice by train

The Venice railway station is “Venezia Santa Lucia”. The main train companies in Italy are Trenitalia and Italo. You can purchase the tickets at the train station or online, directly from the relevant websites.

Getting around Venice

For more tourist information please visit Venezia Unica, the Official City of Venice Tourist and Travel Information website.

Accommodation

There are a variety of accommodations available both on the island of Venice and Mestre, although it is recommended to book early.
 

Team

Organisers

Monica Billio
Monica Billio

Ca' Foscari University of Venice
Andrew Harvey
Andrew Harvey

University of Cambridge
Dario Palumbo
Dario Palumbo

Ca’ Foscari University of Venice

Committees

Programme Committee
Local Organizing Committee