8:55 – 9:00 Opening

9:00-10:15 Presentations of Sapienza University of Rome and Tor Vergata University of Rome Units

• • • Massimo Franchi

                                            Inference on the Cointegration and the Attractor Spaces via Functional Approximation, with Paolo Paruolo

• • • Francesco Giancaterini

                                            Sequential Monte Carlo for Noncausal Processes, with Gianluca Cubadda and Stefano Grassi

• • • Gianluca Cubadda

                                            VAR Models with an Index Structure: A Survey with New Results

10:15 – 10:45 Coffee Break

10:45 – 11:30 Marco Lippi

                                       Dynamic Factor Models and Some Special Matrices

11:30-12:45 Presentations of University of Salerno and Università Politecnica delle Marche Units

• • • Pietro Coretto

                                       Regularized Covariance Estimation with Applications to Portfolio Optimization, with Giuseppe Storti

• • • Giuseppe Storti

                                      Using Quantile Time Series and Historical Simulation to Forecast Financial Risk Multiple Steps Ahead, with Richard Gerlach and Antonio Naimoli

• • • Marco Tedeschi

                                       Honey, We Shrunk the IRFs! Using 1-Norm Regularisation to Improve Inference in Structural VAR Models, with Riccardo Jack Lucchetti

12:45-13:55 Lunch

13:55-14:40 Sebastien Laurent

                                     Penalized QMLE and Model Selection of Time Series Regressions, with Christian Francq and Julie Schnaitmann

14:40-15:30 Presentations of University of Messina

• • • Luca Scaffidi Domianello

                                     Spillovers and Co-movements in Multivariate Volatility: A Vector Multiplicative Error Model with Edoardo Otranto

• • • Menelaos Karanasos

                                     A Unified Theory for ARMA Models with Varying Coefficients: One Solution Fits All, with A. G. Paraskevopoulos, T. Magdalinos, and A. Canepa

15:30-16:15 Alain Hecq 

                              Conditional Extreme Value Theory for Noncausal Processes: Application to Green Bubbles, with Francesco Giancaterini, Joann Jasiak and Aryan Manafi Neyazi

16:15-16:45 Coffee Break

16:45-17:30 Giampiero M. Gallo

                                       Adding Some Spice to the Recipe: the VOLatility Archive for Realized Estimates (VOLARE)

17:30 Guided tour of Villa Mondragone

20:00-22:00 Dinner at Restaurant Cacciani (by invitation only)

9:00-9:45 James Duffy

                            Cointegration and Identification in Nonlinear Structural VARs, with Sophocles Mavroeidis

9:45-10:30 Jeroen Rombouts

                             Framework for Real-Time Modeling and Forecasting of Large Unbalanced Option Implied Volatility Surfaces, with Arnaud Dufays and Kris Jacobs

10:30- 11:00 Coffee Break

11:00-11:45 Arnaud Dufays 

                              Modeling Higher Moments and Risk Premia for S&P 500 Returns, with Kris Jacobs and Jeroen Rombouts

11:45-13:25 Invited Session

• • • Mirko Armillotta

                                      Copula Tensor Count Autoregressions, with Paolo Gorgi and André Lucas

• • • Alessandro Casini

                                       Identification and Estimation of Causal Effects in High-Frequency Event Studies, with Adam McCloskey

• • • Paolo Santucci de Magistris  

                                       Co-Illiquidity Risk, with Angelo Ranaldo, Eduardo Rossi and Orimar Sauri

• • • Antonio Naimoli

                                       Scaling the Tails: Intraday Quantiles for forecasting VaR and ES, with Ostap Okhrin and Giuseppe Storti

13:25-14:35 Lunch and Closing