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Final Workshop Prin 2022

The closing workshop for the Prin 2022 project "Methodological and Computational Challenges in Large-Scale Time Series Models for Economics and Finance" will take place at Villa Mondragone on September 11 and 12, 2025. Attendance is free, but registration is mandatory and limited to 50 participants.

Organizers: Gianluca Cubadda and Stefano Grassi

Program

September, 11 2025 - Day 1

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. Canepa, T. Magdalinos, and A. G. Paraskevopoulos.

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)

REGISTRATION IS NOW CLOSED