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Scienze Economiche, Aziendali e Statistiche

Workshop “High Voltage Econometrics”, 4-5 October 2018

4-ott-2018

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Organized by: Federico Bandi (Johns Hopkins Carey Business School),  

Christian Brownlees (Universitat Pompeu Fabra), Giuseppe Cavaliere  

(University of Bologna), Anders B. Kock (University of Oxford),  

Michael Wolf (University of Zurich), Andrea Cipollini and Valentino  

Dardanoni (local organizers, University of Palermo)

Speakers: Federico Bandi, Christian Brownlees, Giuseppe Cavaliere,  

Anders B. Kock, David Preinerstorfer (Université libre de Bruxelles),

Roberto Renò (University of Verona), Alessio Sancetta (Royal Halloway  

University of London), Michael Wolf (University of Zurich).

Scientific program:

Giovedi' 4 ottobre,

Aula Magna Edificio 13 (14:30-14.40)

Welcome Address: Prof Fabio Mazzola (Pro-Rettore Vicario Universita di  Palermo) e Prof Marcello Chiodi (Direttore del Dipartimento DSEAS)

14:40-16:00

•        Giuseppe Cavaliere: Inference on the boundary

•        David Preinerstorfer: Power in high-dimensional testing problems

16:00-16:30 coffee break

16:30-18:00

•        Luca de Angelis: Efficiency of online football betting markets

•        Roberto Renò: Zeros

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Venerdi' 5 ottobre:

11:00-12:30 (Edificio 19 Sala Riunioni)

  • Christian Brownlees: Community detection in large vector autoregressions

  • Alessio Sancetta: Intraday end-of-day volume prediction

12:30-14:30 lunch break

14:30-16:00 (Edificio 19 Aula Multimediale B)

  • Anders Kock: Optimal sequential treatment allocation with general welfare measures

  • Federico Bandi: : Measuring horizon-specific systematic risk  via spectral betas

16:00-16:30 coffee break

16:30 – 17:15 (Edificio 19 Aula Multimediale B)

  • Michael Wolf: Analytical nonlinear shrinkage of  large-dimensional covariance matrices