Finance & Financial Econometrics :  Time: 10.30 am Date: 07th of December 2023 Room 3001 Massimiliano CAPORIN (Univ. Padova) "Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach" Abstract : We address the construction of Realized Variance (RV) forecasts by exploiting the hierarchical structure implicit in available decompositions of RV. We propose a […]

Finance & Financial Econometrics :  Time: 11.30 am Date: 07th of December 2023 Room 3001 Weifeng JIN (Univ. of Barcelona ) "Estimation of Time Series Models Using the Empirical Distribution of Residuals" Abstract : Nonfundamental representations of univariate processes have been applied in the fields of Macroeconomics and Finance to describe nonlinear dynamics resulting from […]