Demetrio Lacava

Invited Session
Modelling and Forecasting High-dimensional time series
Organizer/Chair: Edoardo Otranto (Università di Messina)
Discussant: Giovanni De Luca (Università Parthenope di Napoli)
Room: T36
Floor: ground
Short summary: High dimensional time series, both univariate and multivariate, are pandemic in several scientific fields; the interest in their modelling is often associated to the possibility of obtaining reliable forecasts and monitoring many social phenomena. The three contributions of this invited session are examples of managing these data in the fields of economics, finance and climatology.

Paper
Are Monetary Policy Announcements related to Volatility Jumps? Author(s)  Giampiero Gallo   Demetrio Lacava   Edoardo Otranto