Programme of Friday, 23 June

Index

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.

#	Papers
1.	Adaptive combinations of tail-risk forecasts Author(s)  Alessandra Amendola   Vincenzo Candila   Antonio Naimoli   Giuseppe Storti
2.	Are Monetary Policy Announcements related to Volatility Jumps? Author(s)  Giampiero Gallo   Demetrio Lacava   Edoardo Otranto
3.	Regularized Estimation and Prediction of the El Nino/Southern Oscillation Cycle Author(s)  Alessandro Giovannelli   Tommaso Proietti