In an era defined by rapid, unprecedented disruption—ranging from financial crises to climate change to global pandemics—our socio-economic systems are being reshaped before our eyes. As market participants evolve and adapt, the foundations of econometric modeling shift, creating new challenges and opportunities.
This workshop brings together world-class experts at the forefront of modeling time-varying parameters, such as volatility and liquidity. We uncover the forces driving these dynamics and explore cutting-edge insights essential for safeguarding and strengthening the resilience of the global financial system.
Venue
Aula H, Via San Felice al Monastero 5, Pavia
Organizing Committee
- Giacomo Bormetti
- Riccardo Brignone
- Eduardo Rossi
- Lorenzo Trapani
Keynote Speakers
- H. Peter Boswijk, University of Amsterdam
- André Lucas, VU University Amsterdam
Invited Speakers and Discussants
- Giuseppe Buccheri, University of Verona
- Andrea Bucci, University of Macerata
- Leopoldo Catania, Aarhus University
- Enzo D’Innocenzo, University of Bologna
- Emilija Dzuverovic, Ca’ Foscari University of Venice
- Christian Francq, ENSAE Paris
- Giampiero Gallo, New York University in Florence
- Emanuele Guidotti, University of Lugano
- Nikolaus Hautsch, University of Vienna
- David Itkin, London School of Economics and Political Science
- Fabrizio Lillo, Scuola Normale Superiore Pisa
- Elisa Ossola, University of Milano Bicocca
- Angelo Ranaldo, University of Basel
- Roberto Renò, ESSEC Business School Paris
- Mirco Rubin, EDHEC Business School Nice
- Paolo Santucci De Magistris, LUISS Rome
- Luca Trapin, University of Bologna
- Fabio Trojani, University of Geneva
- Giovanni Urga, Bayes Business School, City St George’s University of London
- Pierluigi Vallarino, University of Lugano
- Linqi Wang, Queen Mary University of London
- Shixuan Wang, University of Reading
Acknowledgements
The Organizing Committee acknowledges financial support from Dipartimento di Eccellenza MUR 2023-2027.
* The Volatility Sessions are funded within the PRIN2020 project “Dynamic models for a fast-changing world: An observation-driven approach to time-varying parameters,” CUP F13C22002220001. Project number: 20205J2WZ4.
‡ The Liquidity Sessions are funded within the PRIN2022 project “Monitoring Risks in Financial Markets,” CUP: F53D23004210006. Project number: 2022NEL482.
Contacts
For any questions, please email the members of the Organizing Committee (name.surname@unipv.it) with the subject “Volatility and Liquidity @Unipv”.