Econometric Modeling

Luigi Grossi
Associate Professor
Diego Lubian
Full Professor
Cecilia Mancini
Full Professor
Roberto Renò
Full Professor
Research interests
Topic People Description
JEL C51 - Model Construction and Estimation Cecilia Mancini
Modellizzazione dei (possibili) salti nei prezzi di titoli finanziari, osservati in modo discreto.
JEL C52 - Model Evaluation, Validation, and Selection Cecilia Mancini
Stima, diagnostica e selezione di modelli per i salti nelle traiettorie dei prezzi di titoli finanziari, date osservazioni discrete.
JEL C53 - Forecasting and Prediction Methods;Simulation Methods Luigi Grossi
Statistical methods for short-term prediction of time series. Evaluation of forecasting performance using computer simulated data.
JEL C58 - Financial Econometrics Luigi Grossi
Diego Lubian
Cecilia Mancini
Roberto Renò
Covers studies related to econometric modeling of financial markets. Analysis of econometric models with continuous time and its applications in finance. Robust estimates for volatility models of financial returns.