Seminari - Dipartimento Scienze Economiche validi dal 28.02.2026 al 28.02.2027. https://www.dse.univr.it/?ent=seminario&rss=0 https://www.dse.univr.it/?ent=seminario&rss=0&id=6878 Relatore: Viola Simonetti; Provenienza: ESSEC Business School; Data inizio: 2026-03-03; Ora inizio: 12.00; Note orario: Aula Vaona; Referente interno: Roberto Reno'; Riassunto: We extend the Markov Switching Multifractal (MSM) framework of Calvet and Fisher (2004) by introducing leverage and skewness (LS). The resulting MSM--LS model preserves the tractability of the original MSM specification while allowing for time-varying leverage and skewness in returns, two salient empirical features that are pervasive in financial time series. We further show that the MSM--LS model delivers superior volatility forecasts across multiple horizons, highlighting the economic value of incorporating leverage and skewness into the multifractal volatility framework. Tue, 3 Mar 2026 12:00:00 +0100 https://www.dse.univr.it/?ent=seminario&rss=0&id=6878 https://www.dse.univr.it/?ent=seminario&rss=0&id=6685 Relatore: Ester Mariucci; Provenienza: Université Paris-Saclay; Data inizio: 2026-03-05; Ora inizio: 12.00; Note orario: Aula Vaona; Referente interno: Cecilia Mancini; Riassunto: There is a rich literature on approximations of the small jumps of a Leacute;vy process, with a particular focus on Gaussian approximations. These approximations are often used to simplify analysis, but their validity depends critically on the observation scheme, in particular whether the data are collected at high or low frequency. In many situations, the Gaussian approximation may not be appropriate, and a more precise understanding of the law of small jumps is necessary to investigate alternative approximations. In this talk, I focus on the problem of estimating the density of the process associated with the small jumps of a pure jump Leacute;vy process, possibly of infinite variation, based on discrete observations of a single trajectory. Studying this density allows us to better understand the distribution of small jumps and assess how closely they resemble Gaussian or other approximations. We discuss results in both low-frequency and high-frequency observation settings. In the low-frequency case, assuming that the Leacute;vy density associated with large jumps is known, a spectral estimator exploiting the deconvolution structure of the problem achieves minimax parametric rates of convergence with respect to the integrated L^2 loss, up to a logarithmic factor. In the high-frequency case, it becomes possible to relax the assumption on the knowledge of the Leacute;vy measure for large jumps; the rate of convergence then depends on the sampling scheme and the behavior of the Leacute;vy measure near zero, and is minimax up to a logarithmic factor. We also propose an adaptive penalized procedure to select the cutoff parameter. These results are further extended to the case where a Brownian component is present in the Leacute;vy process. Finally, we illustrate our findings with an extensive simulation study. This is joint work with Ceacute;line Duval and Taher Jalal. Thu, 5 Mar 2026 12:00:00 +0100 https://www.dse.univr.it/?ent=seminario&rss=0&id=6685 https://www.dse.univr.it/?ent=seminario&rss=0&id=6879 Relatore: Mattia Filomena; Provenienza: University of Bergamo; Data inizio: 2026-03-10; Ora inizio: 12.00; Note orario: Aula Vaona; Referente interno: Giulia Montresor. Tue, 10 Mar 2026 12:00:00 +0100 https://www.dse.univr.it/?ent=seminario&rss=0&id=6879 https://www.dse.univr.it/?ent=seminario&rss=0&id=6880 Relatore: Silvia Granato; Provenienza: University of Verona; Data inizio: 2026-03-17; Ora inizio: 12.00; Note orario: Aula Vaona. Tue, 17 Mar 2026 12:00:00 +0100 https://www.dse.univr.it/?ent=seminario&rss=0&id=6880 https://www.dse.univr.it/?ent=seminario&rss=0&id=6907 Relatore: Alessandro Castagnetti; Provenienza: University of Verona; Data inizio: 2026-03-24; Ora inizio: 12.00; Note orario: Aula Vaona. Tue, 24 Mar 2026 12:00:00 +0100 https://www.dse.univr.it/?ent=seminario&rss=0&id=6907 https://www.dse.univr.it/?ent=seminario&rss=0&id=6881 Relatore: Chiara Costi; Provenienza: University of Verona; Data inizio: 2026-03-31; Ora inizio: 12.00; Note orario: Aula Vaona. Tue, 31 Mar 2026 12:00:00 +0200 https://www.dse.univr.it/?ent=seminario&rss=0&id=6881 https://www.dse.univr.it/?ent=seminario&rss=0&id=6704 Relatore: Fabio Galeotti; Provenienza: National Center for Scientific Research; Data inizio: 2026-04-02; Ora inizio: 12.00; Note orario: Aula Vaona; Referente interno: Simone Quercia. Thu, 2 Apr 2026 12:00:00 +0200 https://www.dse.univr.it/?ent=seminario&rss=0&id=6704 https://www.dse.univr.it/?ent=seminario&rss=0&id=6890 Relatore: Giorgia Marini; Provenienza: Sapienza University; Data inizio: 2026-04-09; Ora inizio: 12.00; Note orario: Aula Vaona; Referente interno: Paola Bertoli. Thu, 9 Apr 2026 12:00:00 +0200 https://www.dse.univr.it/?ent=seminario&rss=0&id=6890 https://www.dse.univr.it/?ent=seminario&rss=0&id=6686 Relatore: Ivan Soraperra; Provenienza: Max Planck Institute for Human Development Berlin; Data inizio: 2026-04-23; Ora inizio: 12.00; Note orario: Aula Vaona; Referente interno: Maria Vittoria Levati. Thu, 23 Apr 2026 12:00:00 +0200 https://www.dse.univr.it/?ent=seminario&rss=0&id=6686 https://www.dse.univr.it/?ent=seminario&rss=0&id=6687 Relatore: Martin Larsson; Provenienza: Carnegie Mellon University Chicago; Data inizio: 2026-04-30; Ora inizio: 12.00; Note orario: Aula Vaona; Referente interno: Sara Svaluto Ferro. Thu, 30 Apr 2026 12:00:00 +0200 https://www.dse.univr.it/?ent=seminario&rss=0&id=6687 https://www.dse.univr.it/?ent=seminario&rss=0&id=6706 Relatore: Matteo Ploner; Provenienza: Università di Trento; Data inizio: 2026-05-07; Ora inizio: 12.00; Note orario: Aula Vaona; Referente interno: Maria Vittoria Levati. Thu, 7 May 2026 12:00:00 +0200 https://www.dse.univr.it/?ent=seminario&rss=0&id=6706 https://www.dse.univr.it/?ent=seminario&rss=0&id=6840 Relatore: Marco Mariotti; Provenienza: Queen Mary University of London; Data inizio: 2026-05-14; Ora inizio: 12.00; Note orario: Aula Vaona; Referente interno: Roberto Ricciuti. Thu, 14 May 2026 12:00:00 +0200 https://www.dse.univr.it/?ent=seminario&rss=0&id=6840 https://www.dse.univr.it/?ent=seminario&rss=0&id=6882 Relatore: Ernestina Bagatella; Provenienza: University of Verona; Data inizio: 2026-05-19; Ora inizio: 12.00; Note orario: Aula Vaona. Tue, 19 May 2026 12:00:00 +0200 https://www.dse.univr.it/?ent=seminario&rss=0&id=6882 https://www.dse.univr.it/?ent=seminario&rss=0&id=6884 Relatore: Tadele Tefera; Provenienza: University of Verona; Data inizio: 2026-05-26; Ora inizio: 12.00; Note orario: Aula Vaona. Tue, 26 May 2026 12:00:00 +0200 https://www.dse.univr.it/?ent=seminario&rss=0&id=6884 https://www.dse.univr.it/?ent=seminario&rss=0&id=6841 Relatore: Frederic Vrins; Provenienza: Louvain School of Management; Data inizio: 2026-05-28; Ora inizio: 12.00; Note orario: Aula Vaona; Referente interno: Alessandro Gnoatto. Thu, 28 May 2026 12:00:00 +0200 https://www.dse.univr.it/?ent=seminario&rss=0&id=6841 https://www.dse.univr.it/?ent=seminario&rss=0&id=6885 Relatore: Maria Chaykina; Provenienza: University of Verona; Data inizio: 2026-06-09; Ora inizio: 12.00; Note orario: Aula Vaona. Tue, 9 Jun 2026 12:00:00 +0200 https://www.dse.univr.it/?ent=seminario&rss=0&id=6885 https://www.dse.univr.it/?ent=seminario&rss=0&id=6886 Relatore: Alejandro Medina; Provenienza: University of Verona; Data inizio: 2026-06-16; Ora inizio: 12.00; Note orario: Aula Vaona. Tue, 16 Jun 2026 12:00:00 +0200 https://www.dse.univr.it/?ent=seminario&rss=0&id=6886 https://www.dse.univr.it/?ent=seminario&rss=0&id=6876 Relatore: Deniz Erdemlioglu; Provenienza: IÉSEG School of Management; Data inizio: 2026-06-23; Ora inizio: 12.00; Note orario: Aula Vaona; Referente interno: Cecilia Mancini. Tue, 23 Jun 2026 12:00:00 +0200 https://www.dse.univr.it/?ent=seminario&rss=0&id=6876