Application Deadline is June 24
Deadline for FEE PAYMENT is July 5
Intermediate knowledge of econometrics
- Andersen, T.G., and T. Bollerslev, 1998, Answering the skeptics: yes, standard volatility models do provide accurate forecasts, International Economic Review, 39, 885-905.
- Andersen, T.G., T. Bollerslev, P.F. Christoffersen, and F.X. Diebold, 2006, Volatility and correlation forecasting. In: G. Elliott, C.W.J. Granger, and A. Timmermann, (Eds.), Handbook of Economic Forecasting. North Holland Press, Amsterdam.
- Andersen, T.G., T. Bollerslev, and F.X.Diebold, 2007, Roughing it up: including jump components in the measurement, modeling and forecasting of return volatility, Review of Economics and Statistics, 89, 701-720.
- Andersen, T.G., T. Bollerslev, and F.X. Diebold, 2010, Parametric and nonparametric volatility measurement. In: L.P. Hansen and Y. Aït-Sahalia (Eds.), Handbook of Financial Econometrics. North-Holland Press, Amsterdam.
- Bollerslev, T., A.J. Patton, and R. Quaedvlieg, 2016, Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting, Journal of Econometrics, 192, 1-18.
- Bollerslev, T., A.J. Patton, and R. Quaedvlieg, 2017, Realized SemiCovariances: Looking for Signs of Direction Inside the Covariance Matrix, working paper.
- Bollerslev, T., A.J. Patton, and R. Quaedvlieg, 2017, Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions, working paper.
- Hansen, P.R., and A. Lunde, 2006, Realized variance and market microstructure noise, Journal of Business and Economic Statistics, 24, 127-161.
- Patton, A.J., 2011, Volatility Forecast Comparison using Imperfect Volatility Proxies, Journal of Econometrics, 160(1), 246-256.
- Patton, A.J., and K. Sheppard, 2015, Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility, Review of Economics and Statistics, 97(3), 683-697.
Participants will use their laptops with R, Matlab, or Pyton already installed on them.
The Module will be held in the Bank of Italy's Scuola di Automazione per Dirigenti Bancari (SADiBa), via San Marco n.54, Perugia. Participants will be accommodated at SADiBa.
Fees and Enrollment
- University staff: 1000€
- Others: 2500€
Fee includes: Fee includes full board accommodation starting from Sunday.
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