Monday 3 June, at 14.30 – 17.00   • Fondazione Marco Biagi


Professoressa Associata di Statistica Economica
Dipartimento di Economia Marco Biagi, Unimore

School of Computing & Mathematics
Keele University
Keele, Staffordshire, UK


Volatility modelling and forecasting have been one of the most important issues for portfolio selection and risk management.

The seminar begins with a brief introduction to different univariate and multivariate volatility models, including GARCH-family models, GAS models, MIDAS models and copula-based models. Then we will discuss a series of different economic situation in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management. The discussion will be extended to evaluating conditional covariance and correlation forecasting in both univariate and multivariate settings.

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Il seminario si terrà in lingua inglese e la partecipazione è libera.
Ulteriori informazioni: +390592056092 |

Seminar: Multivariate Volatility Modelling and Forecasting Evaluation in a Risk Management Context