<div dir="ltr"><p style="text-align:center"><span style="font-size:18pt;font-family:'Times New Roman',serif">NO FREE LUNCH SEMINAR</span></p>
<p style="text-align:center"><span style="font-size:18pt;font-family:'Times New Roman',serif"> </span></p>
<p style="text-align:center"><span style="font-size:18pt;font-family:'Times New Roman',serif">Seminario
di Finanza Quantitativa</span></p>
<p style="text-align:center"><span style="font-size:18pt;font-family:'Times New Roman',serif"> </span></p>
<h2 style="text-align:center;background-image:initial;background-repeat:initial">giovedì 2 luglio 2015<span style="font-family:Arial,sans-serif"></span></h2>
<p class="MsoNormal" align="center" style="text-align:center"><span lang="EN-US" style="font-size:16pt;font-family:'Times New Roman',serif">ore 13:00</span></p>
<p class="MsoNormal" align="center" style="margin-left:9pt;text-align:center;line-height:18pt"><span lang="EN-US" style="font-size:16pt;font-family:'Times New Roman',serif"> </span></p>
<p class="MsoNormal" align="center" style="margin-left:9pt;text-align:center;line-height:18pt"><u><span style="font-size:16pt;font-family:'Times New Roman',serif">Scuola Normale Superiore</span></u></p>
<p class="MsoNormal" align="center" style="margin-left:9pt;text-align:center;line-height:18pt"><span style="font-size:16pt;font-family:'Times New Roman',serif">Pisa</span></p>
<p class="MsoNormal" align="center" style="margin-left:9pt;text-align:center;line-height:18pt"><span style="font-size:16pt;font-family:'Times New Roman',serif">(Aula Bianchi)</span></p>
<p class="MsoNormal"><b><u><span style="font-size:10pt;font-family:'Times New Roman',serif"><span style="text-decoration:none"> </span></span></u></b></p>
<p class="MsoNormal" align="center" style="text-align:center"><b><span style="font-size:22pt;font-family:'Times New Roman',serif">Roberto Casarin</span></b><i><span style="font-size:11pt;font-family:'Times New Roman',serif;color:black"></span></i></p>
<p class="MsoNormal" align="center" style="text-align:center"><i><span style="font-size:11pt;font-family:'Times New Roman',serif;color:black">Department of Economics - Università Ca' Foscari
di Venezia</span></i><i><span style="font-size:11pt;font-family:'Times New Roman',serif;color:black"></span></i></p>
<p class="MsoNormal"><span style="font-family:'Times New Roman',serif"> </span></p>
<p class="MsoNormal" align="center" style="text-align:center"><span style="font-size:16pt;font-family:'Times New Roman',serif">Terrà un seminario dal titolo:</span></p>
<p class="MsoNormal"><span style="font-family:'Times New Roman',serif"> </span></p>
<p class="MsoNormal" align="center" style="text-align:center"><b><i><span lang="EN-US" style="font-size:22pt;font-family:'Times New Roman',serif">“Bayesian Nonparametric Calibration and
Combination of Predictive Distributions”</span></i></b></p>
<p class="MsoNormal" style="text-align:justify"><b><i><span lang="EN-US" style="font-size:10pt;font-family:'Times New Roman',serif"> </span></i></b></p>
<p class="MsoNormal" style="text-align:justify"><b><i><span lang="EN-US" style="font-size:10pt;font-family:'Times New Roman',serif">Abstract</span></i></b></p>
<p class="MsoNormal" style="text-align:justify"><b><i><span lang="EN-US" style="font-size:10pt;font-family:'Times New Roman',serif"> </span></i></b></p>
<p><i><span lang="EN-US" style="font-size:10pt;font-family:'Times New Roman',serif">We
introduce a Bayesian approach to predictive density calibration and combination
that accounts for parameter uncertainty and model set incompleteness through
the use of random calibration functionals and random combination weights.
Building on the work of Ranjan and Gneiting (2010) and Gneiting and Ranjan
(2013), we use infinite beta mixtures for the calibration. The proposed
Bayesian nonparametric approach takes advantage of the flexibility of Dirichlet
process mixtures to achieve any continuous deformation of linearly combined
predictive distributions. The inference procedure is based on Gibbs sampling and
allows accounting for uncertainty in the number of mixture components, mixture
weights, and calibration parameters. The weak posterior consistency of the
Bayesian nonparametric calibration is provided under suitable conditions for
unknown true density. We study the methodology in simulation examples with fat
tails and multimodal densities and apply it to density forecasts of daily
S&P returns and daily maximum wind speed at the Frankfurt airport. </span></i><i><span style="font-size:10pt;font-family:'Times New Roman',serif">Joint work with Federico Bassetti and Francesco Ravazzolo.</span></i><i><span style="font-size:10pt;font-family:'Times New Roman',serif"> </span></i></p>
<p><b><i><span style="font-size:10pt;font-family:'Times New Roman',serif"> </span></i></b></p>
<p><span style="font-size:16pt;font-family:'Times New Roman',serif">Tutti gli interessati sono invitati a partecipare.</span></p>
<p><span style="font-size:16pt;font-family:'Times New Roman',serif"> </span></p>
<p align="left"><span style="font-size:16pt;font-family:'Times New Roman',serif"> Classe
di Scienze </span></p>
<p align="left"><span style="font-size:16pt;font-family:'Times New Roman',serif"> Matematiche
e Naturali</span><span style="font-size:8pt;font-family:'Times New Roman',serif"> </span></p><div><br></div>-- <br><div><div dir="ltr">
<p><span style="font-size:9pt;font-family:Cambria,serif;color:rgb(84,141,212)">- - - - -<br>
Michele VERDE<br>
Scuola Normale Superiore</span></p>
<p><span style="font-size:9pt;font-family:Cambria,serif;color:rgb(84,141,212)">Servizio alla didattica e allievi<br>
Piazza Dei Cavalieri, 7<br>
I - 56126 Pisa <br></span></p>
<p><span style="font-size:9pt;font-family:Cambria,serif;color:rgb(84,141,212)">Tel. 050-509048<br>
E-Mail: <a href="mailto:michele.verde@sns.it" target="_blank"><span style="color:rgb(84,141,212)">michele.verde@sns.it</span></a><br>
E-Mail: <a href="mailto:classi@sns.it" target="_blank">classi@sns.it</a><br>
- - - - - <br></span></p>
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Grazie</span></p></div></div>
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