<div dir="ltr"><p class="gmail-MsoTitle" style="text-align:center"><span style="font-size:18pt;font-family:"times new roman",serif">SEMINARIO
DI FINANZA QUANTITATIVA<span></span></span></p>

<p class="gmail-MsoTitle"><span style="font-size:16pt;font-family:"times new roman",serif"><span> </span></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">Giovedì 24 novembre 2016</span><span style="font-size:16pt;font-family:"times new roman",serif"><span></span></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">ore 11:00<span></span></span></p>

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<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></span></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></span></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;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Aula Fermi<span></span></span></p>

<p class="MsoNormal" align="center" style="text-align:center"><b><u><span style="font-size:22pt;font-family:"times new roman",serif"><span><span style="text-decoration:none"> </span></span></span></u></b></p>

<p class="MsoNormal" align="center" style="text-align:center;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial"><b><span style="font-size:22pt;font-family:"times new roman",serif">Giampiero
Gallo</span></b><span style="font-size:22pt;font-family:"times new roman",serif"><span></span></span></p>

<p class="MsoNormal" align="center" style="text-align:center;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial"><i><span style="font-family:"times new roman",serif">(Università di Firenze)<span></span></span></i></p>

<pre style="text-align:center"><b><i><span style="font-size:12pt;font-family:"times new roman",serif;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial"><span> </span></span></i></b></pre>

<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></span></span></p>

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<p class="MsoNormal" align="center" style="text-align:center;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial"><b><span lang="EN-US" style="font-size:22pt;font-family:"times new roman",serif;color:black">“</span></b><b><span lang="EN-US" style="font-size:22pt;font-family:"times new roman",serif">Median
Response to Shocks: A Model for VaR Spillovers in East Asia</span></b><b><span lang="EN-US" style="font-size:22pt;font-family:"times new roman",serif;color:black">”</span></b><b><span lang="EN-US" style="font-size:22pt;font-family:"times new roman",serif"><span></span></span></b></p>

<p class="MsoNormal" align="center" style="text-align:center"><b><span lang="EN-US" style="font-size:22pt;font-family:"times new roman",serif"><span> </span></span></b></p>

<p class="MsoNormal" style="text-align:justify"><b><span lang="EN-US" style="font-family:"times new roman",serif">Abstract:<span></span></span></b></p>

<p class="MsoNormal" style="text-align:justify;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial"><i><span lang="EN-US" style="font-family:"times new roman",serif;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">We propose a procedure
for analyzing financial interdependencies within an area of interest,
interpreting a negative daily return in an Originator market as a VaR (i.e. the
product of a volatility level and the corresponding </span></i><i><span style="font-family:"times new roman",serif;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">α</span></i><i><span lang="EN-US" style="font-family:"times new roman",serif;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">–quantile of a time independent
probability distribution), and measuring the Median Response in the Destination
market through its volatility associated with the one in the Originator and the
reconstruction of the correlation structure between the two (through copula
functions). We apply our methodology to nine Asian markets, varying the choice
of the Originator and deriving a number of indicators which represent the
importance of each market as a provider or a receiver of turbulence. Over a
1996-2015 period we confirm the role of traditionally important markets (e.g.
Hong Kong or Singapore), while over a rolling three–year estimation period, we
can detect rises and declines, the explosion of turbulence in the occasion of
the Great Recession and the magnified role of China in the recent years.</span><span></span></i></p>

<p class="MsoNormal" style="text-align:justify;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial"><i><span lang="EN-US" style="font-family:"times new roman",serif"><span> </span></span></i></p>

<p class="MsoNormal" style="text-align:justify"><span style="font-size:16pt;font-family:"times new roman",serif">Tutti gli interessati sono invitati a
partecipare.<span></span></span></p>

<p class="MsoNormal" style="text-align:justify"><span style="font-size:16pt;font-family:"times new roman",serif"><span> </span></span></p>

<p class="MsoNormal" style="text-align:justify"><span style="font-size:16pt;font-family:"times new roman",serif">Classe di Scienze Matematiche e Naturali<span></span></span></p>

<p class="MsoNormal" style="text-align:justify"><span style="font-size:16pt;font-family:"times new roman",serif"><span> </span></span></p><div><div class="gmail_signature"><div dir="ltr"><div>Valeria Giuliani</div><div>Scuola Normale Superiore</div><div>Servizio alla Didattica e Allievi</div><div>tel. 050 509260</div><div>Piazza dei Cavalieri, 7</div><div>56126 Pisa</div><div>E-mail: <a href="mailto:valeria.giuliani@sns.it" target="_blank">valeria.giuliani@sns.it</a></div><div>E-mail: <a href="mailto:classi@sns.it" target="_blank">classi@sns.it</a></div></div></div></div>
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