<div dir="ltr"><p class="gmail-MsoTitle" style="margin:0cm 0cm 0.0001pt;text-align:center;font-size:24pt;font-family:"New York",serif;font-weight:bold;text-decoration-line:underline"><span style="font-size:18pt;font-family:"Times New Roman",serif">SEMINARIO
DI FINANZA QUANTITATIVA</span></p>

<p class="gmail-MsoTitle" style="margin:0cm 0cm 0.0001pt;text-align:center;font-size:24pt;font-family:"New York",serif;font-weight:bold;text-decoration-line:underline"><span style="font-size:16pt;font-family:"Times New Roman",serif"><span style="text-decoration-line:none"> </span></span></p>

<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">Lunedì 17 dicembre 2018</span><span style="font-size:16pt;font-family:"Times New Roman",serif"></span></p>

<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">ore 14:30</span></p>

<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif"> </span></p>

<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><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:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">Pisa</span></p>

<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><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 Bianchi Scienze</span></p>

<p class="MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><b><u><span style="font-size:16pt;font-family:"Times New Roman",serif"><span style="text-decoration-line:none"> </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;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span class="gmail-apple-converted-space"><b><span style="font-size:24pt;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></b></span><strong><span lang="EN-US" style="font-size:24pt;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Vladimir
Volkov</span></strong><b><span lang="EN-US" style="font-size:24pt;font-family:"Times New Roman",serif"></span></b></p>

<pre style="text-align:center;margin:0cm 0cm 0.0001pt;font-size:10pt;font-family:"Courier New""><i><span lang="EN-US" 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">(University of  Tasmania</span>)<b></b></i></pre><pre style="text-align:center;margin:0cm 0cm 0.0001pt;font-size:10pt;font-family:"Courier New""><b><i><span lang="EN-US" 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></i></b></pre>

<p class="MsoNormal" align="center" style="text-align:center;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">terrà un
seminario dal titolo:</span></p>

<p class="MsoNormal" align="center" style="text-align:center;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><b><span style="font-size:20pt;font-family:"Times New Roman",serif"> </span></b></p>

<p align="center" style="margin:0cm 0cm 0.0001pt;text-align:center;font-size:12pt;font-family:"Times New Roman",serif"><b><span lang="EN-US" style="font-size:22pt;color:black">“<span style="background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Signed
spillover effects building on historical decompositions</span>”<span style="background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial"></span></span></b></p>

<p class="MsoNormal" align="center" style="text-align:center;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><b><span lang="EN-US" style="font-size:20pt;font-family:"Times New Roman",serif"> </span></b></p>

<p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><b><span lang="EN-US" style="font-family:"Times New Roman",serif">Abstract:</span></b></p>

<p style="margin:0cm 0cm 0.0001pt;text-align:justify;font-size:12pt;font-family:"Times New Roman",serif"><span lang="EN-US" style="font-size:10.5pt;color:black;background:aliceblue">The spillover effects of interconnectedness can be further decomposed
into both the sources of shocks and whether they amplify or dampen volatility
conditions in the target market. We show how to use historical decompositions
to rearrange the information from a VAR to include the sources, direction and
signs of spillover effects building on the unsigned forecast error variance
decomposition approach. We apply the methodology to a panel of CDS spreads of
sovereigns and financial institutions for the period 2003-2013 and identify how
these entities contribute to global systemic risk</span><span lang="EN-US" style="font-size:10.5pt;font-family:Verdana,sans-serif;color:black;background:aliceblue">. </span><span lang="EN-US" style="font-family:Calibri,sans-serif;color:black;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial"></span></p>

<p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span lang="EN-US" style="font-family:"Times New Roman",serif"> </span></p>

<p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">Tutti gli interessati sono invitati a
partecipare.</span></p>

<p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><br></p>

<p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">Classe di Scienze</span></p>

<p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif"> </span></p><div><div dir="ltr" class="gmail_signature" data-smartmail="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></div>

<p></p>

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