sebastiano manzan
assistant professor of economics
baruch college


working papers:

Forecasting the distribution of economic variables in a data-rich environment (here)

Asymmetric quantile persistence and predictability: the case of U.S. inflation, with D. Zerom (here)


published papers:

Forecasting the Return Distribution using High-Frequency Volatility Measures (with J. Hua), Journal of Banking and Finance (2013), 37, 4381-4403 (here)

Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation? (with D. Zerom), International Journal of Forecasting (2013), 29, 469-478 (here)

Differential Interpretation in the Survey of Professional Forecasters, Journal of Money, Credit, and Banking (2011), 43, 993-1017 (here)

U.S. Manufacturing: Productivity, Offshoring, and Imports (with H.n. Ross), Economics Bulletin (2011), 31(4), 2875-2883 (here

A Semiparametric Analysis of Gasoline Demand in the US: Re-examining the Impact of Price (with D. Zerom), Econometric Reviews (2010), 29, 439-468 (here)

A Bootstrap-based Nonparametric Forecast Density (with D. Zerom), International Journal of Forecasting (2008), 24, 535-550 (here)

Nonlinear Mean Reversion in Stock Prices, Quantitative and Qualitative Analysis in Social Sciences (2007), 1, 1-20 

Behavioral Heterogeneity in Stock Prices (with H.P. Boswijk and C.H. Hommes), Journal of Economic Dynamics and Control (2007), 31, 1938-1970 (here)

Heterogeneous Expectations, Exchange Rate Dynamics and Predictability (with F. Westerhoff), Journal of Economic Behavior and Organization (2007), 64, 111-128 (here)

Kernel Estimation of a Partially Linear Additive Model (with D. Zerom), Statistics and Probability Letters (2005), 72, 313-322 (here)

Testing for Nonlinear Structure and Chaos in Economic Time Series: A Comment (with C.H. Hommes), Journal of Macroeconomics (2006), 28, 169-174 (here)

Representativeness of News and Exchange Rate Dynamics (with F. Westerhoff), Journal of Economic Dynamics and Control (2005), 29, 677-689 

Model Selection for Nonlinear Time Series, Empirical Economics (2004), 29, 901-920(here)

Does Liquidity in the FX Market depend on Volatility? (with F. Westerhoff), Economics Bulletin (2004), 6(10)

Testing for serial independence and linearity based on correlation integrals (with C.G.H. Diks), Studies in Nonlinear Dynamics and Econometrics (2002), 6(2)  (here)


CV
 

Office: VC 10-289


email: here

tel: (646) 312-3408


SNDE 2014 @ Baruch
04/17-04/18/2014

local information

preliminary program