Sebastiano Manzan

Education

Ph.D., Economics, University of Amsterdam Netherlands

MSc, Economics & Finance, Venice International University Italy

BSc, Economics, University of Venice Italy

Books

Manzan, S. (2017). Introduction to Financial Econometrics. In Progress.

Journal Articles

(2024). Household Debt and Economic Growth in Europe. Macroeconomic Dynamics,

Barbaglia, L., Manzan, S., & Tosetti, E. (2023). Forecasting Loan Default in Europe with Machine Learning. Journal of Financial Econometrics, 21(2). 569–596.

Barbaglia, L., Consoli, S., & Manzan, S. (2023). Forecasting with Economic News. Journal of Business and Economic Statistics, 41(3).

Barbaglia, L., Consoli, S., & Manzan, S. (2023). Forecasting GDP in Europe with textual data. Journal of Applied Econometrics,

Consoli, S., Barbaglia, L., & Manzan, S. (2022). Fine-grained, aspect-based sentiment analysis on economic and financial lexicon. Knowledge-Based Systems, 247.

Manzan, S. (2021). Are professional forecasters Bayesian?. Journal of Economic Dynamics and Control, (123).

Manzan, S. (2015). Forecasting the distribution of economic variables in a data-rich environment. Journal of Business and Economic Statistics, 33. 144-164.

Manzan, S., & Zerom, D. (2015). Asymmetric quantile persistence and predictability: the case of US inflation. Oxford Bulletin of Economics and Statistics, 77. 297-318.

Hua, J., & Manzan, S. (2013). Forecasting the Return Distribution using High-Frequency Volatility Measures. Journal of Banking and Finance, 37(11). 4381-4403.

Manzan, S., & Zerom, D. (2013). Are macroeconomic variables useful for forecasting the distribution of U.S. inflation?. International Journal of Forecasting, 29(3). 469-478.

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

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

(2010). A Semiparametric Analysis of Gasoline Demand in the US: Reexamining the Impact of Price. Econometric Reviews, 29. 439-468.

(2008). "Bootstrap-based Nonparametric Forecast Density". International Journal of Forecasting, 24(3). 25 pgs.

(2007). "Behavioral Heterogeneity in Stock Prices". Journal of Economic Dynamics and Control, 31(6). 1938-1970.

(2007). "Heterogeneous Expectations, Exchange Rate Dynamics and Predictability". Journal of Economic Behavior and Organization, 64(1). 111-128.

(2007). "Nonlinear Mean Reversion in Stock Prices". Quantitative and Qualitative Analysis in Social Sciences, 1(3). 1-20.

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

(2005). "Testing for Nonlinear Structure and Chaos in Economic Time Series: A Comment". Journal of Macroeconomics, 28. 169-174.

(2005). "Representativeness of News and Exchange Rate Dynamics". Journal of Economic Dynamics and Control, 29(4). 677-689.

(2004). "Does liquidity in the FX market depend on volatility?". Economics Bulletin, 6(10). 1-8.

(2004). "Model Selection for Nonlinear Time Series". Empirical Economics, 29(4). 901-920.

(2002). "Tests for Serial Independence and Linearity Based on Correlation Integrals". Studies in Nonlinear Dynamics and Econometrics, 6(2). 21.

Sentiment Analysis of Economic Text: A Lexicon-based Approach .

Book Chapters

Manzan, S. (2022). Big Data and Computational Social Science for Economic Analysis and Policy. In Bertoni, E., Fontana, M., Gabrielli, L., Signorelli, S., & Vespe, M. (Eds.), Handbook of Computational Social Science for Policy (pp. 231-242). Springer.

Manzan, S. (2009). Agent-based models in Finance. In Meyers, R. (Ed.), Encyclopedia of Complexity and System Science Springer.

Presentations

Manzan, S. (2022, June 16). Household Debt and Economic Growth in Europe. Computing in Economics and Finance (CEF) Conference. Dallas, USA: Southern Methodist University / Federal Reserve Bank of Dallas.

Manzan, S. (2022, March 14). Forecasting GDP in Europe with Textual Data. 4th QES NLP and Machine Learning in Investment Management Conference. New Yrok: Wolfe Research.

Manzan, S. (2019, December 31). Forecasting with Economic News. Economics Seminar, Maastricht University. Maastricht, Netherlands: Maastricth University.

Manzan, S. (2019, February 28). Are professional forecasters bayesian?. Department of Economics, University of York. York, United Kingdom: University of York.

Manzan, S. (2019, December 31). Are professional forecasters bayesian?. Economics Seminar, Dutch Central Bank. Amsterdam, the Netherlands: Dutch Central Bank.

Manzan, S. (2019, December 31). Forecasting with Economic News. Alternative datasets for macro analysis and monetary policy. Milan, Italy: Bocconi University.

Manzan, S. (2019, December 31). Forecasting with Economic News. Economics Seminar, Bank of Spain. Madrid, Spain: Bank of Spain.

Manzan, S. (2018, August 31). Are Professional Forecasters Bayesian?. European Meeting of the Econometric Society. Cologne (Germany): Econometric Society.

Manzan, S. (2016, July 31). Are Professional Forecasters Bayesian?. Computing in Economics and Finance (CEF). Bordeaux (France): Society for Computational Economics.

Manzan, S. (2015, June 30). Are professional forecasters Bayesian?. International Association of Applied Econometrics Annual Meeting. Thessaloniki (Greece)

Manzan, S. (2014, July 31). Are macroeconomic variables useful for forecasting the distribution of inflation?. International Association of Applied Econometrics Annual Meeting. London (UK)

Manzan, S. (2013, May 31). Forecasting economic variables in a data-rich environment. Riverside, CA: University of California, Riverside.

Manzan, S. (2013, June 30). Forecasting economic variables in a data-rich environment. Canadian Economic Association Annual Conference. Montreal, Canada

Manzan, S. (2013, April 30). Forecasting the distribution of economic variables in a data-rich environment. 21st Symposium of the Society for Nonlinear Dynamics and Econometrics. Milan (Italy): University of Milan.

Manzan, S. (2013, November 30). Are macroeconomic variables useful for forecasting the distribution of inflation?. Graduate Center Macroeconomics Colloquium.

Manzan, S. (2012, March 31). Forecasting the return distribution using high-frequency volatility measures. 20th Symposium of the Society for Nonlinear Dynamics and Econometrics. Istanbul (Turkey): Society for Nonlinear Dynamics and Econometrics.

Manzan, S. (2012, October 31). Forecasting the distribution of economic variables in a data-rich environment. NBER-NSF Time Series Conference. College Station, TX: Texas A&M University.

Manzan, S. (2011, January 31). Differential Interpretation in the Survey of Professional Forecasters. Annual Meeting of the American Economic Association. Denver, CO: American Economic Association.

Manzan, S. (2010, April 30). Differential Interpretation in the Survey of Professional Forecasters. 18th Symposium of the Society for Nonlinear Dynamics and Econometrics. Novara (Italy): Society for Nonlinear Dynamics and Econometrics.

Manzan, S. (2010, October 31). Are macroeconomic variables useful for forecasting the distribution of inflation?. NBER-NSF Time Series Conference. Durham, NC: Duke University.

Manzan, S. (2009, April 30). . NY Camp Econometrics. Lake Placid

Manzan, S. (2009, July 31). Are macroeconomic variables useful for forecasting the distribution of inflation?. NBER Summer Institute. Cambridge, MA: NBER.

Manzan, S. (2009, December 31). . 17th Symposium of the Society for Nonlinear Dynamics and Econometrics. Atlanta, GA: Society for Nonlinear Dynamics and Econometrics.

Manzan, S. (2008, May 31). . Invited presentations. : Rutgers University (USA).

Manzan, S. (2007, December 31). . 15th Symposium. Paris (France): Society for Nonlinear Dynamics and Econometrics.

Manzan, S. (2007, December 31). . Invited presentation. : University of Warwick (UK).

Manzan, S. (2006, December 31). . European meeting. Vienna (Austria): Econometric Society.

Manzan, S. (2006, December 31). . Invited presentation. : University of Essex, (UK).

Manzan, S. (2005, December 31). . 13th Symposium. London (UK): Society for Nonlinear Dynamics and Econometrics.

Manzan, S. (2005, December 31). . Invited presentation. University of Alberta (Canada): School of Business.

Manzan, S. (2004, December 31). . Time Series Conference,. Dallas (USA): NBER/NSF.

Manzan, S. (2004, December 31). . Invited presentation. : University of Manchester (UK).

Manzan, S. (2004, December 31). . Annual meeting. Amsterdam (the Netherlands): Society for Computational Economics.

Manzan, S. (2003, December 31). . Annual Meeting. Stockholm (Sweden): European Economic Association.

Manzan, S. (2003, December 31). . Invited presentation. : University Carlos III Madrid (Spain).

Manzan, S. (2002, December 31). . Invited presentation. : Erasmus University of Rotterdam (The Netherlands).

Manzan, S. (2002, December 31). . Conference on Nonparametric Statistics. Crete (Greece)

Manzan, S. (2002, December 31). . 10th Symposium. Atlanta (USA): Society for Nonlinear Dynamics and Econometrics.

Manzan, S. (2002, December 31). . Annual Meeting. New York (USA): American Statistical Association.

Manzan, S. (2000, December 31). . Conference. Dublin (Ireland): EC2, European Econometric.

Manzan, S. (2000, December 31). . Time Series Conference. Fort Collins (USA): NBER/NSF.

College

University

Professional

Public