Acknowledgments

This is the best opportunity I have to express formally my deep gratitude to Tommaso Proietti, my supervisor, for his constant guidance, suggestions, patience and more important to me our friendship. I really enjoyed our time series conversations and our non time series conversations. Without his help this work would have never been possible. Then I would like to thank all the people in my department for their support and their friendship which made my studying in Rome the best period of my life. In particular I wish to thank Franco Peracchi for coordinating the Phd program. I am thankful to several people for reading and commenting early drafts of these chapters. This group includes Alessandra Luati, Giuseppe Garofalo and my dear friend Raffaele Ciula. Very special thanks to the VU University of Amsterdam for the warm hospitality during the period February- June 2009 and February 2010. Special thanks to Siem Jan Koopman for giving me the possibility to work with him and his group. I would like to thank Charles Bos, Michael Massman, Marius Ooms, Guilherme Moura, Drew Creal for the fruitful discussions about econometrics during lunch times and coffee breaks. Finally I would like to thank my family an my girlfriend Lucia for the understanding during al