Curriculum

Curriculum Docente

Education

2014 PhD in Engineering and Economics of Innovation, University of Salerno, Fisciano, Italy, Grade: Excellent. Thesis: “Evaluation of Volatility Forecasts”. Supervisor: prof. A. Amendola.

2013 Master of science in Economics, major in Research in Economics, K.U. Leuven, Belgium, Grade: cum laude. Thesis: “Forecasting the portfolio volatility using high-frequency data, nonparametric and parametric methods”. Supervisor: prof. C. Croux.

2009 Master’s degree in Economics, Major in Financial Markets Analysis, University of Salerno, Fisciano, Italy, Magna cum laude. Thesis: “Multivariate GARCH Models and Portfolio Optimization”. Supervisor: prof. G. Storti.

Research Interests

  • Non-linear time series analysis;
  • Financial Econometrics;
  • Volatility evaluation;
  • Statistics in sports.

Teaching

Sep 2018 Lecturer of “Financial Time Series 2018”, Sadiba, Perugia, Italy, 4 hours. Società Italiana di Econometria course

2017 – 2018 Lecturer of “Quantitative analysis of financial risk”, University of Salerno, Fisciano, Italy, 30 hours. Master’s degree in Economics

2016 – 2018 Lecturer of “Data mining for the administrative choices”, University of Salerno, Fisciano, Italy, 30 hours. Master’s degree in Government and Administration Sciences

2014 – 2014 Tutorials of “Quantitative methods for the time series analysis”, University of Salerno, Fisciano, Italy, 16 hours, Bachelor’s degree in Business Administration.

2013 – 2014 Lecturer of “Introductory Statistics with R”, ISTAT, Potenza, Italy, 56 hours.

2013 – 2014 Tutorials of “Statistics”, University of Salerno, Fisciano, Italy, 16 hours, Bachelor’s degree in Business Administration.

Awards

2018 European Economic Association (EEA) Seed Grant

Computer skills

R, LATEX

Recent Conferences

  • 11th International Conference on Computational and Financial Econometrics (CFE2017), 16-18 December 2017, London, UK. Work presented: On the asymmetric impact of macro-variables on volatility; session: “Econometric models for high dimensional scoring”.
  • 10th International Conference on Computational and Financial Econometrics (CFE 2016), 9-11 December 2016, Seville, Spain. Work presented: Forecasting volatility with the asymmetric GARCH-MIDAS model; session: “Financial time series modelling and forecasting”.
  • 36th International Symposium on Forecasting (ISF 2016), 19-22 June 2016, Santander, Spain. Work presented: Combining Multiple Frequencies In Multivariate Volatility Forecasting; session: “Forecasting Systems”.
  • 48th Scientific Meeting of the Italian Statistical Society (SIS 2016), 8-10 Giugno 2016, Salerno. Work presented: Probability forecasts in the market of tennis betting: the CaSco normalization; session: “Forecasting methods”.
  • 6th Italian Congress of Econometrics and Empirical Economics (ICEEE-6th), 21-23 January 2015, Salerno, Italy. Work presented: Forecasting crude oil volatility by GARCH-MIDAS model; session: “Volatility II”.
  • 47th Scientific Meeting of the Italian Statistical Society (SIS 2014), 11-13 Giugno 2014, Cagliari, Italy. Work presented: Evaluation of volatility predictions in a VaR framework; session: “Statistics in Finance”.
  • 6th International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2014), 22-24 April 2014, Vietri sul Mare, Salerno,Italy. Work presented: Evaluation of volatility predictions in a VaR framework; session: “Life Insurance 2”.
  • 7th International Conference on Computational and Financial Econometrics (CFE 2013), 14-16 December 2013, University of London, London, UK. Work presented: Evaluation of volatility

Referee activity

Reviewer for several international journals, such as: Energy Economics, Quantitative Finance, Econometrics and Statistics, Bulletin of Economic Research e Research in International Business and Finance.