CASARIN Roberto

Qualifica
Professore Ordinario
Incarichi
Delegato di Dipartimento all'Erasmus
Presidente della Commissione Erasmus del Dipartimento di Economia
Vice-Direttore dell'International Master in Economics and Finance
Telefono
041 234 9149
E-mail
r.casarin@unive.it
centro.vera@unive.it - Centro di Eccellenza VERA
Fax
041 234 9176
SSD
ECONOMETRIA [SECS-P/05]
Sito web
www.unive.it/persone/r.casarin (scheda personale)
 https://sites.google.com/view/robertocasarin
Struttura
Dipartimento di Economia
Sito web struttura: https://www.unive.it/dip.economia
Sede: San Giobbe
Struttura
Centro Europeo Interuniversitario di Ricerca - European Center for Living Technology
Sito web struttura: https://www.unive.it/eclt
Sede: Ca' Bottacin
Research Institute
Research Institute for Complexity

CURRICULUM VITAE OF ROBERTO CASARIN

PERSONAL INFORMATION
Born in          Treviso (Italy)
Date              5th March 1975
Nationality     Italian
Languages     Italian, English, German, French
Email             r.casarin@unive.it
Web:             https://sites.google.com/view/robertocasarin/

EDUCATION
2004-2007     Ph.D. in Mathematics, University Paris IX Dauphine, France
                     Supervisor: Christian P. Robert
2000-2003     Ph.D. in Economics, University Ca’ Foscari of Venice
                     Supervisor: Monica Billio
2001-2002     M.Sc. in Applied Mathematics, University Paris IX Dauphine, France
                     Supervisor: Christian Gourieroux
1994-1998     Laurea in Economics, University Ca’ Foscari of Venice
                     Supervisor: Domenico Sartore


FURTHER EDUCATION
2009     Summer School in Probability Theory, University of Tampere, Finland
2002     Summer School in Mathematics, University of Marseille, France
2000     Summer School in Mathematics (SMI), University of Perugia, Italy

CURRENT AND PAST POSITIONS
2019-            Full Professor (Econometrics), University Ca’ Foscari of Venice (UCF, in what follow)
2015-2018     Associate Professor (Econometrics), UCF
2010-2015     Assistant Professor (Econometrics), UCF
2001-            Research Associate and Member of the Scientific Committee, GRETA
2006-2010     Assistant Professor (Econometrics), University of Brescia
2003-2007     Research Assistant, CEREMADE, CNRS-Paris IX Dauphine, France
2005-2006     Research Assistant, University of Brescia
2005-2005     Research Assistant, University of Padova
1999-2000     Research Assistant, GRETA, Venice

TEACHING ACTIVITIES
PHD
2015-2020     Time Series Econometrics (30h), PhD in Economics, UCF.
2018-2020     Advanced Econometrics (30h), PhD in Economics, UCF.
2014-2015     Bayesian Statistics and Econometrics (15h), PhD in Economics, UCF.
2012-2015     Bayesian Econometrics (20h), CIdE PhD Summer School, Bertinoro/Perugia
2013             Bayesian Stochastic Volatility Models (6h), PhD in Statistics, University Roma Tre
2008             Statistics for Linguistic, PhD in Linguistic (15h),UCF

MSC
2016-2020     Nonlinear Models and Financial Econometrics (30h), QEM, UCF
2012-2014     Econometrics (35h), QEM, UCF
2012-2015     Financial and Nonlinear Econometrics (30h), QEM, UCF
2015-2015     Risk Measurement (30h), UCF
2013,2015     Applied Econometrics (30h), UCF
2010-2016     Risk process and Insurance (6h), IMEF, UCF
2010-2016     Numerical Methods for Option Pricing (6h), IMEF, UCF
2004-2006     Stochastic Calculus(6h), IMEF, UCF

UNDERGRADUATE
2008-2010     Applied Econometrics II (30h), University of Brescia
2008-2010     Applied Econometrics I (30h), University of Brescia
2009-2009     Financial Econometrics (30h), University of Brescia
2009              Financial Econometrics (30h), University of Brescia
2005-2009     Finance of Insurance and Social Security (30h), University of Brescia
2007-2009     Currency Risk and Capital Markets (30h), University of Brescia
2007              Numerical Methods in Econometrics and Finance (20h), University of Brescia
2006-2008     Forecasting Methods I (30h), UCF

PROFESSIONAL TRAINING
2001              Performance Evaluation and Attribution, Arthur Andersen, Milan
2001-2002     Stochastic Process Simulation Methods, Arthur Andersen, Milan
2000              Monte Carlo Simulation Methods, Arthur Andersen, Milan
2000              Portfolio Theory and Asset Allocation, Arthur Andersen, Milan

MASTER THESIS SUPERVISION (A SELECTION)
2015       Andrea Pasqualini, “Approaching systemic risk with entropy”
              UCF Dep. of Economics, Guido Cazzavillan and Riccardo Faini’s prize as best master thesis in economics
2015       Giovanni Florian, “Risk analysis of financial contagion with dynamic conditional
               correlation models: evidence on CDS spreads of the sovereign states”
               FOREX prize as best italian master thesis  in empirical finance
2014        Enrico Piccin, “Crack spread hedging with dynamic conditional correlation models”
               FOREX prize as best italian master thesis  in empirical finance
2012        Ruggero Bee, “The Effects of Financial Stress on the Economic Activity of the Euro
               Area: a Bayesian Approach”
               UCF Dep. of Economics Riccardo Faini’s prize as best master thesis in economics

RESEARCH ACTIVITIES
CONFERENCE ORGANIZATION

2016              European Seminars of Bayesian Econometrics ESOBE meeting, October 2016, Venice.
2011-2015     Bayesian Nonlinear Econometrics session, CSDA-CFE meeting
2015              2nd Days of Econometrics for Finance International Conference (JEF’2015),
                      Mohammed V University, Rabat, Morocco, 18 - 19 December 2015.
2013              Workshop on New Tools in Macro-Econometrics, UCF
2011              Workshop on Probability Models in Econometrics, UCF
2011              Workshop on Density Forecasting, UCF
2009              PhD Students Workshop Financial Econometrics and Quantitative Finance, University of Brescia
2008              Third Japanese-European Bayesian Econometrics and Statistics Meeting, University of Brescia
2007              Worskshop on Non-linear Models for Business Cycle Analysis, Ecole Normal Superior-Cachan, Paris

REFEREEING JOURNALS
Journal of Econometrics, Journal of Business and Economic Statistics, Journal of the American Statistical Association, Journal of Statistical Planning and Inference, Signal Processing Letters, Journal of Economics Dynamics and Control, The European Journal of Finance, Research in Economics, Computational Statistics and Data Analysis, Journal of Forecasting, Journal of Banking and Finance
   
REFEREEING PROCEEDINGS
2010-2014     International Conference on Artificial Intelligence and Statistics, AISTAT
2014              Neural Information Processing Systems, NIPS

REFEREEING GRANT PROJECTS
2008-2009     Social Sciences and Humanities Research Council (SSHRC) of Canada, for the Standard Research Grants Competition

VISITING
2008-2009     Department of Mathematics, University of Bristol
2009              Department of Math., University Paris Sud
2002-2003     CEREMADE, Department of Mathematics University Paris Dauphine

PHD STUDENT SUPERVISION
2013-2014 Anthony Osuntuyi, thesis on ”Bayesian Markov-switching GARCH”,
                 PhD Competed in January 2014 (co-supervised with Monica Billio)
                 Current Position: Lecturer, Dep. of Mathematics, Ile-Ife University, Nigeria
2012-2015 Daniel Felix Ahelegbey, thesis on ”Bayesian Graphical Models”,
                 PhD Competed in June 2015 (co-supervised with Monica Billio)
                 Current Position: Lecturer, University of Pavia
2013-2016 Komla Mawulom Agudze, thesis on ”Panel Markov-Switching Models”,
                 PhD Competed in June 2016 (co-supervised with Monica Billio)
                 Current Position: World Bank, Washington DC
2014-2017 Luca Rossini, thesis on ”Bayesian nonparametric models”,
                PhD Competed in February 2017 (co-supervised with Monica Billio)
                Current Position: Lecturer, Dep. of Mathematics, Queen Mary University of London
2014-2017 Silvia del Rio, thesis on ”Uncertainty and macroeconomic models”,
                 PhD Competed in June 2017 (co-supervised with Giovanni Caggiano)
2015-2018 Giovanna Notarnicola, thesis on ”Microeconometrics and Uncertainty”,
                 PhD Competed in July 2018 (co-supervised with Agar Brugiavini)
                 Current Position: Data scientist, AVIS, London
2015-2018 Matteo Iacopini, thesis on ”Tensor calculus in econometrics”,
                 PhD Competed in July 2018 (co-supervised with Monica Billio e Dominique Guegan)
                 Current Position: Marie-Curie Fellow, University of Amsterdam
2018-2019 Giulia Carallo, thesis on ”Generalized Poisson Processes”,
                 Expected completion year 2022

PHD COMMITTEE
2019 Fabio Franco, PhD in Econometrics, University Roma Tor Vergata.
2018 Francesco Corsello, PhD in Economics, Bocconi University.
2018 Valerio Nispi, PhD in Economics, Bocconi University.
2018 Jacopo Stacciolo, PhD in Economics, Scuola Superiore Sant'Anna, Pisa.
2018 Carlo Santagiustina, PhD in Economics, Ca’ Foscari University of Venice.
2016 Hajar Nasrazadani, PhD in Statistics, Universitad Politecnica de Catalunya.
2015 Audrone Virbikaite, PhD in Economics and Quantitative Methods, University Carlos III of Madrid
2014 Andrea Pierini, PhD in Economics and Quantitative Methods, University Roma Tre

MEMBERSHIPS
2019- European Seminar of Bayesian Econometrics (ESOBE, Board member)
2011-2018 Italian Statistics Society (SIS)
2013-2016 Italian Econometric Society (SIdE)
2015-2016 International Society for Bayesian Analysis (ISBA)
2013-2016 Euro Area Business Cycle Network (EABCN)
2016-2016 European Network for Business and Industrial Statistics (ENBIS)

RESEARCH GRANTS
2018 Grant Visiting Professor dell'Università Italo Francese 2017.
2017 Grant Workshop organization dell'Università Italo Francese 2017.
2016-2017 Research Project “Methodological support financial cycles”, EUROSTAT, Tender No ESTAT/B/2013/001, 2013/S 101-172114 Lot 1: Methodological support (principal investigator and supervisor, joint with M. Billio)
2016-2016 Research Project “Using text mining methods on newspapers and social networks to construct a daily/weekly updated economic sentiment indicator”, EUROSTAT, Tender No ESTAT/C/2013/010 (principal investigator and supervisor)
2014-2016 Grant ”Systemic Risk” , Institut Europlace de Finance, (researcher)
2013-2016 Grant ”SYRTO-SYstemic Risk TOmography: Signals, Measurements, Transmission Channels, and Policy Interventions”, (researcher)
2012-2013 Grant, ”Modelli statistici multivariati per la valutazione dei rischi”, Italian National Research Council (PRIN), (researcher)
2012-2013 Post-doc grant, ”Bayesian Forecasting Methods in Macroeconomics” University Ca’ Foscari, (supervisor)
2010-2011 Grant ”Advanced statistical and econometric techniques for PEEIS Transmission of shocks and cyclical fluctuations in the Euro Area, member states and main economic partners”, EUROSTAT, (principal investigator and supervisor)
2011 Post-doc grant, ”Markov-switching GARCH models”, University of Brescia, (supervisor)
2009 Research fellowship, ”State Matrix Kalman Filtering”, GRETA, (supervisor)
2005 Grant, Italian National Research Council (PRIN), ”Contagion and interdependence between financial markets” (researcher)

SEMINARS AND MEETINGS   
A Bayesian Generalized Poisson Model for Cyber Risk Analysis
Sep 2020 Mathematical and Statistical Methods for Actuarial Sciences and Finance, Venice (remote conference)

A Bayesian Approach for Inference on Probabilistic Surveys
June 2019 Bayesian Nonparametrics Meeting, Oxford (invited)

Bayesian Dynamic Tensor Regression
Sep 2020 Complexity Meets Finance Meeting, Remote Conference, Rome (invited)
Dec 2018 CSDA-CFE Meeting, Pisa
Oct 2018 High Dimensional Small Data Workshop, ECLT-University Ca’ Foscari, Venice
Sep 2018 UMI-SIMAI-PTM Joint Meeting, University of Wroclaw, Wroclaw
Apr 2018 MAF, University of Madrid Carlos III, Madrid

Bayesian Markov switching tensor regression for time-varying networks
Jun 2018 Annual Meeting of the Statistical Society of Canada, Montreal (invited)
Jun 2018 12th Annual RCEA Bayesian Workshop, Rimini
Dec 2017 CSDA-CFE Meeting, London

Smile at errors: A discrete-time stochastic volatility framework for pricing options with realized measures
Set 2016 Free University of Bozen, Bozen (invited)

Modeling Contagion and Systemic Risk
Mar 2017 Higher School of Economics, Moscow (invited)
Jun 2016 CORE, UCL, Louvain-la-Neuve (invited)
Jul 2015 IFCS Meeting, Bologna
May 2015 Workshop on High-Dimensional Time Series, IAS, Wien
Mar 2015 SNDE Meeting, BI Norwegian Business School, Oslo

Bayesian Nonparametric Sparse VAR Model
May 2017 Big Data in Dynamic Predictive Econometric Modeling, University of Pennsylvania
Jun 2016 SIS Meeting, Florence

Markov Switching GARCH models for Bayesian Hedging on Energy Futures Market
Aug 2016 ESEM Meeting, Geneve

Dynamic Model Averaging for Quantile Regression
Jun 2016 Scientific Meeting of the Italian Statistical Society, Salerno
May 2014 University of Glasgow, Glasgow (invited)

A Bayesian Approach for Inference on Probabilistic Surveys
Oct 2016 ESOBE Meeting, Venice

Growth-cycle phases in China's provinces: A Bayesian panel Markov-switching approach
May 2016 7th Rimini Bayesian Econometrics Workshop, Rimini

A Bayesian Time-varying Approach to Risk Neutral Density Estimation
Dec 2015 CSDA-CFE Meeting, London

Multi-country Panel Markov-switching Unrestricted MIDAS
Dec 2015 CSDA-CFE Meeting, London

Parallel computing and stochastic simulation with MATLAB
Jul 2015 Department of Environmental Sciences, Informatics and Statistics, Venice (invited)

Bayesian nonparametric combination and calibration of predictive distributions
Nov 2015 University Cattolica del Sacro Cuore, Milan (invited)
Apr 2015 European Center for Living Techonologies, Venice (invited)
Feb 2015 Universidad Carlos III de Madrid, Madrid (invited)

Bayesian nonparametric combination and calibration
Mar 2014 CORE Universite Catolique de Louvain, (invited)
Jan 2014 Wien University, Dep. Math., (invited)

Parallel Sequential Monte Carlo for Efficient Density Combination
Jun 2013 7th Rimini Bayesian Econometrics Workshop

A Bayesian Markov-switching Stochastic Correlation Model
Jun 2013 SIS meeting on Advances in Latent Variables, Brescia
Aug 2013 ESOBE Meeting, Oslo (poster)

A Bayesian panel Markov-switching VAR model
Aug 2013 ESOBE Meeting, Oslo (poster)

Beta Product dependent Pitman-Yor Processes for Bayesian Inference
Feb 2014 IMS-ISBA Meeting MCMSki, Chamonix
Dec 2013 CSDA-CFE Meeting, London

Beta Product Poisson-Dirichlet Processes
Dec 2012 CSDA-CFE Meeting, Oviedo
Nov 2011 Department of Statistics, University of Trieste (invited)

Slice Sampling Vectors of Beta Product Poisson-Dirichlet Processes
Jun 2011 ISBA Meeting on Bayesian Learning, Yetepee University, Istanbul

A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures
Jun 2011 International Conference on Risk Modeling and Management , Madrid

Combining Turning Point Forecasts
Jun 2011 31st International Symposium of Forecasting, Prague

Interacting Multiple-Try Algorithm
Mar 2011 Dep. of Statistics, University of Pavia (invited)
Jun 2011 Dep. of Statistics, University of Madrid III (invited)
Jun 2011 ASMDA Meeting, University La Sapienza, Rome

Bayesian Model Selection for Beta Autoregressive Processes
Jun 2011 ISBA Meeting on Bayesian Learning, Yetepee University, Istanbul
May 2011 Dep. of Statistics, University of Bologna (invited)
Nov 2010 Norges Bank, Oslo, (invited)

Combining Predictive Densities using Bayesian Filtering
Jul 2011 NBER Summer Institute, Boston
Jan 2011 4th ICEEE meeting, Pisa
Nov 2010 The European Seminar on Bayesian Econometrics, Rotterdam
Dec 2010 4th CSDA CFE Meeting, London
Oct 2010 6th Eurostat Colloquium, Luxembourg

Markov-switching Stochastic-Correlation Models
Jun 2011 International Conference on Risk Modeling and Management, Madrid

Discussion on: Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights (by Hoogerheide, L. and Kleijn, R. and Ravazzolo, F. and Van Dijk, H.K. and Verbeek, M.)
Jan 2010 2nd Meeting in memory of Carlo Giannini, Bank of Italy

Sequential Monte Carlo for complex sampling problems
Mar 2009 EPSRC Symposium Workshop on MCMC, Mathematics Institute, Warwick

Matrix-State Particle Filter for Wishart Stochastic Volatility
Jan 2009 3rd ICEEE meeting, Italy

Discussion on: Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations by H. Rue, S. Martino, and N. Chopin
Oct 2008 Royal Statistical Society, Ordinary Meeting, London

Self-avoiding Sequential Monte Carlo Samplers
Jun 2008 Computational Economics Meeting, Paris
Jan 2008 Adap’ski 2008, a satellite meeting to MCMC’ski Bormio, Italy

Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods
Sep 2008 5th Colloquium on Modern Tools for Business Cycle Analysis, LU
Jun 2008 Workshop on Emerging Methods in Bayesian Econometrics, Rotterdam (invited)
Jun 2008 First Workshop of the ERCIM Working Group on Comp.& Stat., Neuchatel Switzerland
Jun 2006 26th International Symposium on Forecasting, Santander Spain

Matrix-State Particle Filter for Wishart Stochastic Volatility
Nov 2007 University of Bolzano (invited)
Jun 2007 Convegno intermedio annuale SIS, ”Rischio e Previsione”, Venezia

Sequential Monte Carlo and Stochastic Volatility Models
Jun 2007 CSDA-CFE Meeting, Limassol, Cyprus
Feb 2006 MMF Seminars, University of Brescia, Italy

Inference on Diffusion Processes by Population Monte Carlo method
Apr 2005 Group de Travaille en Finance-Stat, CREST-INSEE, Paris
Jan 2005 MCMC’Ski Meeting, Bormio, Italy
Sep 2005 Young Stastistician Meeting, University Trinity College, Dublin
Sep 2005 Premieres recontres des jeunes statisticiens Aussois
May 2005 European Working Group on Financial Modeling, University of Brescia

Bayesian Inference for Stochastic Volatility Models
May 2004 Forecasting Financial Markets, Paris

Bayesian inference in dynamic models with latent factors
Jun 2004 ISBA Meeting, Valparaiso, Chile
Oct 2003 Colloquium on modern tools for business cycle analysis, Luxembourg (invited)

Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models
Jun 2003 Workshop on Objective Bayesian Methodology, CNRS, Aussois

Bayesian Inference for Mixture of Stable Distributions
Apr 2003 Young Statistician Meeting, Cambridge

Extreme returns in a shortfall risk framework
May 2002 Forecasting Financial Markets, London

Italian Equity Funds: Efficiency and Performance Persistence
Jun 2001 European Financial Management Association (EFMA), Lugano

Investment Styles in the European Equity Market
May 1999 Forecasting Financial Markets, London

TEACHING AND RESEARCH AT INTERNATIONAL INSTITUTIONS   
Aug 2013     Norges Bank, Oslo, Norway. Course title: Sequential Monte Carlo methods
Apr 2007     CREST, Option Formation par la Recherche Course, Paris. Course title: Inference on Business Cycle and Stock Market Volatility: A Particle Filter Approach

FELLOWSHIPS AND AWARD
2004             Italian Economics Society (SIE) Award as best PhD Thesis 2004
2000-2003     University of Venice, Italy: Ph.D. Scholarship

EDITORIAL BOARD

2018     Associate editor, Bayesian Analysis
2015     Guest editor, Econometrics, Special Issue "Computational Complexity in Bayesian Econometric Analysis
   
FUND RASING/ATTIVITÀ DI FUND RAISING
Not financed:
2014     SAS-IIF Grant to Support Research on Principles of Forecasting (principal investigator)
2009     Grant, ”Systemic Risk and Macroeconomic Risk: new approaches and measures”, Italian National Research Council (PRIN), (researcher)
2008     Grant, ”Real and Financial variables and indicators for dating and detecting business cycle”, Italian National Research Council (PRIN), (researcher)
2008    ENEL University Eureka Project (principal investigator, other proponents Matteo Galizzi, Sergio Vergalli)

Financed
2018 Grant Visiting Professor dell'Università Italo Francese 2017.
2017 Grant Workshop organization dell'Università Italo Francese 2017.
2016-2016 Grant “Financial Cycles”, EUROSTAT, (principal investigator and supervisor)
2016-2016 Grant “Text Mining”, EUROSTAT, (principal investigator)
2013-2016 Grant “SYRTO-SYstemic Risk TOmography: Signals, Measurements, Transmission Channels, and Policy Interventions”, (researcher)
2012-2013 Grant, “Modelli statistici multivariati per la valutazione dei rischi”, Italian National Research Council (PRIN), (researcher)
2010-2011 Grant “Advanced statistical and econometric techniques for PEEIS Transmission of shocks and cyclical fluctuations in the Euro Area, member states and main economic partners”, EUROSTAT Eurostat’s Invitation to Tender No 2009/S 107-153951, (principal investigator and supervisor)

ACADEMIC DUTIES
2018-2022   Director of the Venice center for Economics and Risk Analytics (VERA), Center of Excellence, Department of Economics, UCF
2016-2019   Director of the International Master in Economics and Finance (IMEF), UCF
2017-2019   Coordinator of the Department Erasmus Committee, Department of Economics, UCF
2015- 2019  Member of the Computer Cluster Management Committee (SCSCF), UCF
2017- 2019  Member of the University Infrastructure Committee (CSA), UCF
2017- 2019  Member of the Department Student-Professor Joint Committee, Department of Economics, UCF
2012-2019   Member of the PhD Faculty and Board, Department of Economics, UCF
2014-2019   Member of the Research evaluation committee, Department of Economics, UCF
2014-2017   Organizing committee, department seminar series, UCF
2012-2017   Member of the Faini’s and Cazzavillan’s prize committee, Department of Economics, UCF
2013           UCF Open Day
2007-2010   Elective member, Faculty of Economics, University of Brescia

 

FUTHER INFORMATION / ALTRE INFORMAZIONI UTILI
RESEARCH IMPACT
GOOGLE SCHOLAR Documents 144, Citations 3030, h-index 17
SCOPUS                Documents 32, Citations 196, h-index 9
MATHSCINET         Number of articles 13
ARXIV                   Number of papers 16
SSRN                    Author Rank 5,527 out of 411,515, Number of Document 44, Total Download 7185, Total Citations 17

WEB
PERSONAL             https://sites.google.com/view/robertocasarin
GOOGLE SCHOLAR https://scholar.google.it/citations?user=5bEU2N4AAAAJ&hl=it
ORCID                  https://orcid.org/0000-0003-1746-9190
SCOPUS                https://www.scopus.com/authid/detail.uri?authorId=8976184700
SSRN                    https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=268540
ARXIV                   https://arxiv.org/search/?searchtype=author&query=Casarin%2C+R
MATHGEN              https://www.genealogy.math.ndsu.nodak.edu/id.php?id=120609

NATIONAL SCIENTIFIC EVALUATION
2013-2019 Associate professor in Statistics for Economics (Statistica Economica, SSD SECSS/03). Validity: 11 December 2013 -11 December 2019
2013-2019 Associate professor in Statistics (Statistica, SSD SECS-S/01). Validity: 11 December 2013 -11 December 2019
2013-2019 Associate professor in Econometrics (Econometria, SSD SECS-P/05). Validity: 11 December 2013 -11 December 2019
2013-2019 Full professor in Econometrics (Econometria, SSD SECS-P/05). Validity: 28 March 2017-28 March 2023

RESEARCH INTERESTS
Methods Bayesian Inference (Prior, Nonparametrics, Posterior Consistency, Model Averaging, Model Selection); Numerical methods (Monte Carlo, Markov Chain Monte Carlo, Population Monte Carlo, Sequential Monte Carlo); Graph theory (Random Graphs, Centrality Measures, Graph Extraction Methods).
Models Dynamic Latent Factor, Stochastic Volatility, Markov-Switching, Dirichlet Processes, Diffusion Processes.
Macro Business cycle analysis, Turning Point Detection, Exchange Rate.
Finance Contagion, Hedging, Performance Evaluation, Risk Measurement, Systemic Risk, Volatility.


Venice, 07th December 2020