Curriculum Vitae

 

Actual position

From April 2016, Professor of Economic Statistics, Department of Statistical Sciences, University of Padova, Italy – address: Via C. Battisti 241, 35121 Padova, phone. +39-049-8274199 – email: massimiliano.caporin@unipd.it

 

Previous experiences

- January 2011 – March 2016, Associate Professor of Econometrics, Department of Economics and Management “Marco Fanno”, University of Padova, Italy;

- March 2006 - December 2010, Assistant Professor of Econometrics, Faculty of Statistical Sciences, Department of Economics and Management “Marco Fanno”, University of Padova, Italy;

- March 2005 – February 2006 – University of Padova – Department of Economics and Management “Marco Fanno” – Post-doctoral grant “Tactical asset allocation” – Supervisor: Prof. B. Parigi;

- September 2003 – February 2005 – University Ca’ Foscari of Venezia – Department of Economics – Post-doctoral grant “Dating economic cycle: dating methodologies and identification of turning points – application to the Euro Area and comparison with NBER dating – Supervisors: Prof. M. Billio and Prof. G. Cazzavillan;

- Since November 2003: GRETA Associati, Venice – Associate, Consultant in official statistics, financial econometrics, macroeconometrics and finance;

- November 2002 – Agosto 2003: GRETA Associati, Venice – Researcher and project manager;

- May 2002 – October 2002: Innocenzo Gasparini Institute for Economic Researches – IGIER – Università Bocconi, Milan – Research Assistant participating to the European Forecasting Network co-financed by the European Commission DG ECFIN.

 

Education & Habilitation

·    

Habilitation to Full Professorship in Econometrics (Econometria – 13/A5) (2012 call), Economic Statistics (Statistica Economica – 13/D2) (2012 call), Economics of Financial Intermediaries (Economia degli Intermediari Finanziari e Finanza Aziendale – 13/B4) (2013 call).

·    

1999-2003 – Ph.D. in Quantitative Economics – University Ca’ Foscari Venezia – Department of Economics – Dissertation’s title: Long memory conditional heteroskedasticity and variance causality – supervisor Prof. Domenico Sartore

 

Coordination of and Participation to Research Projects

- “Promoting energy efficiency in Qatar: field experimental evidence”, international project financed by th Qatar National Research Fund, global coordinator Prof. Ahmed Khalifa (Qatar University), role: coordinator of the local research unit based at the University of Padova, Department of Statistical Sciences;

- “The economics of old age risks”, national research project financed by the Italian Ministry of University and Research, national coordinator Prof. Tullio Jappelli (University of Naples), role: member of the research unit based at the University of Padua, local supervisor, Prof. Guglielmo Weber;

- “The impact of unconventional monetary policies on European financial markets”, Inquire Europe, Institute for quatitative investment research, 2015, joint with Alberto Plazzi (USI), Loriana Pelizzon (SAFE Frankfurt), and Roberto Rigobon (MIT);

- “Multi-jumps in financial asset prices: detection of systemic events, relation with news, and implications for pricing”, University of Padova research projects (progetti di ateneo), 2014 call; role: principal investigator;

- “Systemic Risk” – a project financed by Global Risk Institute in Financial Services and Louis Bachelier Instute; role: member of the research team;

- “MISURA - Multivariate statistical models for risk assessment”, national research project financed by the Italian Ministry of University and Research, national coordinator Prof. Paolo Giudici (University of Pavia), role: member of the research unit based at the University of Florence, local supervisor, Prof. Giampiero Gallo (University of Florence);

- “SYRTO – Systemic Risk Tomography: signals, measurement, transmission channels, and policy interventions”, European Research Project within the FP7 programme “Cooperation – Socio-Economic Sciences and Humanities”, national coordinator Prof. Roberto Savona (University of Brescia), role: member of the local research unit at the University Ca’ Foscari Venice, coordinated by Prof. Monica Billio;

- Department of Finance and Economics, King Fahd University of Petroleum and Minerals, Saudi Arabia, “The dynamic of systematic risk across the GCC economic sectors and the mutual fund performance", 2013-2015 coordinator Prof. Ahmed Khalifa, role: research consultant;

- European Social Fund 2010: scientific coordinator of the project “Methodologies and informatics instruments supporting investment choices: measuring, forecasting and monitoring financial risk; portfolio allocation; short- and long-term investment decisions” awarded of two post-doc yearly grants;

- Fondazione Cassa di Risparmio di Padova e Rovigo, Progetti di Eccellenza 2008-2009, “Anomalous scaling in physics and finance”, member of the research team;

- EUROSTAT, “Use of classification techniques for time series”, 2009, jointly with Domenico Sartore (University Ca’ Foscari Venezia, Italy);

- University of Padova, “Active portfolio management: clustering and performance analysis”, University of Padova research projects (progetti di ateneo) 2008 call; role: principal investigator;

- Europlace Institute of Finance, “Understanding and modelling weather derivatives: a statistical and econometric investigation”, 2007, project managed by Dominique Guégan (Université de Paris I – Sorbonne, France), and including also Monica Billio (University Ca’ Foscari Venezia, Italy), and Rodney Wolff (Queensland University of Technology, Australia); role: member of the research team;

-  EUROSTAT, “Common guidelines for the back-recalculation of PEEIs”, 2007, co-researcher with Domenico Sartore (University Ca’ Foscari Venezia, Italy);

- “Econometric analysis of interdependence, stabilisation and contagion in real and financial markets”, 2006-2007, National research project financed by the Italian Ministry of University and Research – national supervisor Paolo Paruolo (University of Insubria) – local supervisor, Monica Billio (University Ca’ Foscari Venezia, Italy) – role: member of Venice research unit;

- EUROSTAT, “Compilation, supervision, quality assessment and management process of longer time series for the Euro-zone PEEIs”, 2006 and 2007, co-researcher with Domenico Sartore (University Ca’ Foscari Venezia, Italy);

- EUROSTAT, “Improvements and tools for Quarterly National Accounts: Backward Calculation”, 2006, co-researcher with Domenico Sartore (University Ca’ Foscari Venezia, Italy);

- “The Euro and European financial markets volatility: contagion, interdependence and volatility transmission”, 2004-2005, National research project financed by the Italian Ministry of University and Research – local and national supervisor Domenico Sartore (University Ca’ Foscari Venezia, Italy) – role: member of the Venice research unit;

- “Non-linear and non gaussian dynamic models: some estimation and forecast problems and applications” National research project financed by the Ministry of University and Research – local supervisor Silvano Bordignon – role: external researcher;

- EUROSTAT, Unit A6 – Methodology for Back-recalculation – Euro-area Gross Domestic Product by the expenditure side and by branches, Industrial Production Indices by Main Industrial Groupings and Industry Turnover Index – 2003;

- EUROSTAT, Unit A6 – Methodology for Back-recalculation – Euro-area Consumer Price Indices, Producer Price Indices and Unemployment – 2003;

- EUROSTAT, Unit A6 – Methodology for Flash Estimates – External Trade Variables: Export and Import in level and Unit Value Indices – 2003;

- European Commission – European Forecasting Network – 2002.

 

Teaching

Department of Statistical Sciences of the University of Padova:

- Computational Finance, MSc in Statistics, from 2016/17;

- Statistical models for economic data, MSc in Statistics, from 2016/17;

- Financial Econometrics, BSc in Statistics for Economics and Finance from 2013/14 to 2015/2016;

- Principles of Finance, MSc in Statistics, 2013/14;

 

Department of Economics and Management “Marco Fanno” of the University of Padova:

- Computational Finance, MSc in Economics and Finance, 2014/15 and 2015/16 ;

- Econometrics A-E, BA in Economics, 2015/16

- Econometrics for Economics, Ph.D. program in Economics and Management, from 2012/13 to 2015/16;

- Introductory Probability and Statistics, Ph.D. program in Economics and Management, 2006/7 to 2011/12;

 

University of Padova, former Faculty of Statistical Sciences (at BA, BSc and MSc levels):

- Financial Econometrics, 2010/11-2012/13

- Principles of Finance, 2006/7-2012/13

- Problems in Introductory Financial Economics (tutorials), 2010/11

- Problems in Financial Econometrics (tutorials), 2006/7 to 2009/10

- Problems in Advanced Econometrics (tutorials), 2005/6 to 2009/10

- Problems in Principles of Finance (tutorials), 2005/6

- Problems in Econometrics of Limited Dependent Variables (tutorials), 2005/6 to 2009/10

- Applied Economic Statistics, 2004/5

- Problems in Time series analysis (tutorials), 2003/4 and 2004/5

 

Department of Economics of the University of Venice (M.Ph.):

- Master in Economics and Finance, 2009-2015 Editions, Econometrics tutorials with Matlab;

- Master in Economics and Finance, 2006 to 2008 Editions, Econometrics tutorials with Eviews;

 

Venice International University, International Centre for Economics and Finance (M.Ph.):

- Master in Economics and Finance, 2004 and 2005 Editions, Econometrics tutorials with Gauss;

- Master Program in Economics and Finance, 2003, Econometrics tutorials with Gauss;

 

University Ca’ Foscari, Venice, former Faculty of Economics (at BA, BSc and MSc levels):

- International Finance: Economics and Econometrics, 2008/9

- Econometrics I, 2004/5 and 2005/6

- Problems in Econometrics (tutorials), 2003/4

- Introduction to software for time series analysis (tutorials), 2003/4 and 2004/5

- Financial Econometrics I, 2003/4

 

University of Torino, Collegio Carlo Alberto (M.Ph.)

- Master in Finance, Financial Econometrics, from 2014/15

 

Other teaching activities (M.Ph.):

Università Umanesimo Latino S.p.A. – New Europe Master in Banking and Entrepreneurship 2007-2012 – Financial System and Intermediaries

 

Publications in International Journals

 

1.      

Caporin, M., Corazzini, L., and Costola, M., 2018, Measuring the Behavioural Component of the S&P 500 and Its Relationship to Financial Stress and Aggregated Earnings Surprises, British Journal of Management, forthcoming;

2.      

Blasi, S., Caporin, M., and Fontini, F., 2018, A multidimensional analysis of the relationship between firms’ Corporate Social Responsibility activities and their economic performance, Ecological Economics, doi:10.1016/j.ecolecon.2018.01.014;

3.      

Caporin, M., Pelizzon, L., Ravazzolo, F., and Rigobon, R., 2018, Sovereign contagion in Europe, Journal of Financial Stability, doi:10.1016/j.jfs.2017.12.004;

4.      

Bonaccolto, G., Caporin, M., and Paterlini, S., 2018, Asset allocation with penalized quantile regression, Computational Management Science, doi:10.1007/s10287-017-0288-3;

5.      

Caporin, M., Costola, M, Jannin, J., and Maillet, B., 2018, On the (Ab)Use of Omega?, Journal of Empirical Finance, doi:10.1016/j.jempfin.2017.11.007;

6.      

Caporin, M., Kolokolov, A., and Renò, R., 2017, Systemic co-jumps, Journal of Financial Economics, doi:10.1016/j.jfineco.2017.06.016;

7.      

Caporin, M., and Poli, F., 2017, Building News Measures from Textual Data and an Application to Volatility Forecasting, Econometrics, doi:10.3390/econometrics5030035;

8.      

Caporin, M., and Gupta, R., 2017, Time-varying persistence in US inflation, Empirical Economics, 53-2, 423-439, doi:10.1007/s00181-016-1144-y;

9.      

Caporin, M., and Fontini, F., 2017, The Long-Run Oil-Natural Gas Price Relationship and the Shale Gas Revolution, Energy Economics, 64, 511-519, doi:10.1016/j.eneco.2016.07.024;

10.   

Caporin, M., Rossi, E, and Santucci de Magistris, P., 2017, Chasing volatility: a persistent multiplicative error component model with jumps, Journal of Econometrics, 198-1, 122-145, doi:10.1016/j.jeconom.2017.01.005;

11.   

Caporin, M., Khalifa, A., and Hammoudeh, S., 2017, The relationship between oil prices and rig counts: The importance of lags, Energy Economics, 63, 213-226, doi:10.1016/j.eneco.2017.01.015;

12.   

Bonaccolto, G., and Caporin, M., 2016, The determinants of equity risk and their forecasting implications: a quantile regression perspective, Journal of Risk and Financial Management, 2016, 9, 8, doi:10.3390/jrfm9030008;

13.   

Costola, M., and Caporin, M., 2016, Rational learning for risk-averse investors by conditioning on behavioral choices, 11-1, 1650003, Annals of Financial Economics, doi:10.1142/S2010495216500032;

14.   

Caporin, M., Rossi, E., and Santucci de Magistris, P., 2016, Volatility jumps and their economic determinants, Journal of Financial Econometrics, 14-1, 29-80, doi:10.1093/jjfinec/nbu028;

15.   

Billio, M., Caporin, M., and Costola, M., 2015, Backward/Forward optimal combination of performance measures, North American Journal of Economics and Finance, 34, C, 63-83, doi:10.1016/j.najef.2015.08.002;

16.   

Asai, M., Caporin, M., and McAleer, M., 2015, Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models, International Review of Economics and Finance, 40, C, 40-50, doi:10.1016/j.iref.2015.02.004;

17.   

Caporin, M., and Velo, G., 2015, Forecasting realized range volatility: dynamic features and predictive variables, International Review of Economics and Finance, 40, C, 98-112 doi:10.1016/j.iref.2015.02.021;

18.   

Caporin, M., Hammoudeh, S., and Khalifa, A., 2015, Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle, Energy Policy, 87, 72-82, doi:10.1016/j.enpol.2015.08.039;

19.   

Baldovin, F., Caporin, M., Caraglio, M., Stella, A., and Zamparo, M., 2015, Option pricing with non-Gaussian scaling and infinite-state switching volatility, Journal of Econometrics, 187, 486-497, doi:10.1016/j.jeconom.2015.02.033;

20.   

Caporin, M., Ranaldo, A., and Velo, G., Precious metals under the microscope: A high-frequency analysis, Quantitative Finance, 15, 743-759, doi:10.1080/14697688.2014.947313;

21.   

Baldovin, F., Camana, F., Caporin, M., Caraglio, M., and Stella, A., 2015, Ensemble properties of high frequency data and intraday trading rules, Quantitative Finance, 15, 231-245, doi:10.1080/14697688.2013.867454;

22.   

Caporin, M., and Paruolo, P., 2015, Proximity-Structured Multivariate Volatility Models, Econometric Reviews, 34, 559-593, doi:10.1080/07474938.2013.807102;

23.   

Caporin, M., Jannin, G.M., Lisi, F., and Maillet, B.B., 2014, A survey of the four families of performance measures, Journal of Economic Surveys, 28, 917-942, doi:10.1111/joes.12041;

24.   

Aielli, G.P., and Caporin, M., 2014, Variance clustering improved dynamic conditional correlation estimators, Computational Statistics and Data Analysis, 76, 556-576, doi:10.1016/j.csda.2013.01.029;

25.   

Caporin, M., and McAleer, M., 2014, Robust ranking of multivariate GARCH models by problem dimension, Computational Statistics and Data Analysis, 76, 172-185, doi:10.1016/j.csda.2012.05.012;

26.   

Caporin, M., Jimenez-Martin, J.A., and Gonzales-Serrano, L., 2014, Currency hedging strategies and strategic benchmarks and the Global and Euro Sovereign financial crises, Journal of International Financial Markets Institutions and Money, 31, 159-177, doi:10.1016/j.intfin.2014.03.015;

27.   

Caporin, M., and Lisi, F., 2013, A conditional single index model with local covariates for detecting and evaluating active portfolio management, North American Journal of Economics and Finance, 26, 236-249, doi:10.1016/j.najef.2013.02.003;

28.   

Aielli, G.P., and Caporin, M., 2013, Fast Clustering of GARCH Processes Via Gaussian Mixture Models, Mathematics and Computers in Simulations, 94, 205-222, doi:10.1016/j.matcom.2012.09.015;

29.   

Bonato, M., Caporin, M., and Ranaldo, A., 2013, Risk spillovers in international equity portfolios, Journal of Empirical Finance, 24, 121-137, doi:10.1016/j.jempfin. 2013.09.005;

30.   

Caporin, M., Ranaldo, A., and Santucci de Magistris, P., 2013, On the Predictability of Stock Prices: a Case for High and Low Prices, Journal of Banking and Finance, 37, 5132-5146, doi:10.1016/j.jbankfin.2013.05.24;

31.   

Kasch, M., and Caporin, M., 2013, Volatility threshold dynamic conditional correlations: an International analysis, Journal of Financial Econometrics, 11, 706-742, doi:10.1093/jjfinec/nbs028;

32.   

Caporin, M., and McAleer,M., 2013, Ten Things You Should Know about the Dynamic Conditional Correlation Representation, Econometrics, 1, 115-126, doi:10.3390/econometrics1010115

33.   

Caporin, M., 2013, Equity and CDS sector indices: dynamic models and risk hedging, North American Journal of Economics and Finance, 25, 261-275, doi:10.1016/j.najef.2012.06.004;

34.   

Caporin, M., and Preś, J., 2013, Forecasting temperature indices density with time-varying long-memory models, Journal of Forecasting, 32, 339-352, doi:10.1002/for.1272;

35.   

Bonato, M., Caporin, M., and Ranaldo, A., 2012, A forecast based comparison of restricted Wishart Auto Regressive models for realized covariance matrices, European Journal of Finance, 18, 761-774, doi:10.1080/1351847X.2011.601629;

36.   

Caporin, M., and Lisi, F., 2012, On the role of risk in the Morningstar rating for funds, Quantitative Finance, 12, 1477-1486, doi:10.1080/14697688.2012.665999;

37.   

Caporin, M., Preś, J. and Torro, H., 2012, Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options, Energy Economics, 34, 1700-1712, doi:10.1016/j.eneco.2012.02.008;

38.   

Caporin, M., and McAleer, M., Do we really need both BEKK and DCC? A tale of two covariance models, 2012, Journal of Economic Surveys, 26, 736-751, doi:10.1111/j.1467-6419.2011.00683.x;

39.   

Caporin, M., and Pres, J., 2012, Modeling and forecasting wind speed intensity for weather risk management, Computational Statistics and Data Analysis, 56, 3459-3476, doi:10.1016/j.csda.2010.06.019;

40.   

Caporin, M. and Santucci de Magistris, P., 2012, On the evaluation of Marginal Expected Shortfall, Applied Economics Letters, 19, 175-179 doi:10.1080/ 13504851.2011.570704;

41.   

Caporin, M. and Lisi, F., 2011, Comparing and selecting performance measures using rank correlations, Economics: The Open-Access, Open-Assessment E-Journal, Vol. 5, 10, doi:10.5018/economics-ejournal.ja.2011-10;

42.   

Caporin, M., and McAleer, M., 2011, Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH, Statistica Neerlandica, 65-2, 125-163, doi:10.1111/j.1467-9574.2010.00479.x;

43.   

Billio, M., and Caporin, M., 2010, Market linkages, variance spillovers and correlation stability: empirical evidences of financial market contagion, Computational Statistics and Data Analysis, 54-11, 2443-2458, doi:10.1016/j.csda.2009.03.018;

44.   

Caporin, M., and McAleer, M., 2010, A Scientific Classification of Volatility Models, Journal of Economic Surveys, 2010, 24-1, 192-195, doi:10.1111/j.1467-6419.2009.00584.x;

45.   

Caporin, M., and McAleer, M., 2010, The Ten Commandments for Investment Management, Journal of Economic Surveys, 24,-1, 196-200, doi:10.1111/j.1467-6419.2009.00585.x;

46.   

Caporin, M. and Lisi, F., 2010, Misspecification tests for periodic long memory GARCH models, Statistical Methods and Applications, 19-1, 47-62, doi:10.1007/s10260-009-0118-z;

47.   

Billio, M., and Caporin, M., 2009, A generalised dynamic conditional correlation model for portfolio risk evaluation, Mathematics and Computer in Simulation, 79-8, 2566-2578, doi:10.1016/j.matcom.2008.12.011;

48.   

Bordignon, S., Caporin, M., and Lisi, F., 2009, Periodic Long Memory GARCH models, Econometric Reviews, 28-(1-3), 60-82, doi:10.1080/07474930802387860;

49.   

Caporin, M., and McAleer, M., 2008, Scalar BEKK and Indirect DCC, Journal of Forecasting, 27-6, 537-549, doi:10.1002/for.1074;

50.   

Caporin, M., 2008, Evaluating value-at-risk measures in presence of long memory conditional volatility, Journal of Risk, 10-3, 79-110;

51.   

Billio, M., and Caporin, M., and Cazzavillan, G., 2007, Dating Euro15 monthly business cycle jointly using GDP and IPI, Journal of Business Cycle Analysis and Measurement, 3-3, 336-366, doi:10.1787/17293626;

52.   

Bordignon, S., Caporin, M., and Lisi, F., 2007, Generalised Long Memory GARCH models for intra-daily volatility, Computational Statistics and Data Analysis, 51-12, 5900-5912, doi:10.1016/j.csda.2006.11.004;

53.   

Caporin, M., 2007, Variance (Non-)Causality in multivariate GARCH: a new model, Econometric Reviews, 26(1), 1-24, doi:10.1080/07474930600972178;

54.   

Caporin, M., and McAleer, M., 2006, Dynamic Asymmetric GARCH, Journal of Financial Econometrics, 4(3), 385-412, doi:10.1093/jjfinec/nbj011;

55.   

Billio, M., and Caporin, M., and Gobbo, M., 2006, Flexible Dynamic Conditional Correlation Multivariate GARCH for asset allocation, Applied Financial Economic Letters, 2(2), 123-130, doi:10.1080/17446540500428843;

56.   

Billio, M., and Caporin, M., 2005, Dynamic conditional correlations: block structures and Markov switches for contagion analysis, Statistical Methods and Applications, 2005-14, 145-161, doi:10.1007/s10260-005-0108-8;

57.   

Caporin, M., 2003, Identification of Long memory in GARCH models, Statistical Methods and Applications, 12, 133-151, doi:10.1007/s10260-003-0056-0;

58.   

Bertelli, S. and Caporin, M., 2002, A note on calculating autocovariances of long memory processes, Journal of Time Series Analysis, 23(5), 503-508, doi:10.1111/1467-9892.00275.

 

Book chapters

1.  

Bonato, M., Caporin M., and Ranagldo A., 2016, A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices, in Nolte I., Salmon M. and Adcock C. (eds.), High Frequency Trading and Limit Order Book Dynamics, Routledge, ISBN  978-1138829381, reprinted from European Journal of Finance (2012);

2.  

Caporin, M. and Fontini, F., 2015, Damages Evaluation, Periodic Floods, and Local Sea Level Rise: The Case of Venice, Italy, in Ramiah, W. and Gregoriou, G.N. (eds.), The Handbook of Environmental and Sustainable Finance, Academic Press – Elsevier, ISBN 978-0-128-03615-0, doi:10.1016/B978-0-12-803615-0.00005-4

3.  

Caporin, M., and Velo, G.G., 2013, Modeling and forecasting realized range volatility, in Torelli, N. and Pesarin, F., (eds.), Advances in Theoretical and Applied Statistics, Springer, ISBN 978-3-642-35587-5;

4.  

Billio, M., Caporin, M., Pelizzon, L., and Sartore, D., 2013, CDS Industrial Sector Indices, Credit and Liquidity Risk, in Rösch, D., and Scheule, H. (eds.), Credit Securities and Derivatives – Challenges for the Global Markets, John Wiley & Sons, Inc., New Jersey, US, ISBN 978-1-119-96396-7, doi:10.1002/9781118818503.ch15;

5.  

Caporin, M., and Pelizzon, L., 2012, Market volatility, optimal portfolios and naive asset allocations, in Wehn, C., Hoppe, C., and Gregoriou, G.N. (eds.), Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges, Handbooks in Economics, Academic Press - Elsevier, ISBN 978-0124158757, doi:10.1016/B978-0-12-415875-7.00025-7;

6.  

Caporin, M. and McAleer, M., 2012, Model selection and testing of conditional and stochastic volatility models, with M. McAleer (Erasmus University Rotterdam), in Bauwens, L., Hafner, C., and Laurent, S. (eds.) Handbook of Volatility Models and Their Applications (Wiley Handbooks in Financial Engineering and Econometrics), John Wiley & Sons, Inc., New Jersey, US, ISBN 978-0470872512, doi:10.1002/9781118272039.ch8;

7.  

Billio, M. and Caporin, M., 2011, Contagion dating through market interdependence analysis and correlation stability, in Robert W. Kolb (eds.) Financial Contagion: The Viral Threat to the Wealth of Nations, February 2011, John Wiley & Sons, Inc., New Jersey, US, ISBN 978-0470922385, doi:10.1002/9781118267646.ch4.

 

 

Contributions in Italian

1.         

Caporin, M., Lanzavecchia, A., Lippoli, 2013, I fondi immobiliari italiani: NAV discount e valutazioni degli esperti indipendenti, Finanza Produzione e Marketing, 3-2013.

 

Papers submitted or under revision

1.  

“Oil returns conditional quantiles and uncertainty indexes: causality and forecasting implications”, with G. Bonaccolto (University od Padova) and R. Gupta (Pretoria University);

2.  

“Networks in risk spillovers: a multivariate GARCH perspective”, with M. Billio (University Ca’ Foscari Venezia), L. Frattarolo (University Ca’ Foscari Venezia), and L. Pelizzon (University Ca’ Foscari Venezia and Goethe University Frankfurt);

3.  

“Are the S&P500 index and crude oil, natural gas and ethanol futures related for intra-day data?”, with C. Chang (NCHU, Taiwan) and M. McAleer (NTHU, Taiwan);

4.  

“The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification”, with M. Billio (University Ca’ Foscari Venezia), R. Panzica (Goethe University Frankfurt), and L. Pelizzon (University Ca’ Foscari Venezia and Goethe University Frankfurt;

5.  

“Systemic risk for financial institutions of major petroleum-based economies: The role of oil”, with M. Costola (University Ca’ Foscari Venezia), A. Khalifa (Qatar University) and S. Hammoudeh (Drexel University;

6.  

“Estimation and model-based combination of causality networks”, with R. Panzica (Goethe University Frankfurt) and G. Bonaccolto (University of Padova);

7.  

“Testing Persistence of WTI and Brent Long-run Relationship after the Shale oil Supply Shock”, with F. Fontini (University of Padova) and E. Talebbeydokhti (University of Padova);

8.  

“The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode”, with G. Natvik (Norges Bank), F. Ravazzolo (Norges Bank), and P. Santucci de Magistris (Aarhus University);

9.  

“A Meta-analysis of Systemic Risk Measures for gauging Financial Stability”, with M. Costola (Goethe University Frankfurt), B. Mailler (EMLyon Business School) and J. Garibal (University of Orlean);

10.   

“Backtesting and decomposing a flexible specification for CoVaR”, with G. Bonaccolto (University of Padova) and S. Paterlini (EBS Wiesbaden);

11.   

“The cross-sectional diffusion of jumps and the identification of systemic movements”, with N. Zambon (University of Padova) and G. Bonaccolto (University of Enna);

12.   

“The long-run convergence of day-ahead and dispatching services prices in the Italian electricity markets”, with F. Fontini (University of Padova) and P. Santucci de Magistris (Aarhus University);

 

 

Papers in progress

1.         

“Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets”, with L. Pelizzon (Goethe University Frankfurt) and A. Plazzi (Università della Svizzera Italiana);

2.         

“Jump risk and pricing implicatons”, with N. Zambon (University of Padova) and W. Distaso (Imperial College London);

3.         

“The interdependence between intrady jumps and the informative content of news”, with F. Poli (University of Padova);

4.         

“Volatility breaks and spillovers misspecification in BEKK models”, with F. Malik (Zayed University Dubai);

5.         

“The asymmetric impact of Oil and Gas price movement on the activation and de-activation of rigs”, with F. Fontini (University of Padova) and E. Talebbeydokhti (University of Padova);

6.         

“Dynamic Principal Component: a new class of Multivariate GARCH models”, with G.P. Aielli;

7.         

“Identifying the risk drivers of CDS returns with multilevel factor models”, with V. Rodriguez Caballero (Universidata Carlos III Madrid);

8.         

“Traffic lights for systemic risk detection”, with J. Jimenez Martin (Universidad Complutense Madrid) and L. Garcia Jorcano (Universidad Castilla La Mancha);

 

 

Other publications

1.  

Quarterly Newsletter “Nuova Previdenza”, IAMA Consulting, Milano; methodology boxes: “Gestioni a benchmark: vincoli e flessibilità”; “Manager diversification or manager competition?”; “Misure di performance innovative basate sui drawdown”; “Misure di performance in presenza di un target return”; “Il ruolo del gestore overlay nei fondi pensione”; “Performance attribution e scelte di gestione”; “Il ruolo e l’indipendenza dell’advisor”; “Le competenze della funzione finanza”;

2.  

“Analisi delle transizioni nel mercato del lavoro”, with D. Favaro, 2006, Il mercato del lavoro nel Friuli Venezia Giulia, Rapporto 2006, Regione Autonoma Friuli Venezia Giulia, Direzione centrale lavoro, formazione, università e ricerca, Osservatorio regionale sul mercato del lavoro;

3.  

“Il mercato del lavoro nel Friuli Venezia Giulia: un’analisi empirica basata su dati amministrativi”, 2005, Il mercato del lavoro nel Friuli Venezia Giulia, Rapporto 2005, Regione Autonoma Friuli Venezia Giulia, Direzione centrale lavoro, formazione, università e ricerca, Osservatorio regionale sul mercato del lavoro;

 

 

Citations and bibliographic metrics

(last access: March 2018)

Scopus: 56 listed research products, 406 citations and h-index equal to 11 (356 citations and h-index 10 if excluding self-citations of all authors)

ISI web of science: 49 listed research products, 267 citations and h-index equal to 10 (238 citations excluding self-citations)

 

 

Awards

·    

Academic supervisor (joint with Cinzia Baldan, University of Padova, Department of Economics and Management) of the University of Padova student team participating the CFA Society Italy Fund Management Challenge, 2017, Second Prize;

·    

Academic supervisor (joint with Cinzia Baldan, University of Padova, Department of Economics and Management) of the University of Padova student team participating the CFA Society Italy Fund Management Challenge, 2014, Third Prize;

·    

“Marco Fanno” research prize 2013 awarded by the Department of Economics and Management “Marco Fanno”, University of Padova for the papers appeared in 2012 in Energy Economics and in 2013 in the Journal of Financial Econometrics;

·    

Best poster award (ex aequo) IFABS Conference 2013 for the working paper “Behavioral expectations and financial fluctuations: an analysis based on the S&P 500.” Joint with Michele Costola (University Ca’ Foscari Venice) and Luca Corazzini (Univeristy of Padova).

·    

Academic supervisor of the University of Padova student team participating the CFA Society Italy Fund Management Challenge, 2012, First Prize;

 

 

Affiliations

International Statistical Institute (ISI); International Association for Statistical Computing (IASC); Italian Statistics Association (SIS); International Institute of Forecasters (IIF); European Finance Association (EFA); Italian Econometric Association (SIdE)

 

 

Conference presentations and seminars

2018: MAF 2018 Conference, Madrid, Spain; Universidad Carlos III Madrid, Spain, seminar presentation; 49th Scientific Meeting of the Italian Statistical Society, Palermo, Italy; SoFiE Conference, 11th annual meeting, Lugano, Switzerland; COMPSTAT 2010, Iasi, Romania;

2017: Seventh Italian Congress of Econometrics and Empirical Economics, Messina, Italy; Universidad Complutense Madrid, Spain, seminar presentation; Studies in Nonlinear Dynamics and Econometrics conference, Paris, France; Intermediate meeting of the Italian Statistical Society, Firenze; IFABS Asia 2017, China; International Conference on Energy, Finance and the Macroeconomy, Montpellier, France;

2016: University of Pavia, seminar presentation; IAAE 2016 Conference, Milano, Italy; CFE 2016 Conference, Seville, Spain;

2015: Sixth Italian Congress of Econometrics and Empirical Economics, Salerno, Italy; International Symposium of Forecasting, Riverside, California, USA; Securities and Exchange Commission (SEC), Washington DC, USA, seminar presentation; Financial Risk Forun Institut Louis Bachelier, Parigi; Scuola Normale Superiore Pisa, seminar presentation; SYRTO project conference, Amsterdam; NBER-NSF Time Series Conference, Vienna, 2015; AMASES 2015, Padova; SIS 2015 conference in Treviso; CFE 2015, London; EBS Wiesbaden, Germany, seminar presentation; Goether University Frankfurt, seminar presentation.

2014: Diversification and Risk, QIM-CFA, Venice; ISF 2014, Rotterdam; CREDIT 2014, Venice; CFE 2014 Pisa, Italy; Systemic Risk and Contagion, Bologna;

2013: XIV Workshop on Quantitative Finance, Rimini, Italy; CREST, seminar presentation; University of Bologna, seminar presentation; CREATES, Aarhus University, seminar presentation; CFE 2013 London, UK;

2012: Sovereign risk, fiscal solvency and monetary policy: where do we stand?, Venice, Italy; MAF 2012, Venice, Italy; XLVI Annual Meeting of the Italian Statistical Society, Rome, Italy; Norges Bank, seminar presentation;

2011: Computational and Financial Econometrics, London, UK; SIE Scientific Meeting, Roma; Madrid, Universidad Complutense, seminar; NBER Time Series Conference, East Lansing, USA; Risk Modeling and Management, Madrid, Spain; University of Zurich, seminar; Computational Management Science 2011, Neuchatel, Switzerland; Workshop on Energy markets, Valencia, Spain; Fourth Italian Congress of Econometrics and Empirical Economics, Pisa, Italy; XII Workshop on Quantitative Finance, Padova, Italy;

2010: Computational and Financial Econometrics, London, UK; XLV Annual Meeting of the Italian Statistical Society, Padova, Italy; Annual Symposium of the Society for Studies in Non Linear Dynamics and Econometrics, Novara, Italy; Third Congress of the Thailand Econometric Society, Chiang Mai, Thailand; XI Workshop on Quantitative Finance, Palermo, Italy;

2009: Computational and Financial Econometrics, Limassol, Cyprus; FERC Conference oh High Frequency Finance, Warwick, UK; Computational Management Science, Genève, Switzerland; Humboldt-Copenhagen Recent Developments in Financial Econometrics, Berlin, Germany; Third Italian Congress of Econometrics and Empirical Economics, Ancona, Italy

2008, MAF-SER2008, Venice, Italy;

2007: Computational and Financial Econometrics, Genève, Switzerland; Second Italian Congress of Econometrics and Empirical Economics, Rimini, Italy;

2006: European Meeting of the Econometric Society, Vienna, Austria; TSEFAR Conference, Perth, Australia; XLIII Annual Meeting of the Italian Statistical Society, Torino, Italy;  SER2006, Roma, Italy;

2005: CSDA IASC Conference, Cyprus; COFIN2002, Bressanone, Italy; Workshop of the Journal of Applied Econometrics, Venice, Italy; Frontiers in Benchmarking Techniques and Their Application to Official Statistics, Luxembourg; First Italian Congress of Econometrics and Empirical Economics, Venice, Italy;

2004: Workshop on High Frequency Data, Perugia, Italy; Forecasting Financial Markets, Paris, France; XLII Annual Meeting of the Italian Statistical Society, Bari, Italy; Second European Deloitte Conference in Risk Management, Antwerp, Belgium;

2003: SCO2003, Complex Models and Computational Methods, Treviso, Italy;  Workshop on High Frequency Data, Siena, Italy; Forecasting Financial Markets, Paris, France;

2002: ASSET2002, Cyprus; XLI Annual Meeting of the Italian Statistical Society, Milan, Italy.

 

Conference related activities

- Scientific Program Committee, First International Conference on Energy, Finance and the Macroeconomy (ICEFM) Montpellier, France, 2017;

- Scientific Program Committee, Italian Congress of Econometris and Empirical Economics 2017, Messina, Italy;

- Discussant: CIDE Workshop for PhD students in Econometrics, 2013, 2014 and 2016, Perugia;

- Discussant: Financial Risk Forum 2015, Institut Louis Bachelier, Paris, France;

- Scientific Program Committee, Computational and Financial Econometrics, 2014, Pisa;

- Credit 2013 conference Venezia, discussant of “Liquidity and price impacts of financial distress: evidence from the market of defaulted bonds” by S. Han and K. Wang;

- Scientific committee, XIV Workshop in Quantitative Finance, 2013, Rimini;

- Scientific committee, XIII Workshop in Quantitative Finance, 2012, L’Aquila;

- Credit 2012 conference Venezia, discussant of “A theoretical and empirical comparison of systemic risk measures” by S. Benoit, G. Colletaz, C. Hurlin and C. Pérignon;

- Invited Lecture, Chair in International Finance – Banco de Santander, Valencia, February 2011, topic “Long range dependence in economics and finance”;

- Invited speaker, Workshop on Energy markets, Valencia, 2011;

- Scientific and organizing committee, XII Workshop in Quantitative Finance, 2011, Padova;

- Credit 2010 conference Venezia, discussant of “Volatility, Correlations and Tails for Systemic Risk Measurement” by C. Brownlees e R.F. Engle;

- Invited speaker, Third Congress of the Thailand Econometric Society, 2010, Chiang Mai University, Thailand;

- Scientific Committee of the XI Conference in Quantitative Finance, 2010, Palermo, Italy;

- Referee, European Finance Association Conferences, EFA2006, EFA2007, EFA2008, and EFA2009;

- Scientific Committee ASSET2007 (Padova, 1-3 November 2007).

 

Referee and Editorial activities

From September 2013, Associate Editor of Annals of Financial Economics

From September 2013, Associate Editor of Journal of Risk and Financial Management

From June 2013, Associate Editor of Econometrics

From September 2012: Associate Editor of Journal of Reviews of Global Economics

From June 2012: Associate Editor of Brazilian Journal of Business Economics

From June 2011: Associate Editor of Mathematics and Computers in Simulations

From June 2012 to January 2015: Associate Editor of Stat

 

Referee for: Journal of Econometrics, Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Financial Econometrics, Journal of the Royal Statistical Society, Journal of Banking and Finance, Journal of Empirical Finance, Energy Economics, Computational Statistics and Data Analysis, Econometric Reviews, European Journal of Operations Research, Econometrics Journal, International Journal of Forecasting, Quantitative Finance, Journal of International Financial Markets Institutions and Money, Studies in Nonlinear Dynamics and Econometrics, Operations Research, European Journal of Finance, Manchester School, South African Journal of Economics, International Review of Economics and Finance, Swiss National Science Foundation, Applied Energy, Portuguese Statistical Society, Research Grants Council of Hong Kong, Mathematics and Computers in Simulations, Bulletin of Economic Research, Economic Modelling.

 

Ph.D. and post-doc supervision, committees and referees:

PhD in Statistics, Department of Statistics, University of Padova, supervised student:

- Mohammed Elseidi, topic “Quantile regression-based seasonal adjument”;

- Giovanni Bonaccolto, topic “Quantile regression applications in finance”, defended first semester 2016, actual position: untenured Assistant Professor, University Kore Enna;

 

PhD in Economics and Management, Department of Economics and Management “Marco Fanno”, University of Padova, supervised students:

- Zahra Mohammadi Nikpour, co-supervisor (main supervisor Prof. Paola Valbonesi), topic “The economics of conflicts”;

- Francesco Poli, thesis (topic) “News and the cross-sectional and geographical diffusion of jumps with a link to systemic risks”, defending in the second semester of 2017;

- Nancy Zambon, thesis (topic) “Pricing and risk management implications of jump, co-jumps and multi-jumps”, defended first semester 2017, actual position: post-doc researcher, University of Padova, Department of Economics and Management;

- Mayank Gupta, thesis (topic) “Efficiency and diversification in emerging and frontier markets”, defended first semester 2016; actual position Assistant Professor at Jindal Global University, New Delhi, India;

- Michele Costola, thesis “Essays in financial econometrics”, defended second semester 2013; actual position Marie-Curie fellows, Goethe University Frankfurt;

- Gabriel Gonzalo Velo, thesis “Realized Volatility: Macroeconomic determinants, Forecasting and Option trading”, defended January 2012; actual position, Moody’s Analytics, London;

 

Post-doc research grants:

- 2016, supervisor of Giovanni Bonaccolto, post-doc research grant within my project on jumps;

- 2011-2013, supervisor of Gabriel Velo (now Moody’s Analytics, London), post-doc research grant on financial econometrics and high frequency data;

- 2010/2011, supervisor of Paolo Santucci de Magistris (now Assistant Professor, Aarhus University, Denmark) for the post-doc research grant “Informatics instruments for market risk measurement by high frequency data”;

- 2010/2011, supervisor of Gian Piero Aielli for the post-doc research grant “Informatics instruments for optimal portfolio allocation”;

 

PhD/Master committees and referee activity:

- 2017 Complutense University of Madrid, member of the PhD committee for the defence of Laura Garcia Jorcano;

- 2017 University of Padova, Department of Statistical Sciences, member of the PhD defence committees in Statistics;

- 2016 University Ca’ Foscari Venezia, member of the PhD committee for the defense of Komla Mawulom Agudze;

- 2014 University Ca’ Foscari Venezia and Paris I – Sorbonne University (joint program), member of the PhD Committee for the defense of Lorenzo Frattarolo;

- 2014 Paris I – Sorbonne, external member of the PhD Committee for the defense of Peter Addo;

- 2014 New Economic School Moscow, reviewer for the Master Dissertation of Mikhail Makhyanov, “Modeling vast-dimensional joint density using spatial copulas”;

- 2011 Paris I – Sorbonne, external member of the PhD Committee for the defense of Ludovic Cales;

- 2010, member of the examination committee of the Doctorate in Economics, XXI and XXII edition, University of Milano;

- 2009, Doctor of Philosophy, University of Western Australia, Referee, 1 dissertation;

 

Research interests

- financial econometrics, financial time series analysis; quantitative methods for empirical finance, and empirical economics;

- market risk measurement and systemic risk measurement through dynamic models;

- multivariate models for financial market variances: GARCH, stochastic volatilities and their extensions; feasible parameterisations and efficient multi-step estimation approaches; application in asset allocation and market risk measurement; robust methods for model comparison; the curse of dimensionality; common patterns in the conditional variances; causality in variances; range based models;

- long term investment strategies: optimal strategies for agents with short term liquidity constraints; performance evaluation of long term investment plans and strategies; robust and optimal choice of agents optimizing criteria;

- active portfolio management: quantitative based strategies; performance evaluation of actively managed funds; style analysis and adherence to the benchmarks;

- high frequency data: conditional duration models, multivariate approaches and their possible application in high frequency quantitative trading; market microstructure and empirical analysis of market efficiency;

- spatial econometrics methods in finance; quantile regression methods in economics and finance;

- weather and energy derivatives modelling and pricing; quantitative methods in energy economics and energy finance.

Italiano