Curriculum Vitae

 

Personal information

Born in Treviso the 15th of August 1974, married with Sonia, two sons Stefano (born in 2007) and Alessandro (born in 2012), mobile. +39-3201138260 – skype: massimiliano.caporin

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

Education

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 – Committee: Prof. G.M. Gallo (University of Firenze, Italy), Prof. J.M. Zakoian (University of Lille, France), Prof. M. Billio (University Ca’ Foscari Venezia, Italy), Prof. P. Zaffaroni (Cambridge University, UK)

1993-1998 – Degree in Economics – University Ca’ Foscari Venezia – summa cum laude 

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. 

Research Projects

- “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 Statistics of the University of Padova:

- Statistical models for economic data, from 2016/2017;

- Computational Finance, MS in Statistics, from 2014/15;

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

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

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

- Computational Finance, MS in Economics and Finance, from 2014/15;

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

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

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

University of Padova, former Faculty of Statistical Sciences

- 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:

- Master in Economics and Finance, 2009-2015 Editions, Econometrics tutorials with Matlab (30 hrs.)

- Master in Economics and Finance, 2006 to 2008 Editions, Econometrics tutorials with Eviews (25 hrs.)

Venice International University, International Centre for Economics and Finance:

- Master in Economics and Finance, 2004 and 2005 Editions, Econometrics tutorials with Gauss (25 hrs.)

- Master Program in Economics and Finance, 2003, Econometrics tutorials with Gauss (25 hrs.)

University Ca’ Foscari, Venice, former Faculty of Economics:

- 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

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

Other teaching activities:

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

Awards

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

Affiliations

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

Conference presentations and seminars

2016: Financial Risk Forun Institut Louis Bachelier, Parigi; University of Pavia, seminar presentation.

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

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

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

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

- 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 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:

- Giovanni Bonaccolto, topic “Quantile regression applications in finance”, March 2016

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

- Nancy Zambon, thesis (topic) “Pricing and risk management implications of jump, co-jumps and multi-jumps”, defending in 2017 (expected);

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

- Mayank Gupta, thesis (topic) “Efficiency and diversification in emerging and frontier markets”, defending second semester 2015 (expected);

- Michele Costola, thesis “Essays in financial econometrics”, defended second semester 2013, now post-doc researcher, University Ca’ Foscari Venezia;

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

Post-doc research grants:

- 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:

- 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;