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Associate Professor of Econometrics Tel.: +39 0382/986207 Fax: +39 0382/304226
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· Teaching |
Eduardo Rossi graduated from
L.Bocconi University, Milan, in 1988. Master of Arts in Economics, Université Catholique
de Louvain (Belgium), 1991-92. Ph.D. in Economics, University of Rome, 1993.
Assistant Professor of Economics at the Libero Istituto Universitario
"C.Cattaneo" in 1992-1994 and Researcher at the Università
"L.Bocconi" in 1988 - 1992. Visiting Scholar at the Department of
Economics, Duke University (USA) in 1998. He is also Professor of Financial
Econometrics, CORIPE Piemonte.
Financial Econometrics, Theory of
Finance.
Current research projects
The econometrics of
continuous-time models. GARCH models. Volatility models.
"A principal components multivariate GARCH technique for medium
size portfolio management", Collana Studi di UniCredito Italiano,
n.6, 4/1999 (with C.Giannini).
"Stima e
previsione della curva dei rendimenti italiana con i GARCH multivariati"
(with L.Maggi e C.Giannini), Statistica, 2001.
"Hedging Interest Rates Risk with Multivariate GARCH", Applied
Financial Economics, 2002 (with C.Zucca).
“Efficient Importance
Sampling Maximum Likelihood Estimation of Stochastic Differential Equations”
(with
S.Pastorello), Quaderni di Dipartimento, 171, 2004.
"Artificial Regression Testing in the GARCH-in-mean model", (with R.Lucchetti), The
Econometrics Journal, vol.8, 306-322, 2005.
“Euro corporate bonds
risk factors”, (with C.Castagnetti), Quaderni di Dipartimento, 182,
2006