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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. Professor of Financial
Econometrics, CORIPE Piemonte in 1999-2009. Visiting Scholar at Centre of Econometric Analysis (CEA),
Cass Business School (London, UK), 2009.
Research interests: Financial Econometrics.
Current research projects: Volatility models, Long memory in volatility,
heterogeneous panel data.
“Artificial
Regression Testing in the GARCH-in-mean model” (2005) (with R.Lucchetti)
Econometrics Journal, vol.8, pp.306-322.
“Model and distribution uncertainty in Multivariate GARCH
estimation: a Monte Carlo analysis” (2010) (with F.Spazzini).
Computational Statistics and Data
Analysis, 54, 2786-2800.
“Efficient importance sampling maximum likelihood
estimation of stochastic differential equations” (2010) (with S. Pastorello). Computational Statistics and Data Analysis,
54, 2753-2762.
Univariate GARCH models: a survey (2010) Quantile, 8.
“Euro corporate bonds risk factors”,(2011) (with C.Castagnetti), Journal of
Applied Econometrics, forthcoming.
“A No Arbitrage Fractional Cointegration Analysis of The Range Based Volatility”
(2009) (with P. Santucci
de Magistris), forthcoming Journal
of Futures Markets, (old draft CREATES
Research Paper No. 2009-31.)
Recent working
papers
“Estimation
Methods in Panel Data Models with Observed and Unobserved Components: a Monte
Carlo Study” (2008) (with C. Castagnetti) Quaderni di Dipartimento, # 211, 2008.
“Long Memory and periodicity in intraday volatilities of
stock index futures” (2009) (with D. Fantazzini).
Submitted. (earlier draft)
“Long Memory and tail dependence in trading volume and
volatility” (2009) (with P. Santucci de Magistris) CREATES
Research Paper No. 2009-30. Submitted
“Finite
sample results of range-based integrated volatility estimation” (2009) (with F.
Spazzini) Center for Econometric Analysis, Cass
Business School, WP-CEA-4-2009.
“Estimation of long memory in integrated variance” (2011) (with P. Santucci de Magistris)
CREATES
Research Paper No. 2011-11 Submitted
“Independent Factor Autoregressive Conditional Density Model” (2011)
(with A.Ghalanos and G. Urga)
Submitted
“Volatility jumps and their economic
determinants” (2011) (with M.Caporin and P.Santucci de Magistris) SSRN
Ongoing
research
Indirect inference of continuous-time long memory models