Courses a.y. 2022/2023
12140 ECONOMETRICS 2
12194 FINANCIAL SCENARIO & DECISION MAKING - MODULE 1
20192 FINANCIAL ECONOMETRICS AND EMPIRICAL FINANCE - MODULE 2
20356 PRECORSO DI STATISTICA / STATISTICS - PREPARATORY COURSE
20550 PRECORSO DI METODI QUANTITATIVI PER LA FINANZA / QUANTITATIVE METHODS FOR FINANCE - PREPARATORY COURSE
20836 ADVANCED METHODS FOR PORTFOLIO AND RISK MANAGEMENT
I love teaching, especially when courses allow me to strike a balance between my academic research and the practical applications of quantitative methods in asset management and asset pricing.
In this respect, my compulsory Financial Econometrics 2 course (20192) and the elective Advanced Methods in Asset Pricing (20541), both taught within the MSc. Finance, provide me with great excitement to always innovate and teach methods at the frontier.
I enjoy supervising MSc. (research) theses by technically skilled students, especially when interested in academic-grade contributions to the literature.
I hold a Ph.D. from University of California at San Diego (2000). Before joining Bocconi University as a full professor in 2010, I was an assistant professor at the University of Virginia, a senior economist, and then jnr. I was also a vice-president with the Federal Reserve Bank of St. Louis, and then a chaired professor of Finance at Manchester Business School.
Since 2017, I have been directing the Asset Risk Management Unit of the Baffi CAREFIN Centre with Bocconi University.
I am an empiricist/applied econometrician and my research spans a number of areas, ranging from non-linear time series models (models with regimes, thresholds, and structural breaks) in finance and macroeconomics, methods and models in forecasting, dynamic portfolio choice under predictability, empirical option pricing, and asset pricing models with belief dynamics.
I am an associate editor at a variety of journals, including the Journal of Financial Econometrics (Oxford University Press), the International Journal of Forecasting (Elsevier), and the Journal of Economics Dynamics and Control (Elsevier).
Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets
BAFFI CAREFIN Centre Research Paper No. 2020-143
How Smart Is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs
BAFFI CAREFIN Centre Research Paper No. 2019-117
Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?
BAFFI CAREFIN Centre Research Paper No. 2020-146
Dynamic Portfolio Management with Machine Learning
A Markov Switching Cointegration Analysis of the CDS‐Bond Basis Puzzle
BAFFI CAREFIN Centre Research Paper No. 2019-121
Sentiment Risk Premia in the Cross-Section of Global Equity
University of St. Gallen, School of Finance Research Paper No. 2019/13
Can Investors Benefit from Hedge Fund Strategies? Utility‐Based, Out‐of‐Sample Evidence
BAFFI CAREFIN Centre Research Paper No. 2018-90
Forecasting commodity futures returns with stepwise regressions: do commodity-specific factors help?
Annals of Operations Research, 2021
Big data e sentiment analysis : il futuro dell'asset management
Monetary policy after the crisis: a threat to hedge funds' alphas?
Journal of Asset Management, 2020
Arbitrage risk and a sentiment as causes of persistent mispricing: the European evidence
The Quarterly Review of Economics and Finance, 2020
Mildly explosive dynamics in U.S. fixed income markets
European Journal of Operational Research, 2020
The predictability of real estate excess returns: an out-of-sample economic value analysis
Journal of Real Estate Finance and Economics, 9999