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CV

 

                                             CONTACT INFORMATION

University of Bologna                                                    Phone: +39 051 2098230

Department of Economics                                             Mobile +39 329 5627101,  fax: +39 051 232153

Piazza Scaravilli 2, I-40126 Bologna, Italy.                   email: giuseppe.cavaliere@unibo.it

                                                                                       Web page: www2.stat.unibo.it/cavaliere

Researcher unique identifiers: ORCID 0000-0002-2856-0005 - Scopus Author ID: 7004370081

Web sites: https://www.unibo.it/sitoweb/giuseppe.cavaliere/en (institutional),

https://ideas.repec.org/e/pca195.html (REPEC), http://www2.stat.unibo.it/cavaliere (personal)


EDUCATION


Ph.D. in Statistics, University of Bologna, Department of Statistics, 1997

B.S. in Statistical and Economic Sciences, University of Bologna, 1993

MAIN FIELD OF INTERESTS

Time Series Econometrics (non-stationarity, structural changes, infinite variance, long memory), Financial Econometrics (volatility models, asset pricing models, financial contagion, risk assessment), Statistical Inference (bootstrap methods, asymptotic theory); Empirical Macroeconomics (consumption dynamics, risk sharing, exchange rate dynamics, DSGE models).

EMPLOYMENT, APPOINTMENTS AND VISITING POSITIONS

Full Professor of Econometrics, Department of Economics, University of Bologna       2018-

President, SIdE - Italian Econometrics Society (president elect and acting president 2017)          2018-2019

Full Professor of Econometrics, Department of Statistical Sciences, University of Bologna           2006-2017

Visiting Professor, Department of Economics, University of Copenhagen                          2013-2014

Visiting Professor, Monash University                                                                                 2012, 2014

John Weatherall Distinguished Visiting Scholar, Queen’s University at Kingston, Ontario             2011-2017

CIREQ Visitor, University of Montreal                                                                               2011

Visiting Professor of Econometrics, University of Melbourne                                             2010,2016,2018

Visiting Professor of Econometrics, University of Århus                                                     2008

Visiting Professor of Econometrics, University of Copenhagen                                           2006, 2007

Associate Professor of Econometrics, Faculty of Statistical Sciences, University of Bologna         2005-2006

Visiting Associate Professor of Financial Econometrics, University of Copenhagen                       2001

Assistant Professor of Econometrics, Faculty of Statistical sciences, University of Bologna          1998-2004

Visiting Assistant Professor of Financial Econometrics, University of Copenhagen                        1997


TEACHING

PhD: “Non-stationary time series and the bootstrap”, Bar-Ilan University, Tel Aviv (2016), “Time Series Econometrics”, University of Zurich (UZH) (2016); “Topics in time series econometrics”, University of Bologna (2009-); “Non-stationary time series analysis”, University of Århus (2008); “Econometrics”, CIdE PhD Course (2006); “Time Series Econometrics”, CIdE PhD Course (2010, 2011).


Graduate: “Advanced Econometrics”, University of Bologna (2005-); “Econometrics II”, University of Bologna (2000-4); “Econometrics of Financial Markets”, University of Bologna (2000-4); “Financial Statistics and Econometrics”, University of Copenhagen (2001); “Econometrics”, University of Bologna (1998-9); “Financial Econometrics”, University of Copenhagen (1997)


Undergraduate: “Econometrics”, University of Bologna (2015-), “Applied Econometrics”, University of Bologna (2002-), “Econometrics of Financial Markets” (2001-), University of Bologna; “Forecasting techniques”, University of Bologna (2001-); “Market forecasting”, University of Bologna (2000-5).


AFFILIATIONS/PROFESSIONAL SERVICES


Co-editor, Econometric Theory (2009-)

Co-editor, STAT (2012-2014)

Guest Co-editor, Journal of Time Series Analysis, special issue on “Bootstrap methods for dependent data”

Associate editor, Econometrics Journal (2012-2020)

Associate editor, Journal of Time Series Analysis (2013-)

Associate editor, Journal of Risk and Financial Management (2018-)

Associate editor, Annals of Financial Economics (2018-)

Associate editor, Quantitative Finance and Economics (2015-)


Member of the Honorary International Editorial Advisory Board, Taiwan Journal of Applied Economics (2017-2019)


Member of the Econometrics Advisory Award Board (EAAB) (2018)


Referee for the following journals: Applied Economics, Applied Financial Economics Letters, Computational Statistics and Data Analysis, Econometric Reviews, Econometric Theory, Econometrics, Econometrics Journal, Economics Bulletin, Empirical Economics, European Journal of Finance, International Statistical Review, Journal of the American Statistical Association, Journal of Applied Econometrics, Journal of Banking and Finance, Journal of Business and Economic Statistics, Journal of Cleaner Production, Journal of Econometrics, Journal of Empirical Finance, Journal of Financial Econometrics, Journal of the Italian Statistical Society, Journal of International Money and Finance, Journal of Money, Credit and Banking, Journal of Multivariate Analysis, Journal of Official Statistics, Journal of the Royal Statistical Society A, Journal of Time Series Analysis, Journal of Time Series Econometrics, Manchester School, Metroeconomica, Metron, Oxford Bulletin of Economics and Statistics, Quantitative Finance and Economics, Regional Studies, Scandinavian Journal of Statistics, Statistica, Statistics, Statistical Inference for Stochastic Processes, Statistical Methods and Applications, Statistical Papers, Statistics and Probability Letters, Studies in Nonlinear Dynamics and Econometrics.


Referee for Cambridge University Press, John Wiley & Sons.


External Reviewer for: Canada Council (Killam Program), Economic and Social Research Council (UK), MIUR, Research Grants Council, Hong Konk; Danish Council for Independent Research (DK); Boston College (US), Qatar University (Qatar).



Member of the PhD board in Economics, University of Bologna (2018-)

Research Delegate, Department of Economics, University of Bologna (2018-)


Member of the PhD board in Statistical Sciences, University of Bologna (2006-2017)


Deputy Head, Department of Statistical Sciences, University of Bologna (2015-2017)


Member of GEV 13 of ANVUR (2015-2017)


Memberships in professional organizations: SIdE - Italian Econometric Society, Econometric Society, Italian Statistical Society, Italian Economists Society.


Member of CIdE (Interdepartmental Centre for Econometrics), Scientific Committee (from 2008)


Member of SIdE (Italian Econometrics Society), Steering Committee (2011-2014)


Member of ANSET (Working group on Time Series Analysis, Italian Statistical Society), Steering Committee (from 2007)


Founding member of ETSERN (European Time Series Econometrics Research Network)



OVERALL CITATIONS, RECOGNITIONS, AWARDS AND HONORARY POSITIONS

RePEc: top 7% of 52.000 economists (top 5% over last 10 years), top 4% in Europe, top 3% in Italy. Ranked in the Top 10% authors in the field of Econometrics; Ranked in the Top 10% authors in the Field of Econometric Time Series.

Scopus: 52 papers with 481 total citations. h-index is 13.

Google Scholar: 99 publications with 1210 citations. h-index is 17 (15 from 2013) and i10-index is 29 (19 from 2010).

Ranked as no. 32 (no. 1 among Italian scholars) in “Ranking of individuals by theoretical econometrics publications based on standardized page counts, 2000-2005”, and as no. 48 (no. 1 among Italian scholars) in “Ranking of individuals by all econometrics publications based on standardized page counts, 2000-2005”. Reference: Baltagi B.H. (2007), Worldwide Econometrics Rankings 1989-2005, Econometric Theory, 23, pp. 952-1012. 

Econometric Theory Plura Scripsit Award (2014)

Econometric Theory Multa Scripsit Award (2009)

Classified A for research productivity 2006-2007-2009-2010-2011-2012-2013-2014-2015-2016-2017, University of Bologna.

External fellow of the Granger Centre for Time Series Econometrics, host by the School of Economics, University of Nottingham


MAIN RECENT RESEARCH PROJECTS

Danish Independent Research Fund (DFF): Advanced Grant II: “Theory of the Bootstrap in Econometric Models with Time Varying Volatility”, 2017-2021 (co-proponent) [principal investigator: Anders Rahbek] (550.000€).

University of Bologna, Almaidea Senior Grant “Bootstrap methods for econometric models with time varying parameters and volatility”, 2017-2018 (principal investigator) (20.000€)

Danish Council for Independent Research, Sapere Aude program: “Developing and implementing new bootstrap methods for the econometric analysis of financial and macroeconomic time series data”, 2013-2016, co-proponent [principal investigator: Anders Rahbek](1.500.000€)

Italian Ministry of Education, University and Research: National PRIN project “Multivariate statistical models for risk assessment”, 2013-2015, local coordinator of Bologna research unit (112.000€)

Italian Ministry of Education, University and Research: National PRIN project “Time-varying volatility, persistence and structural breaks in macroeconomic and financial fluctuations: new paradigms for the econometric analysis of time series”, 2009-2010, national coordinator. (14.000 €)

Minister for Science, Technology and Higher Education, Portugal: “New approaches to infinite variance time series modeling”, 2009-2011, co-proponent (principal investigator: Iliyan Georgiev, Universidade Nova de Lisboa).

“Econometric models for the analysis of economic and financial integration in the enlarged European Union”, Italian National PRIN project 2005-2006 (principal investigator: Domenico Sartore, University of Venice).

“Nonlinear multivariate econometric time series analysis with applications to nonlinear cointegration and volatility”, project financed by the Danish Research Council, 2005-2008 (principal investigator: Prof. Anders Rahbek).


MAIN CONFERENCE ORGANIZING

Vienna-Copenhagen Conference on Financial Econometrics, Program Committee (2017)

8th Italian Congress of Econometrics and Empirical Economics, Program Committee (2019)

7th Italian Congress of Econometrics and Empirical Economics, Program Committee (2017)

69th European Meeting of the Econometric Society, Scientific committee (2016)

6th Italian Congress of Econometrics and Empirical Economics, Chair of the Program Committee (2015)

5th Italian Congress of Econometrics and Empirical Economics, Program Committee (2013)

3rd Humboldt–Copenhagen Conference on Financial Econometrics, Program Committee (2013)

4th Italian Congress of Econometrics and Empirical Economics, Program Committee (2011)

3rd Italian Congress of Econometrics and Empirical Economics, Program Committee (2009)

EC² meeting “Time Series Analysis: Recent Advances”, Program Committee (2007).

2nd Italian Congress of Econometrics and Empirical Economics, Organizing Committee (2007)



MAIN CONFERENCE AND WORKSHOP PRESENTATIONS


2018    SETA Meeting, Inaugural Seta Lecture**, Sydney (scheduled)

2017    Financial Econometrics Conference*, Toulouse School of Economics; IAAE 2017, Sapporo; Niigata Symposium on Statistical Science**, Niigata; (EC)2 conference, Free University Amsterdam

2016    Second Great Minds China Forum*, Beijing; 4th IMS Asia Pacific Rim Meeting*, Chinese University in Hong Kong; LAMES, Medellin

2015    Workshop “Financial Time Series and beyond” *, Hong Kong University of Science and Technology; International Workshop on Time Series Econometrics*, Tsinghua University at Sanya, China; Conference in honor of Søren Johansen’s 76th birthday*, Copenhagen; ISI World Statistics Congress meeting, Rio de Janerio; World Congress of the Econometric Society, Montreal; Conference on “Macroeconomic, Financial and International Linkages”*, University of York; Workshop on (Long Memory and Nonstationary) Time Series, Goethe University, Frankfurt

2014    SJTU-SMU Econometrics Conference*, Shanghai; China Meeting of the Econometric Society, Xiamen; Conference on “Recent Developments in Financial Econometrics and Empirical Finance”*, Essex University; Workshop in Time Series Econometrics**, Zaragoza

2013    CFE Conference*, London; LAMES, Mexico City; RCEA Time Series Workshop*, Rimini

2012    5th International Conference MAF**, Venice; Tsinghua International Conference in Econometrics**, Beijing

2011    Fifth CIREQ Time Series conference*, Montreal; Tsinghua International Conference in Econometrics**, Beijing; Fourth Italian Congress of Econometrics and Empirical Economics, Pisa; New Developments in Time Series Econometrics*, EUI, Florence

2010    International Econometrics Workshop**, Chengdu; 10th World Congress of the Econometric Society, Shanghai; Fourth CIREQ Time Series conference*, Montreal; Conference in honour of Sir Clive Granger*, Nottingham

1997-2009 3rd Annual Conference*, Granger Centre for Time Series Econometrics, University of Nottingham, (2009); Inaugural Conference of the Society for financial Econometrics (SoFiE), New York (2008), 62nd European Meeting of The Econometric Society, Budapest (2007); Conference in honour of Professor Paul Newbold, Nottingham (2007); Tinbergen Conference on the 20 years of cointegration, Rotterdam (2007); Second Italian Congress of Econometrics and Empirical Economics, Rimini (2007); 61st European Meeting of The Econometric Society, Vienna (2006); First Italian Congress of Econometrics and Empirical Economics, Venice (2005); 59th European Meeting of The Econometric Society, Madrid (2004); 58th European Meeting of The Econometric Society, Stockholm (2003); 57th European Meeting of The Econometric Society, Venice (2002); XLI Meeting of the Italian Statistical Society, Milan (2002); 56th European Meeting of The Econometric Society, Losanne (2001); 8th World Congress of the Econometric Society, Seattle (2000); XL Meeting of the Italian Statistical Society, Florence (2000); 52nd Session of the International Statistical Institute, Helsinki (1999); 52nd European Meeting of The Econometric Society, Toulouse (1997).

* Invited ** Keynote


INVITED RESEARCH SEMINARS (2010-)


2018    Tilburg University, Department of Economics (scheduled); Queen’s University, Department of Economics (scheduled); Universitat Pompeu Fabra, Department of Economics.

2017    ETH Zurich, Department of Mathematics; University of Geneve, Department of Econometrics; Singapore Management University, School of Economics; National University Singapore, Department of Economics; Oxford University, Department of Economics; Queen’s University, Department of Economics; Hitotsubashi University, Institute of Economic Research; Kyoto University, Graduate School of Economics;  London School of Economics, Department of Statistics; Norwegian University of Science and Technology (Trondheim), Department of Economics.

2016    Queen’s University, Department of Economics; Universitat de les Illes Balears, Facultad de Economía y Empresa; CREST, Paris; Maastricht University, Department of Quantitative Economics; University of Tasmania, School of Economics and Finance

2015    Russian Presidential Academy of National Economy and Public Administration/Gaidar Institute, Moscow; Columbia University, Department of Economics; University of Salerno;

2014    Singapore Management University, School of Economics; Monash University, Department of Econometrics and Business Statistics; Hong Kong University of Science and Technology, Department of Mathematics; The Chinese University of Hong Kong, Department of Statistics

2013    Monash University, Department of Economics

2011    CIREQ/University of Montreal; Queen’s University, Department of Economics; University of Cyprus, Department of Economics; University of Tokyo – Applied Statistics Workshop; University of Osaka – GSE-OSSIP Joint Seminar in Economics;

2010    Bocconi University, Department of Quantitative Methods; Jawaharlal Nehru University, New Delhi; Monash University, Department of Economics; University of Technology Sydney, School of Finance and Economics.

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