Foto del docente

Giuseppe Cavaliere

Full Professor

Department of Economics

Academic discipline: SECS-P/05 Econometrics

Curriculum vitae



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

Web sites: (institutional), (REPEC), (personal)


1994-1997 Ph.D. in Statistics, University of Bologna, 1997

1988-1993 Laurea in Statistical and Economic Sciences, University of Bologna, 1993


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

2018- : Distinguished Research Professor of Economics, Department of Economics, Exeter Business School (UK)

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

2018-: Member of the Board, PhD in Economics, U Bologna

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

2015- : Deputy Head, Department of Statistical Sciences, U Bologna

2006 - 2017: Member of the Board, PhD in Statistics, U Bologna

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

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

1997: Assistant Professor of Financial Econometrics, U Copenhagen


Lecturer of several academic courses (undergraduate, graduate, PhD) mainly concerning Econometrics, Financial Econometrics, Time Series, both in Italy and abroad. Former Director of the Master programme in Financial Risk Management (U Bologna). Scientific thesis supervisor of around 80 students in Statistics and Economics, and 3 Phd students in Statistics.


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).


RePEc: top 7% of 52.000 economists (top 5% over last 10 years), top 4% in Europe, top 3% in Italy.

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).

Research Gate (RG) Score 28.91 (higher than 85% of Research Gate members). H-index is 16.

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 (top class) for research productivity 2006-2007, 2009-2017, U Bologna.


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

Visiting Professor, Department of Economics, U Copenhagen (2013-2015); Visiting Professor, Monash University (2013, 2014); John Weatherall Distinguished Visiting Scholar, Queen’s University at Kingston, Ontario (2011-2017); CIREQ Visitor, U Montreal (2011); Visiting Professor, U Melbourne (2010, 2016,2018); Visiting Professor, U Århus (2008); Visiting Professor, Institute of Mathematics, U Copenhagen (2006, 2007); Visiting Associate Professor of Financial Econometrics, U Copenhagen (2001)

U Bologna: PhD Scholarship (1994-1996)


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

U 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 (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.


Member of Scientific Committee, 69th European Meeting of the Econometric Society (ESEM), 2016

Programme Chair, 6th Italian Congress of Econometrics and Empirical Economics (ICEEE), 2015

Member of Programme Committee, Italian Congress of Econometrics and Empirical Economics (ICEEE), 2007-2009-2011-2013-2019

Member of Programme Committee, 18th EC2 meeting “Time Series Analysis: Recent Advances”, 2007


2009 - : Co-editor, Econometric Theory

2012-2014: Co-editor, STAT

2015: Guest Co-editor, Journal of Time Series Analysis

2020- : Associate editor, Journal of Econometrics (2020-)

2012- : Associate editor, Econometrics Journal

2013- : Associate editor, Journal of Time Series Analysis

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 J of Finance, International Statistical Review, J of the American Statistical Association, J of Applied Econometrics, J of Business and Economic Statistics, J of Econometrics, J of Empirical Finance, J of the Italian Statistical Society, J of International Money and Finance, J of Money, Credit and Banking, J of Multivariate Analysis, J of Official Statistics, J of Time Series Analysis, J of Time Series Econometrics, Manchester School, Metroeconomica, Metron, Oxford Bulletin of Economics and Statistics, Regional Studies, Scandinavian J of Statistics, Statistica, Statistical Inference for Stochastic Processes, Statistical Methods and Applications, Statistical Papers, Statistics and Probability Letters, Studies in Nonlinear Dynamics and Econometrics.


2015-17: Member of GEV 13 of ANVUR

2011-14: Member of SIdE (Italian Econometrics Society), Steering Committee

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

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

External Reviewer for: Canada Council (Killam Program), Economic and Social Research Council (UK), MIUR. Reviewer for VQR 2004-2010 (GEV 13).

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

Memberships in scientific organizations: Econometric Society, since 1995; Italian Statistical Society (SIS), since 1996; Italian Econometric Society (SIdE), since 2009.


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

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; Conference on “Macroeconomic, Financial and International Linkages”, U York; Workshop on (Long Memory and Nonstationary) Time Series, Goethe University, Frankfurt

2014: SJTU-SMU Econometrics Conference, Shanghai Jiao Tong University ; Conference on “Recent Developments in Financial Econometrics and Empirical Finance”, Essex University; Workshop in Time Series Econometrics*, U Zaragoza;

2013: CFE Conference, London; RCEA Time Series Workshop, U Bologna (Rimini campus);

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

2011: Fifth CIREQ Time Series conference, U Montreal; Tsinghua International Conference in Econometrics*, Tsinghua University Beijing; New Developments in Time Series Econometrics, EUI, Florence;

2010: International Econometrics Workshop*, Chengdu; Fourth CIREQ Time Series conference, U Montreal; Conference in honour of Sir Clive Granger, U Nottingham.

* keynote


2017: ETH Zurich; U Geneve; Singapore Management University; National University Singapore; Oxford University; Queen’s University, Kingston (ON); Hitotsubashi University; Kyoto University; London School of Economics; Norwegian U Science and Technology.

2016: Queen’s University, Kingston (ON); Universitat de les Illes Balears; CREST, Paris; Maastricht University; U Tasmania: Russian Presidential Academy of National Economy and Public Administration/Gaidar Institute, Moscow; Columbia University, NY; U Salerno;

2014: Singapore Management University; Monash University, Melbourne; Hong Kong University of Science and Technology; Chinese University of Hong Kong;

2014: Monash University, Melbourne;

2011: CIREQ/U Montreal; Queen’s University, Kingston (ON); U Cyprus; U Tokyo; U Osaka;

2010: Bocconi University; JNU, New Delhi; Monash University, Melbourne; University of Technology Sydney.

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