Personal details:
Place of
birth: Bologna, Italy
Nationality: Italian
E-mail: l.deangelis@unibo.it
Current position:
2020 - now Associate Professor in Econometrics at the Department of Economics of the University of Bologna.
Previous position:
2018 – 2020 Assistant Professor in Econometrics at the Department of Economics of the University of Bologna.
2015 - 2019 Director of the 2nd level University Professional Master’s Programme in "Quantitative Risk Management", in collaboration with CRIF SpA and the University of Bologna.
2011 – 2017 Assistant Professor in Econometrics at the Faculty of Statistical Sciences of the University of Bologna.
2010 –
2011
Post-Doc position for the project “Latent variable methods for
financial issues” at the Statistical Sciences Department,
University of Bologna.
2007 –
2009
Ph.D student in “Statistical methodology for scientific research”
(XXII cycle) at the Statistical Sciences Department at University
of Bologna
2006 –
2007
Winner of a research grant for the project “Generalized models for
latent variables: methodological developments and applied aspects”
at the Statistical Sciences Department of the University of
Bologna.
Education:
2007 – 2010 Ph.D in “Statistical
methodology for scientific research” (XXII cycle) at the
Statistical Sciences Department, University of Bologna, Italy.
Dissertation: “Latent variable methods for financial issues” (in
Italian). Defence: March 30th 2010.
2009 – 2009 Visiting Ph.D student
at the Marketing Department of the Vrije Universiteit (VU) of
Amsterdam, The Netherlands.
1997 – 2002 Degree in Statistical
and Economic Sciences at the Statistical Sciences Faculty of the
University of Bologna, Italy.
Research activity:
2019 - 2021 Participant at the Austrian Climate Research Programme (ACRP11) project “Scaling-up green finance to achieve the climate and energy targets: an assessment of macro-financial opportunities and challenges for Austria – GreenFin”, coordinated by prof. Irene Monasterolo of the Vienna University of Economics and Business. Website: https://greenfin.at/
2018 - 2020 Participant at the research project ALMA IDEA Grant Senior of the University of Bologna “Metodi bootstrap per modelli econometrici a volatilità e parametri variabili nel tempo”, coordinated by prof. Giuseppe Cavaliere.
2012 – 2016 Participant in the scientific
research project of relevant national interest 2010/11
“Multivariate statistical models for risk assessment (MISURA)",
coordinated by prof. Paolo Giudici of the University of Pavia,
Italy
2008 – 2010 Participant in the
scientific research project of relevant national interest 2007
“Volatility, persistence and structural breaks in macroeconomic and
financial dynamics: new developments for the econometric analysis
of time series”, coordinated by prof. Giuseppe Cavaliere of the
University of Bologna, Italy
2007 – 2009 Participant in the
scientific research project of relevant national interest 2006
“Econometric analysis of interdependence, stabilization, and
contagion in real and financial markets”, coordinated by Prof.
Paolo Paruolo of the University of Insubria, Italy
2006 – 2008 Participant in the
scientific research project of relevant national interest 2005
“Index numbers in financial markets: price and quality effects in
sector and international comparisons”, coordinated by Prof. Guido
Ferrari of the University of Florence, Italy
Teaching experience:
2020 – 2021 - Forecast techniques (36 hrs.), Econometrics (60 hrs.) and Econometrics (30 hrs. – in English) at the Department of Statistical Sciences, University of Bologna, Italy.
2019 – 2020 Forecast techniques (45 hrs.) and Econometrics (60 hrs.) at the Department of Statistical Sciences, University of Bologna, Italy.
2018 – 2019 Econometrics (72 hrs.) at the Scuola delle Scienze Economiche, Aziendali Giuridiche e Sociologiche, University “G. d’Annunzio” Chieti-Pescara, Italy.
2018 – 2021 Module (10 hrs. – in English) of the course of Financial Econometrics at the Professional Master's Programme “Quantitative Risk Management”, University of Bologna, Italy.
2017 – 2019 Applied Econometrics (45 hrs.) and Forecast techniques (45 hrs.) at the Department of Statistical Sciences, University of Bologna, Italy.
2012 – 2017 Applied Econometrics (60 hrs.)
at the Department of Statistical Sciences, University of Bologna,
Italy.
2011 – 2012 Applied Econometrics and
Forecast techniques (60 hrs.) at the Department of Statistical
Sciences, University of Bologna, Italy.
Research presentations (last 10 years):
2020: L. De Angelis, I. Monasterolo, A. Đuranović - “The impact of compounding COVID-19 and climate risk on sovereign debt”, Computation and Financial Econometrics (CFE-CMStatistics), virtual, 19-21 December 2020.
2020: I. Monasterolo, L. De Angelis - “Blind to carbon risk? An assessment of stock market reaction to the Paris Agreement”, UZH Sustainable Finance Conference, Zurich, 16-17 January 2020 [invited speaker].
2019: G. Angelini, L. De Angelis, C. Singleton - “Informational efficiency and price reaction within in-play prediction markets”, Computation and Financial Econometrics (CFE-CMStatistics), London, 14-16 December 2019.
2019: G. Angelini, L. De Angelis - “Detection of biases in football exchange betting markets”, Reading Football Economics Workshop 2019, Reading, 19-21 September 2019 [invited speaker].
2019: I. Monasterolo, L. De Angelis - “Blind to carbon risks? An assessment of stock market's reaction to the Paris Agreement”, Econometric Models of Climate Change Conference, Milan-Bicocca, 29-30 August 2019.
2019: G. Angelini, L. De Angelis - “Informational efficiency and price reactions in exchange betting markets”, International Symposium on Forecasting (ISF), Thessalonikki, 17-19 June 2019 [invited speaker].
2019: I. Monasterolo, L. De Angelis - “Blind to carbon risks? An assessment of stock market's reaction to the Paris Agreement”, International Workshop on the Economics of Climate Change and Sustainability, Bologna, 3-4 May 2019.
2019: G. Angelini, L. De Angelis - “Efficiency of online football betting markets”, 8th Italian Congress of Econometrics and Empirical Economics (ICEEE), Lecce, 24-26 January 2019.
2018: G. Angelini, L. De Angelis - “Informational efficiency and price reactions in exchange betting markets”, Computation and Financial Econometrics (CFE-CMStatistics), Pisa, 14-16 December 2018 [invited speaker].
2018: G. Angelini, L. De Angelis - “Efficiency of online football betting markets”, High Voltage Econometrics, Palermo, 4-5 October 2018 [invited speaker].
2017: H.P. Boswijk, G. Cavaliere, L. De Angelis, A.M.R. Taylor - “Adaptive information-based methods for determining the co-integration rank and the lag order in heteroskedastic VAR models”, Computation and Financial Econometrics (CFE-CMStatistics), London, 16-18 December 2017 [invited speaker].
2017: G. Cavaliere, L. De Angelis, L. Fanelli - “Co-integration rank determination in partial systems using information criteria”, 7th Italian Congress of Econometrics and Empirical Economics (ICEEE), Messina, 25-27 January 2017.
2016: G. Cavaliere, L. De Angelis, L. Fanelli - “Co-integration rank determination in partial systems using information criteria”, Latin American and Caribbean Economic Association and the Latin American Econometric Society annual meetings (LACEA-LAMES), Medellin, Colombia, 10-12 November 2016.
2016: G. Cavaliere, L. De Angelis, L. Fanelli - “Co-integration rank determination in partial systems using information criteria”, European Economic Association & Econometric Society Meetings (EEA-ESEM), Geneve, Switzerland, 22-26 August 2016.
2016: H.P. Boswijk, G. Cavaliere, L. De Angelis, A.M.R. Taylor - “Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models”, RCEA 4th Time Series Econometrics Workshop, Rimini, Italy, 18-19 June 2016.
2016: L. De Angelis, C. Viroli - “A Markov-switching regression model with non-Gaussian innovations for systemic risk measurement”, 48th Meeting of the Italian Statistical Society (SIS), Salerno, Italy, 8-10 June 2016.
2016: G. Cavaliere, L. De Angelis, L. Fanelli - “Co-integration rank determination in partial systems using information criteria”, Time Series Econometrics Workshop, Lecce, Italy, 6 June 2016.
2015: G. Cavaliere, L. De Angelis A. Rahbek, A.M.R. Taylor - “Determining the co-integration rank in heteroskedastic VAR models of unknown order”, 6th Italian Congress of Econometrics and Empirical Economics (ICEEE), Salerno, Italy, 21-23 January 2015.
2014: G. Cavaliere, L. De Angelis A. Rahbek,
A.M.R. Taylor - “Determining the co-integration rank in
heteroskedastic VAR models of unknown order”, Computation and
Financial Econometrics (CFE-ERCIM), Pisa, Italy, 6-8 December
2014 [invited
speaker].
2014: G. Cavaliere, L. De Angelis A. Rahbek,
A.M.R. Taylor - “Sequential and information-based methods for
determining the co-integration rank in heteroskedastic VAR models”,
European Economic Association & Econometric Society Meetings
(EEA-ESEM), Toulouse, France, 25-29 August 2014.
2013: G. Cavaliere, L. De Angelis A. Rahbek, A.M.R. Taylor - “A
comparison of sequential and information-based methods for
determining the co-integration rank in heteroskedastic VAR models”,
RCEA 2nd Time Series Workshop, Rimini, Italy, 27-28 June
2013.
2013: G. Cavaliere, L. De Angelis, A. Rahbek, A.M.R. Taylor
- “Information-based methods for co-integration rank determination
in the presence of heteroskedasticity”, 5th Italian Congress
of Econometrics and Empirical Economics (ICEEE), Genova, Italy, 16-18
January 2013.
2012: L. De Angelis, A. Gardini - “Uncertainty and risk premium
dynamics in financial markets”, “After(?) The Storm: Lessons from
the Great Recession” conference, Rimini Centre for Economic
Analysis, Rimini, Italy, 24-25 May 2012.
2012: L. De Angelis, A. Gardini - “Mispricing of risk and
financial prices dynamics”, 4th Rimini Quantitative Finance
Workshop, Rimini, Italy, 28 April 2012.
2011: L. De Angelis, J.G. Dias - “Data mining categorical time
series using a hybrid clustering method”, 42nd Annual Conference of
the Italian Operational Research Society (AIRO 2011), Brescia,
Italy, September 2011.
2011: L. De Angelis, L.J. Paas - “A dynamic analysis of stock
markets using a hidden Markov model”, Symposium of the
International Federation of Classification Societies and Joint
Conference of the German Classification Society and the German
Association for Pattern Recognition (IFCS 2011, GfKl 2011 and DAGM
2011), Frankfurt am Main, Germany, September 2011.
2011: L. De Angelis - “The multidimensional measurement of
poverty: a longitudinal analysis”, XVIII Jornadas de Classificação
e Análise de Dados (JOCLAD 2011), Vila Real, Portugal, April
2011.
2010: L. De Angelis, M. Costa - “Hidden Markov model selection
by Monte Carlo experiments”, 4th CSDA International Conference on
Computational and Financial Econometrics (CFE 10) and 3rd
International Conference of the ERCIM (European Research Consortium
for Informatics and Mathematics) Working Group on Computing &
Statistics (ERCIM 10), London, UK, December 2010.
2010: M. Costa, L. De Angelis - “Model selection in latent
Markov models: a simulation study”, Joint Meeting of the German
Classification Society and the Classification and Data Analysis
Group of the Italian Statistical Society, Florence, Italy,
September 2010.
2010: M. Costa, L. De Angelis - “Latent class analysis for
portfolio choice”, 45th Scientific Meeting of the Italian
Statistical Society, Padua, Italy, June 2010.
2010: L. De Angelis, M. Costa, L.J. Paas - “Interdependence and
contagion in international stock markets: a latent Markov model
approach”, Fourth International Conference Mathematical and
Statistical Methods for Actuarial Sciences and Finance,
Ravello, Italy, April 2010.
Seminars:
2019: “Informational efficiency and price reaction within in-play prediction markets”, Internal seminar, Department of Economics, University of Bologna, 4 December 2019.
2018: “Investigating the term structure of government bond yields: A co-integration analysis”, Vienna University of Economics and Business, 19 September 2018.
2018: “Efficiency of online football betting markets”, Internal seminar, Department of Economics, University of Bologna, 3 July 2018.
2017: “Investigating the term structure of government bond yields: A co-integration analysis”, ISCTE Business School, Lisbon, Portugal, 3 February 2017.
2015: “Investigating the term structure of government bond yields: A co-integration analysis”, Department of Economics, Norges Teknisk-naturvitenskapelige Universitet (NTNU), Trondheim, Norway, 4 June 2015.
2009: “Latent Variable Methods for Financial Issues”, Marketing
Department of the Vrije Universiteit (VU), Amsterdam, The
Netherlands, July 2009.
