Foto del docente

Luca De Angelis

Assistant professor

Department of Economics

Academic discipline: SECS-P/05 Econometrics

Curriculum vitae

 Personal details:

Place of birth:                Bologna, Italy

Nationality:                   Italian

E-mail:                         l.deangelis@unibo.it

 

Current position:

2018 – now              Assistant Professor in Econometrics at the Department of Economics of the University of Bologna.

2015 - now Director of the 2nd level University Professional Master’s Programme in "Quantitative Risk Management", in collaboration with CRIF SpA and the University of Bologna.

 

Previous position:

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:

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:

2017 – 2018      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.

2008 – 2011      Teaching assistant in Econometrics, Econometrics of Financial Markets, Advanced Econometrics, Applied Econometrics, Forecast techniques at the Department of Statistical Sciences, University of Bologna, Italy.

2008-2009         E-learning project for the economical statistics area and statistics models for financial markets at the Didactics Scientific Site of Rimini, Italy.

2007-2008         Seminars for the course Statistical Models for Financial Markets at the Faculty of Statistical Sciences of the University of Bologna.

 

Research presentations:

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.

2009: M. Costa, L. De Angelis - “A dynamic analysis of stock markets through latent Markov models”, 7th Meeting of the Classification and Data Analysis Group of the Italian Statistical Society, Catania, Italy, September 2009.

2009: M. Costa, L. De Angelis - “Portfolio choice based on latent class models”, European Regional Meeting of the International Society for Business and Industrial Statistics (EURISBIS 2009), Cagliari, Italy, June 2009.

2008: M. Costa, L. De Angelis - “Sector price indexes in financial markets: methodological issues”, International workshop on price index numbers in time and space, Florence, Italy, September 2008.

2008: M. Costa, L. De Angelis - “Sector classification in stock markets: a latent class approach”, First joint meeting of the Société Francophone de Classification and the Classification and Data Analysis Group of SIS, Caserta, Italy, June 2008.

 

Seminars:

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.

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