Sergio Pastorello
Dipartimento di Scienze Economiche
Università di Bologna
Piazza Scaravilli, 2
40126 Bologna, Italy
Email: sergio.pastorello@unibo.it
Phone: +39 051 2098144
Research Interests
Econometrics, Financial Econometrics, Asset
Pricing, Option Pricing.
Education
1992
PhD in Economics, University of Bologna, "Labor Market
Transitions: an Econometric Analysis using Discrete Time
Observations"
1990
DEA (M.Sc.) in Mathematical Economics and
Econometrics, Université des Sciences Sociales, Toulouse,
France
1987
Laurea (B.Sc.) in Statistics, University of
Padova, Italy
Academic Experience
2000
Associate Professor of Econometrics, Faculty of Economics,
University of Bologna
1994
Assistant Professor of Econometrics, Faculty of Economics,
University of Bologna
Teaching Experience
Faculty of Economics, University of
Bologna
Econometrics. 60 hour course for the
undergraduate Economics programme
Financial Econometrics. 30 hour course for the graduate
Finance and Economics programme
Quantitative Methods in Marketing. 30 hour course for the
undergraduate Business programme
Advanced Econometrics. 30 hour course for the
international graduate Economics program.
Faculty of Mathematics, University of Bologna
Time Series Models in Financial Econometrics. 20
hour course for the graduate Mathematical Finance programme.
Publications
International journals
"Diffusion Coefficient Estimation and Asset Pricing When Risk
Premia and Sensitivities Are Time Varying: A Comment",
Mathematical Finance, Vol. 6, N. 2, pp. 111-117, 1996.
"Statistical Inference for Random Variance Option Pricing",
Journal of Business and Economics Statistics, vol. 18, n. 3;
pp. 358-67, 2000 (with E. Renault and N. Touzi).
"Modeling the demand for M3 in the Euro area", European
Journal of Finance, vol. 8, n. 2, 2002 (with R. Golinelli)
"Iterative and Recursive Estimation in Structural
Nonadaptive Models", Journal of Business and Economic
Statistics, vol. 21, n. 4, pp. 449-509, 2003 (with V. Patilea
and E. Renault).
"Mean-Variance Econometric Analysis of Household
Portfolios", Journal of Applied Econometrics, vol. 25, pp.
481-504, 2009 (with R. Miniaci).
"Efficient Importance Sampling Estimation of Diffusion
Processes" , Computational Statistics and Data Analysis,
vol. 54, n. 11, pp. 2753-2762, 2010 (with E. Rossi)
"Estimation of Objective and Risk-Neutral Distributions Based on
Moments of Integrated Volatility", Journal of Econometrics,
vol. 160, pp. 22 - 32, 2011 (with R. Garcia, M.-A. Lewis and E.
Renault).
"Estimating and Testing Non-Affine Option Pricing Models With a
Large Unbalanced Panel of Options", Econometrics Journal,
forthcoming (with F. Ferriani)
Book contributions
"Modèles à facteurs en finance", in Modélisation ARCH:
Théorie Statistique et applications dans le domaine de la
finance, J.-J. Droesbeke, B. Fichet and P. Tassi eds., chap. 7,
pp. 133-169, 1994 (with E. Renault).
Italian journals
"La mobilità nel mercato del lavoro: un'analisi econometrica con
osservazioni in tempo discreto", Statistica, anno LIII, n.
2, p. 185-206, 1993.
"Estimating Random Variance Option Pricing Models: An Empirical
Analysis", Statistica, anno LIV, n. 2, 1994.
"La composizione del portafoglio delle famiglie italiane :
un modello a fattori per variabili qualitative". Atti del
convegno SADIBA – Banca d'Italia, Perugia, 1999 (with
Renzo Orsi).
"Entry-Exit Timing and Profit Sharing", Rivista
Internazionale di Scienze Sociali, pp. 67 – 88, 1998
(with M. Moretto).
"La domanda di moneta nell'area dell'Euro", Atti del convegno
SADIBA – Banca d'Italia, Perugia, 1999 (with Roberto
Golinelli).
"Inferenza Statistica per il modello CIR multifattoriale :
un'analisi del mercato delle Eurolire", Statistica, LX, n.
1, pp. 133 - 158. 2000.
Italian books
Rischio e rendimento: Teoria finanziaria e applicazioni
econometriche, Il Mulino, Bologna, 2001.
Work in progress
"Maximization by Parts in Extremum Estimation", with Y. Fan and E.
Renault.
"Estimating Jump-Diffusion Models of Stochastic Volatility
Options Pricing Models Using Moments of Integrated Volatility",
with R. Garcia.
Seminars, Conference Presentations and Professional
Activity
Seminars
Ecares, Université Libre de Bruxelles (2007)
IGIER, Bocconi University, Milan (2007)
Dipartimento di Economia, Università di Pavia, Pavia
(2008)
Conference Presentations
ESEM 2006, Vienna
ESEM 2007, Budapest
Referee for
Annals of Operations Research
Applied Mathematical Finance
Computational Statistics and Data Analysis
Decisions in Economics and Finance
Econometrics Journal
European Journal of Finance
Journal of Business and Economic Statistics
Journal of Econometrics
Journal of Financial Econometrics
