Foto del docente

Sergio Pastorello

Professor

Department of Economics

Academic discipline: SECS-P/05 Econometrics

Director of First Cycle Degree of Economics and Finance

Curriculum vitae

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
 

 

 

 

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