Research

Main research interests:

Time series econometrics (non-linearity, structural breaks, regime-switching)

Financial econometrics (volatility, risk measurement)

Dynamic latent variable models

Prediction markets and sports forecasting

Climate change econometrics and green finance

Publications:

Papers:

- “Blind to carbon risk? An analysis of stock market’s reaction to the Paris Agreement” (2020), Ecological Economics, forthcoming (with I. Monasterolo) [link]

- “Efficiency of online football betting markets” (2019), International Journal of Forecasting, 35, pp. 712-721, DOI: 10.1016/j.ijforecast.2018.07.008 (with G. Angelini) [link]

- “Co-integration rank determination in partial systems using information criteria” (2018), Oxford Bulletin of Economics and Statistics, 80(1), pp. 65-89, DOI: 10.1111/obes.12195 (with G. Cavaliere, L. Fanelli) [link]

- “Determining the cointegration rank in heteroskedastic VAR models of unknown order” (2018), Econometric Theory, 34(2), pp. 349-382, DOI: 10.1017/S0266466616000335 (with G. Cavaliere, A. Rahbek, A.M.R. Taylor) [link]

- “PARX model for football matches predictions” (2017), Journal of Forecasting, 36(7), pp. 795-807, DOI: 10.1002/for.2471 (with G. Angelini) [link]

- “A Markov-switching regression model with non-Gaussian innovations: estimation and testing” (2017), Studies in Nonlinear Dynamics & Econometrics, 21(2), pp. 1-22, DOI: 10.1515/snde-2015-0118 (with C. Viroli) [link]

- “Disequilibria and contagion in financial markets: Evidence from a new test” (2015), Journal of Applied Economics, 18(2), pp. 247-266, DOI: 10.1016/S1514-0326(15)30011-8 (with A. Gardini) [link]

- “A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models” (2015), Oxford Bulletin of Economics and Statistics, 77, pp. 106-128, DOI: 10.1111/obes.12051 (with G. Cavaliere, A. Rahbek, A.M.R. Taylor) [link]

- “A dynamic latent model for poverty measurement” (2015), Communications in Statistics, Theory and Methods, 44, pp. 5037-5048, DOI: 10.1080/03610926.2013.810267 (with M. Costa) [link]

- “Mining categorical sequences from data using a hybrid clustering method” (2014), European Journal of Operational Research, 234, pp. 720-730, DOI: 10.1016/j.ejor.2013.11.002 (with J.G. Dias) [link]

- “A dynamic analysis of stock markets using a hidden Markov model” (2013), Journal of Applied Statistics, 40, pp. 1682-1700, DOI:10.1080/02664763.2013.793302 (with L.J. Paas) [link]

- “Latent class models for financial data analysis: Some statistical developments” (2013), Statistical Methods and Applications, 22, pp. 227-242, DOI: 10.1007/s10260-012-0214-3, [link]

- “A statistical procedure for testing financial contagion” (2012), Statistica, 2012, 72, pp. 37-61 (with A. Gardini)

- “A permutation based procedure for classification assessment” (2012), Communications in Statistics, Theory and Methods, 41, pp. 3126-3137 (with M. Costa)

- “The multidimensional measurement of poverty: A fuzzy set approach” (2008), Statistica, 2008, 68, pp. 303-319 (with M. Costa)

Papers in conference proceedings:

- G. Cavaliere, M. Costa, L. De Angelis (2014). “Investigating stock market behavior using a multivariate Markov-switching approach”, in M. Carpita, E. Brentari, E.M. Qannari (eds.), Advances in Latent Variables: Methods, Models and Applications, Studies in Theoretical and Applied Statistics, Springer-Verlag, pp. 185-196.

- G. Cavaliere, M. Costa, L. De Angelis (2013). “Investigating stock market behavior using a multivariate Markov-switching approach”, in E. Brentari, M. Carpita (eds.), Advances in Latent Variables, Vita e Pensiero, pp. 1-6, [link]

- L. De Angelis, M. Costa, L.J. Paas (2012). “Interdependence and contagion in international stock markets: a latent Markov model approach”, in M. Sibillo, C. Perna (eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer-Verlag, pp. 131-138.

- M. Costa, L. De Angelis (2011). “A dynamic analysis of stock markets through multivariate latent Markov models”, in S. Ingrassia R. Rocci, M. Vichi (eds.), New Perspectives in Statistical Modeling and Data Analysis, Studies in Classification, Data Analysis, and Knowledge Organization, Springer-Verlag, pp. 311-318.

- M. Costa, L. De Angelis (2011). “Sector classification in stock markets: A latent class approach”, in B. Fichet et al. (eds.), Classification and Multivariate Analysis for Complex Data Structures, Studies in Classification, Data Analysis, and Knowledge Organization, Springer-Verlag, pp. 229-236.

- M. Costa, L. De Angelis (2010). “Sector price indexes in financial markets: Methodological issues”, in L. Biggeri, G. Ferrari (eds.), Price Indexes in Time and Space, Springer-Verlag, pp. 249-264.

Working papers:

    • 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”.
    • G. Angelini, L. De Angelis, C. Singleton. “Informational efficiency and price reactions in exchange betting markets”.
    • S. Battiston, G. Cavaliere, L. De Angelis, I. Monasterolo. “Rationally green? A model of early movers’ portfolio performance in the green market”.

Software:

- Matlab code for i.i.d. and wild bootstrap co-integration tests used in G. Cavaliere, L. De Angelis, A. Rahbek, A.M.R. Taylor (2015), “A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models”, Oxford Bulletin of Economics and Statistics, 77, pp. 106-128.

- Matlab code for lag length and co-integration rank determination used in G. Cavaliere, L. De Angelis, A. Rahbek, A.M.R. Taylor (2014), “Determining the co-integration rank in heteroskedastic VAR models of unknown order”.