About me

I graduated in Physics at the Polytechnical School in Zurich (ETHZ) in 1998 and received a PhD in Economics at the Università della Svizzera italiana (USI) in Lugano in 2003 for a thesis in Econometrics. I have been a visiting fellow at the Laboratoire de Finance-Assurance of CREST (Paris), and assistant professor at the University of St. Gallen, where I am a permanent Guest Professor at the School of Economics and Political science. Since 2012 I'm full professor of Econometrics at USI, where I served as Dean of the Faculty of Economics for the term 2015-2019. In October 2019 I have been appointed Vice-Rector for Research at USI. I'm a Fellow of the Society for Financial Econometrics (SoFiE) and an Associate Editor for the Econometrics Journal and the Journal of Financial Econometrics.  

My research interests are in Econometrics and Financial Econometrics. Broadly speaking, my work is devoted to mathematical modeling of economic and financial problems - such as understanding asset prices and measuring risks in financial markets - and developing novel statistical methodologies for bringing models to data. My current research focuses on large-dimensional factor models for inference on equity risk premia using single stocks returns, the Generalized Method of Moments (GMM) and its use for statistical inference in asset pricing, and state space models for time series analysis. In a recent research project on "New Econometric Methods for Big Data" I deploy machine learning for inference in time-varying factor models.

Expertize

Keywords (academia): Factor models, panel data, GMM estimation, data-intensive problems

Keywords (industry): Risk management, asset allocation