Paolo Zaffaroni
Professor of Financial Econometrics at Imperial College London
Biography
Imperial College London
Summary
Paolo is Professor in Financial Econometrics at Imperial College Business School. He has a summa cum laude degree in economic statistics from Roma and holds a PhD in Econometrics from the London School of Economics. He is also teaching at the University of Rome La Sapienza and has previously taught at the London School of Economics and at the University of Cambridge.
Paolo''s main research interests are financial econometrics and econometric theory as well as risk management and asset allocation. His publications include The Annals of Statistics, The Journal of Econometrics, The Journal of Time Series Analysis, The Journal of Empirical Finance, The Journal of Monetary Economics and Econometric Theory. His work includes:
asset pricing and portolio choice with misspecified models
estimation of generalized dynamic factor models
estimation and testing of risk premia
term structure
multivariate volatility models
aggregation
risk management
Paolo acts as quantitative consultant in asset and risk management and as instructor of executive courses for various financial institutions.
Paolo''s curriculum vitae: CV
Here are some recent working papers grouped by topic:
- Asset Pricing and Portfolio Choice
''''Portfolio choice with misspecified models: a foundation for Alpha and Beta Portfolios'', joint with Raman Uppal.Uppal-Zaffaroni-Manuscript-2016-12-14
- Term Structure
"Long memory affine term structure models" joint with A. Golinski, Journal of Econometrics, forthcoming.long memory affine term structure
- Estimation and Testing of Beta-Pricing Models
"Testing Beta-Pricing Models Using Large Cross-Sections " joint with C Robotti and V Raponi.rrz_4January2016
- Generalized Dynamic Factor Models
"Dynamic factor models with infinite-dimensional factor space: representation", joint with M. Forni, M. Hallin, M. Lippi, Journal of Econometrics, forthcoming.FHLZ_JoE
"Dynamic factor models with infinite dimensional factor space: asymptotic analysis", joint with M. Forni, M. Hallin, M. Lippi, third revision requested.FHLZ_estimation_13
"Asymptotic Theory for Spectral Density Estimates of General Multivariate Time Series" joint with WB Wu, Econometric Theory forthcoming.WZ_sde_Ja08Jan2017
"Generalized least squares estimation of panel with common shocks", with M. Avarucci, PDF
Supplementary Material to "Generalized least squares estimation of panel with common shocks", PDF
Videos
Challenges in the Finance Industry - A discussion
MSc Risk Management and Financial Engineering
Courses Taught
Read about executive education
Other experts
Jay Rubin
Jay Rubin is an Adjunct Assistant Professor of Management Communication at NYU Stern. He teaches Organizational Communication and its Social Context to undergraduates and Business Communication to MBA students. In addition, he is an External Lecturer at Copenhagen Business School’s International...
Kenneth Lawson
Ken Lawson has more than twenty years of experience as a career counselor, coach and adviser to professionals and graduate students. Throughout his career he has held key positions and developed expertise in four different industries. At SIPA he is Director of Student Relations in the Office of...
Sandra Waddock
EDUCATION D.B.A., M.B.A., Boston University M.A., Boston College B.A., Northeastern University EXPERTISE/RESEARCH INTERESTS Sandra Waddock is the Galligan Chair of Strategy, Carroll School Scholar of Corporate Responsibility, and Professor of Management in the Carroll School of Management a...
Looking for an expert?
Contact us and we'll find the best option for you.