PHD SCHOOL IN SOCIAL SCIENCES AND ECONOMICS

email: edoardo.otranto@uniroma1.it
phone:

EDUCATION
Phd in Statistics, Università di Bari (1997)
Laurea Magna cum laude in Economics (curriculum in Statistics), Università di Firenze (1993)

PRESENT AND PAST POSITIONS
Dec 2024-Present: Full Professor of Statistics (Sapienza Università di Roma)
Mar 2011-Dec 2024: Full Professor of Statistics (Università di Messina)
Jul 2006-Mar 2011: Associate Professor of Statistics (Università di Sassari)
Dec 2002-Jul 2006: Lecturer of Statistics (Università di Sassari)
Sep 1998-Dec 2002: Researcher in Statistics (Istat)

MAIN ASSIGNMENTS
Coordinator of:
working group on Seasonal Adjustment (Istat, 2000-2002)
Bachelor’s degree in “Turismo Culturale e DAMS” (Università di Messina, Jan 2012-Sept 2015)
Section of Statistics and Mathematics of the Dipartimento di Economia, Università di Messina (Jun 2016-present)
International PhD in “Economics, Management and Statistics” of Università di Messina (Dec 2016-Sep 2022)
Member of the organizing committee of the master's degree course “Metodi quantitative per l’economia e la finanza 2024-25”
Director of the Statistical Centre of Università di Messina (Oct 2013-Dec 2016)
Referee for VQR 2011-2014
Member of the Commission (in execution of jurisdictional provisions) for the attribution of the National Scientific Qualification for the functions of full and associate professor

RESEARCH INTEREST
Time series analysis
Space-time series
Markov Switching models
Model-based clustering
Volatility of financial markets
Comovements and correlations in financial markets
Large covariance matrices
Component models
Forecasting

PARTICIPATION TO NATIONAL/INTERNATIONAL PROJECTS
CNR:
1997: “Metodi non lineari e di simulazione in economia e finanza”; Università di Firenze
1998-1999: “Analisi, simulazioni e previsioni in economia e finanza: metodi non lineari” Università di Firenze
PRIN:
2001: “Modelli Stocastici e Metodi di Simulazione per l'Analisi di Dati Dipendenti”; Unit of Firenze
2003: “Specificazione, stima e verifica di modelli con variabili latenti per lo studio e la previsione di serie storiche economiche e finanziarie”; Unit of Firenze
2004: “Modelli econometrici per lo studio dei meccanismi di trasmissione di notizie e per l'analisi delle interdipendenze dei mercati finanziari europei nel contesto dell'allargamento dell'Unione”; Unit of Firenze
2006: “Il costo economico dei reati: stima delle componenti specifiche e degli effetti distorsivi generali”; Unit of Sassari.
2008: “Decisioni d'investimento e di portafoglio, imperfezioni finanziarie e performance macroeconomica”; Unit of Sassari.
2022 “Methodological and computational issues in large-scale time series models for economics and finance”, Principal Investigator, Unit of Messina
International Research Projects
EC-FP5 funded-project 2000-2002: “Busy-Tools and Practices for Business Cycle Analysis”; European project. Partners: Istat, INSEE, INE, JRC, GREQAM, CISI, CREST. Unit of Istat (Roma).
2011-12: “Asymmetric information, volatility spillover and global Hedging”, King Fahd University of Petroleum and Minerals, Dharhan (Saudi Arabia)
2023- “Modelagem Econométrica de Problemas Complexos: Séries Temporais Funcionais, Modelos Não Lineares, Aprendizado Estatístico e Modelos de Alta Dimensão”, Coordinator Flávio Augusto Ziegelmann (Brazil)
Research & Mobility 2015 “Analysis of Financial Markets: realized measures, the cross-section of equity returns, and mutual fund returns, volatility clustering and correlation determinants”; Università di Messina, Université catholique de Louvain, Imperial College Business School of London
Partenariato esteso 2024:
“ForVARD – Forecasting Volatility And Risk Dynamics”; Scientific Manager, Project financed within spoke 4 “Sustainable Finance”, with Ca’ Foscari University of Venice as leader, of the “GRINS – Growing Resilient, INclusive and Sustainable” project
“ESCAPE – Economic and Social Consequences of Altered Planet Environment”; Member of the scientific staff, Project financed within spoke 8 “Social Sustainability”, with University of Catania as leader, of the “GRINS – Growing Resilient, INclusive and Sustainable” project

EDITORIAL SERVICES
Referee for several internationaljournalsr series).
Referee for books of Cambridge University Press.
Referee for research projects of the National Science Center, Poland.
Member of the Topic Board of “Journal of Risk and Financial Management”
Associate Editor of Springer journal ”Statistical Methods & Applications” (Applications section) for the period 1 January 2024 –
31 December 2026

VISITING POSITIONS
Universidad Privada de Santa Cruz de la Sierra, March-April 2009
Universitat de Valencia, May-June 2010
Bernoulli Center (CIB) of Losanne, May 2017
Universidade de Aveiro (Portugal), Erasmus+ Project, May 2024

Full CV available at https://sites.google.com/site/edoardootranto/home