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Born February 9th, 1959. Degree in Economics from the Università di Torino. PhD from the Universit di Pavia, and PhD in Economics from Yale University.
Full Professor of Economics. Dean of the Undergraduate School. Since December 2004 he has been the Vice-Rector for the Undergraduate Department. From 2000 to 2004 he was Director of the Degree in Economics, Statistics and Social Sciences (CLE) and of the undergraduate Degree in Economics and Social Sciences (DES) at Università Bocconi. From July 2002 to 2007 he was a Fellow of the Ente per gli studi monetari, bancari e finanziari Luigi Einaudi in Rome. He is a member of the commission for university and teaching legislation and for PhDs of the Societ Italiana degli Economisti and a member of the Commissione per lassegnazione delle Borse di studio Marco Fanno for studying economics abroad. He is responsible for the report on savings and on Italian small investors rights of the Centro Einaudi-BNL.
Asset pricing, volatility.
"Potential drawbacks of price-based accounting in the insurance sector", Geneva Papers, 2007, 32, 163-177 (con G. Corvino);
"A portfolio based evaluation of affine term structure models", Annals of Operations Research, 2007, Annals of Operations Research, 151, 193-222 (con P. Colla, presentato al convegno Return predictability and portfolio choice, Università Bocconi, 28 ottobre 2002, Quaderno di Ricerca n. 156, (Centro di Economia Monetaria e Finanziaria Paolo Baffi, Università Bocconi);
"Breaks and persistency: macroeconomic causes of stock market volatility", Journal of Econometrics, 2006, 131, 151-177 (con C. Morana);
"Statistical benefits of value-at-risk with long memory", Journal of Risk, 2005, 7, 47-73 (con C. Morana);
"Structural change and long run dependence in volatility of exchange rates: either, neither or both?", Journal of Empirical Finance, 2004 (con Claudio Morana), 11, 629-658;
"Scenario modelling for selective hedging strategies", Journal of Economic Dynamics and Control, 2004 (con A. Laurent e S. Zenios), 28, 955-974;
"Scenario modeling for the management of international bond portfolios", Annals of Operations Research, 1998, 85, 227-247 (con A. Consiglio e S. Zenios);
"Actual and warranted relations between asset prices", Oxford Economic Papers, vol. 45, 1993, 387-402 (con Robert Shiller);
"Stock prices and bond yields: can their comovements be explained in terms of present value models?", Journal of Monetary Economics, vol. 30, 1992, pp. 25-46 (con Robert Shiller);
"U.S. military expenditure and the dollar", Economic Inquiry, vol. 27, ottobre 1989, 1-7 (con Vittorio Grilli).