Inaugral Lecture
In this talk Professor Zaffaroni will address many different topics which have interested him over the years in financial econometrics and econometric theory, including long memory, stochastic volatility, factor models and aggregation in a ‘non-technical’ way. He will discuss their implications for portfolio decisions, asset pricing, risk management and macroeconomics.
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. 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.