Pierluigi Vallarino

I am a Postdoctoral Researcher at the Finance Institute of Università della Svizzera Italiana (USI Lugano). My research focuses on financial and time-series econometrics, with an emphasis on:

• Inference in high-dimensional  factor models;

• Estimation of risk premia, stochastic discount factors, and pricing errors in high-dimensional financial panels;

• Non-linear time-series models, including the study of their thoeretical and inferential properties, with applications to financial and macroeconomic density and tail-risk predictions.

I received a PhD in Economics from Aarhus University, complemented by research stays at the University of Cambridge (hosted by Professor Andrew Harvey) and CREST (hosted by Professors Christian Francq and Jean-Michel Zakoian). I hold a BA in Economics from LUISS Guido Carli (cum laude)  and an MSc in Financial Mathematics from ETH Zurich and the University of Zurich (summa cum laude).  Here is a link to my CV.

Contacts
Email: pierluigi.vallarino@usi.ch
Postal address: Via Giuseppe Buffi 13, 6900, Lugano.