Pierluigi Vallarino

I am a Postdoctoral Researcher at the Econometric Institute of Erasmus School of Economics. My research focuses on financial econometrics, time series econometrics, and quantitative finance. In particular, I am interested in:

• Estimation and inference in factor models;

• Time-varying parameters models (modelling, estimation and inference);

• Quantitative asset and risk management, and option pricing;

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

Contacts
Email: vallarino@ese.eur.nl
Postal address: Burg. Oudlaan 50; 3062PA Rotterdam; Netherlands.