RESUME

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Latest update: 10/2009

Education

  • New York University , New York, NY. Ph.D. in Economics, September 2006;
  • Università commerciale L. Bocconi , Milan, Italy.
    • M.A. in Economics, July 2001;
    • B.A. in Economics, October 2000;
  • Univeristy of California San Diego , San Diego, CA;
    • Visiting Scholar: Spring 1999, Summers 2003 and 2004.

Work experience

  • Assistant Professor of Finance , University of North Carolina at Chapel Hill, Kenan-Flagler Business School (July 2006 - present)

Visiting Positions

  • Assistant Professor of Finance, New York University, Leonard Stern School of Business, Department of Finance (Sep/07 – May/08)
  • Visiting Scholar, Federal Reserve Bank of Minneapolis (August 2007)

Publications in peer refereed journals

  1. `Testing and valuing dynamic correlations for asset allocation', with R.F. Engle, Journal of Business and Economic Statistics, Vol. 24(2), April 2006, pp. 238-253.
  2. `Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson and Solow and Lucas', with T. Cogley and T. Sargent, Journal of Money, Credit, and Banking, Vol. 39(2), February 2007, pp.67-100.
  3. `Robusteness and US Monetary Policy Experimentation’, with T.Cogley, L.P.Hansen, and T.J.Sargent, Journal of Money, Credit, and Banking, Vol. 40(8), December 2008, pp. 1599-1623.

Other publications

  1. `Term structure of risk, the role of Known and Unknown Risks and Non-stationary Distributions.', with R.F. Engle, April 2009. Forthcoming in The Known, the Unknown and the Unknowable in Financial Risk Management, edited by Francis X. Diebold.

Working papers

  1. ‘The Short- and Long-Run Benefits of Financial Integration’, with M.M. Croce, July 2009, invited at the American Economic Review P&P.
  2. `International Asset Pricing with Risk Sensitive Rare Events’, with M.M. Croce, October 2009.
  3. ‘Risk sensitive allocations with multiple goods. Existence, survivorship, and dynamics’, with M.M. Croce, February 2009.
  4. `Six anomalies looking for a model. A consumption based explanation of international finance puzzles.', January 2009.
  5. `A component model for dynamic correlations', with R.F. Engle and E. Ghysels, January 2009. (under revision)
  6. `Risks for the long run and the real exchange rate', with M.M. Croce, September 2008 (under revision)
  7. `Risk-sharing for the long-run.’, with M.M.Croce, April 2008.
  8. `On the existence of the exchange rate when agents have complete home bias and non-time separable preferences', Nov '06.

Work in progress

  1. ‘MIDAS meets Long-Run Risk. A high-frequency identification of low-frequency risk’, with M.M. Croce and Eric Ghysels.
  2. ‘News and volatility’, with J. Engelberg.

Referee

American Economic Review (2), Journal of Finance, Journal of Financial Econometrics, Journal of Monetary Economics (2), Journal of Political Economy (2), Economic Letters, Management Science, Quantitative Finance, B.E. Journal of Macroeconomics, Studies in Nonlinear Dynamics & Econometrics, Journal of International Economics (3), Journal of Economic Dynamics and Control, Review of Financial Studies.

Grants, honors, and awards

  • Morgan Stanley, Equity Market Microstructure Research Grant (with Eric Ghysels), 2007.
  • McCracken Fellowship (September 2001 – April 2006).
  • Fondazione Invernizzi Fellowship (September 2000 - June 2001).
  • B.A. in Economics summa cum laude.
  • Provost's honors at UCSD.

Invited seminars and conference presentations

  • 2009-2010, New York University (Economics), Carnegie Mellon University (Finance), Annual Meeting of the American Economic Association (Atlanta, GA).
  • 2008-2009, Italian Congress of Econometrics and Empirical Economics (Ancona, Italy, January 2009), Summer Meeting of the Econometric Society (Boston, MA, June 2009), Infiniti Conference on International Finance (Trinity College, Dublin, Ireland, June 2009), Annual Meeting of the Society for Economic Dynamics (Istanbul, Turkey, July 2009).
  • 2007-2008, UNC (Finance), NYU (Finance), Society for Economic Dynamics, annual meeting (Cambridge, MA, July 2008), European Economic Association, annual meeting (Milan, Italy, August 2008).
  • 2006-2007, Duke (Finance), University of Minnesota (Economics), North American Meeting of the Econometric Society (Durham, NC, June 2007), International Symposium on Financial Engineering and Risk Management (Beijing, June 2007).
  • 2005-2006, NYU (Economics), Washington University in St. Louis (Economics), Columbia University (Economics), Federal Reserve Bank of New York, Fordham University (Business school), University of Rochester (Simon School), Federal Reserve Board, Federal Reserve Bank of St. Louis, Universitat Pompeu Fabra and CREI, Washington University (Olin School of Business), University of North Carolina at Chapel Hill (Kenan-Flagler School of Business), UCSD (Economics), Bank of Canada, SUNY Albany (Economics), UCLA (Economics), NBER Asset Pricing Program (Chicago, March 2006), Conference on Quantitative Evidence on Price Determination, hosted jointly by the Federal Reserve Board of Governors and the Journal of Money Credit and Banking (Washington D.C., USA. September 2005), University of Chicago - New York University joint workshop (New York, USA. September 2005).
  • 2004-2005, Econometric Society World Congress (London, UK. August 2005), Society for Economic Dynamics Annual Meeting (Budapest, Hungary. June 2005), New York University -Bocconi joint workshop (La Pietra, Firenze, Italy. June 2005), The Seventh Annual Financial Econometrics Conference (Waterloo, Canada. March 2005), American Economic Association Annual Meeting (Philadelphia, USA. January 2005), Conference on Dynamic Stochastic General Equilibrium Models, (IMF, Washington D.C., April 2004).
  • 2003-2004, NYU (Finance).

Discussions

  • ‘Common Risk Factors in Currency Markets’, by H. Lustig, N. Roussanov, and A. Verdelhan. American Finance Association, Atlanta, January 2010 (scheduled).
  • ‘Deep Habits and the Cross Section of Expected Returns’, by Jules H. van Binsbergen. American Finance Association, San Francisco, January 2009.
  • ‘Housing as a Measure for Long-Run Risk in Asset Pricing’, by J. Fillat. American Finance Association, San Francisco, January 2009.
  • ‘Learning, Long-Run Risks and Asset Price Jumps’, by R. Bansal and Ivan Shaliastovich. American Economic Association, New Orleans, January 2008.
  • ‘Long Run Asset Allocation’, by R. Bansal and D. Kiku. Western Finance Association, Big Sky, June 2007.

Teaching experience

  • `Investments’, undergraduate, UNC at Chapel Hill, Kenan-Flagler Business School
    • Spring 2007, 2009, 2010.
  • `Investments’, MBA, UNC at Chapel Hill, Kenan-Flagler Business School
    • Spring 2009, 2010.
  • `Foundations of Financial Markets’, undergraduate, NYU, Stern School of Business
    • Fall 2007.