Dr. Imma Valentina Curato
- Financial high frequency econometrics;
- Fourier analysis and stochastic processes;
- Non parametric and parametric statistics;
- Statistical inference for Lévy driven mixed moving average processes;
- Statistical inference for mixed moving average and Ambit fields.
"On the sample autocovariance of a Lèvy driven moving average process when sampled at a renewal sequence" with Dirk Brandes, Journal of Statistical Planning and Inference, Vol. 203 (2019), 20-38.
"Weak dependence and GMM estimation for supOU and mixed moving average processes" with Robert Stelzer, Electronic Journal of Statistics, Vol. 13, 1 (2019), 310-360.
"Estimation of the Stochastic Leverage Effect Using the Fourier Transform Method", Stochastic Processes and their Applications, Vol. 129 (2019) 3207-3238.
"Spot volatility estimation using the Laplace transform" , with Maria Elvira Mancino and Maria Cristina Recchioni, Econometrics and Statistics, Vol. 6 (2018), 22--43.
"High frequency volatility of volatility estimation free from spot volatility estimates", with Maria Elvira Mancino and Simona Sanfelici, Quantitative Finance, Vol. 15, 8 (2015), 1331–1345.
"Measuring the leverage effect in a high frequency trading framework", with Simona Sanfelici, In "Handbook of High Frequency Trading", (2015), G.N. Gregoriou Ed., Elsevier, 425-446.
" Freeze and bid-ask spread in the sovereign bond market ", with Philippe Moutot, submitted.
"Stochastic leverage effect in high frequency data: a Fourier based analysis", with Simona Sanfelici.
Work in Progress
"Preservation of strong mixing and weak dependence under renewal sampling" with Dirk Brandes and Robert Stelzer.
" Central limit theorems for random fields based on weak dependence properties with applications to mixed moving average and Ambit fields", with Robert Stelzer and Bennet Ströh.
- "Non parametric estimation of volatility of volatility and leverage using integral transforms", PhD Thesis, Pisa (2013), supervisor Prof. Maria Elvira Mancino;
- "Mathematical models for Plinian Eruption Columns"(in italian), Master Thesis, Florence (2009), supervisor Prof. Fabio Rosso;
- "Sampling Theorem and Indetermination Principles for the Fourier Transform" (in italian), Bachelor Thesis, Florence (2006), supervisor Prof. Luigi Barletti.
Summer term 2019
Winter term 2018/2019
Summer term 2018
Winter term 2017/2018
Summer term 2017
Winter term 2016/2017
Summer term 2016
Winter term 2015/2016
Summer term 2015
Winter term 2014/2015
- An Introduction to measure theoretic probability
- WiMa Praktikum II
Summer term 2014
- Stochastic Optimization with Applications
Winter term 2013/2014
- Financial Mathematics I
- WiMa-Praktikum I
- 3rd Non Stationary Days, Paris 2019;
- Department of Economics and Management, Florence 2017;
- Department of Economics, Verona 14th March 2017;
- CREATES seminar, Aarhus 1st October 2015;
- Finance and Stochastic Seminar, Imperial College London 10 June 2015;
- Stochastic Analysis Seminar Oxford-Man Institute, Oxford 17 February 2014;
- XX Quantitative Finance Workshop, Zürich 23-25 January 2019, Switzerland;
- 13th German and Probability and Statistics Days, Freiburg 27 February-2 March 2018, Germany;
- XIX Quantitative Finance Workshop, Rome 24-26 January 2018, Italy;
- AMASES, Cagliari 14-16 September 2017 (talk);
- Workshop on Lévy processes and time series in Honor of Peter Brockwell and Ross Maller, Ulm 11-15 September 2017 (talk);
- European Meeting of Statisticians, Helsinki 24-28 July (talk);
- SPA 2015, Oxford 13-17 July 2015 (talk);
- 8th International Conference on Computational and Financial Econometrics, Pisa 6-8 December 2014 (talk);
- 11th German Probabiliy and Statistic Days, Ulm 4-7 March 2014 (talk);
- 5th Annual High Frequency Conference, Hoboken 24-26 October 2013 (talk);
- Dynstoch workshop 2013: Statistical methods for dynamical stochastic models, Copenhagen 17-19 April 2013 (poster);
- The Fifth Florence-Ritsumeikan Workshop on Stochastic Process and Applications to Finance and Risk Management,
Florence 12-13 March 2013 (talk);
- Ecole CEA-EDF Inria-Systemic Risk and Quantitative Risk Management, Rocquencourt (Paris) 15-17 October 2012;
- XXXVI A.M.A.S.E.S. convention, Vieste 13-15 September 2012 (talk);
- Dynstoch workshop 2012: Statistical methods for dynamical stochastic models, Paris 7-9 June 2012 (poster);
- Statistics for Stochastic Processes: Inference, Limit Theorems, Finance and Data Analysis, Paris 12-13 March 2012;
- High Frequency Research Training Workshop, Berlin 4-5 May 2011;
- Statistical Inference and Numerical Analysis for Stochastic Processes and Financial Econometrics, Florence 17-18 March 2011;
- Fourth Italian Congress of Econometrics and Empirical Economics (ICEEE 2011), Pisa 19-21 January 2011;
Please make an appointment via e-mail.