Dr. Imma Valentina Curato

Research interests

• High frequency financial 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;
• Variational Bayesian Inference.

Published Papers

"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.

Submitted Papers

"Inheritance of strong mixing and weak dependence under renewal sampling" with Dirk Brandes and Robert Stelzer.

"Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields", with Robert Stelzer and Bennet Ströh.

"Stochastic leverage effect in high frequency data: a Fourier based analysis", with Simona Sanfelici.

" Freeze and bid-ask spread in the sovereign bond market ", with Philippe Moutot, submitted.

Thesis

• "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.

Courses

Summer 2020

• Statistical Learning
• Practical Financial Engineering

Winter 2019/2020

• Ökonometrie
• WiMa Praktikum II

Summer term 2019

• Practical Financial Engineering
• Advanced Econometrics

Winter term 2018/2019

• An Introduction to Measure Theoretic Probability
• Statistical Learning

Summer term 2018

• Practical Financial Engineering
• Seminar: Statistical Learning in the Computer Age

Winter term 2017/2018

• An Introduction to Measure Theoretic Probability
• WiMa Praktikum 2

Summer term 2017

• Practical Financial Engineering
• Advanced  Econometrics

Winter term 2016/2017

• Financial Mathematics I Tutorial
• DAV supplement
• WiMa Praktikum II

Summer term 2016

• Seminar: Garch models and Financial Applications
• Practical Financial Engineering

Winter term 2015/2016

• An Introduction to Measure Theoretic Probability

 Summer term 2015

• Multivariate Time Series
• Seminar: Long Memory Processes and Financial Applications

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

Invited Talks

• 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;

Contributed Talks

• 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;

Office hours

Please make an appointment via e-mail.