Davide Delle Monache Addresses University of Rome. Tor Vergata Email davide.delle.monache@uniroma2.it Dipartimento S.E.F. ME.Q Via Columbia, 2 Tel + 39 06 7259 5941(office) I-00133 + 39 338 2561 816 (mobile) Rome, Italy + 39 06 5757363 (home) Current and past Position 2010-12 Dipartimento S.E.F. ME.Q, University of Roma Tor-Vergata. Carlo Giannini PostDoctoral Fellow awaerded by the Italian Econometrics Society (http://www.cide.info/?p=110). 08-11/2011 Visiting fellow at University of Sydney. Business School. Discipline of Operations management and Econometrics Education 2010 Ph.D. in Economics. University of Cambridge. UK. Supervisor: Andrew Harvey. Committee: George Kapetanios (Queen Mary) Richard Smith (Cambridge) 2004 M.Sc. in Econometrics and Economics. University of York. UK 2002 Degree in Statistics and Economics. University of Bologna. IT Research interests Time Series models, State Space methods, Signal extraction, Forecasting, Learning Expectations models, DSGE models, Business Cycles.
Publications Specification and misspecification of unobserved components models. Economic Time Series: Modeling and Seasonality, 2011. Book in honor of David Findley. Co-edited by William R. Bell, Scott H. Holan and Tucker S. McElroy. Chapman and Hall (with, A.C. Harvey) Computing the Mean Square error of Unobserved Components Extracted by Misspecified Time Series Models. Journal of Economic, Dynamics & Control. 2009, (33), 283 295. (with, A.C. Harvey) A Structural Time series approach to modeling multiple and resurgent meat scares in Italy. Applied Economics. 2006, (38), 1677-1688. (with, M. Mazzocchi and A.E. Lobb) Research in progress On the effect of misspecification in models for extracting trends and cycles (with, Andrew Harvey) Estimating and Testing DSGE model under Learning Expectation dynamics (with, Luca Fanelli) Estimating small-scale DSGE model within Unobserved Components model framework. Forecasting and signal extraction of long memory process by ARMA models. Robust and sparse estimation for ARMA models by density power divergence minimization (with Davide Ferrari) Unpublished manuscripts Evaluation of public expenditure: an econometric analysis for the Italian regions. Doctoral thesis. 2006. University of Bologna State Space models, Kalman filter and structural instability in the UK consumption function. 2004. MSc thesis. University of York Policy note Econometric Model for short term forecast of the regional Italian GDP. Appeared in Documenti Programmatici. Ruolo, Strutture, Processi e Strumenti del Mistero dell Economia e Finanza. Dipartimento del Tesoro. March 2006, p.121 (with L. Gutierrez and G. Pellegrini)
Teaching and related experiences 2012 Lecturer (Postgraduate). Time Series Methods for Business Cycle Analysis. University of Rome Tor Vergata. 2009-10 T.A. Summer Schools in Time Series Modelling and Analysis. Queen Mary University, London. (Lecturer Prof A.C. Harvey) 2006-09 T.A. Econometrics (Postgraduate). Faculty of Economics. University of Cambridge Supervisor (Undergraduate): Econometrics, Statistics, Mathematics. University of Cambridge. Several Colleges R.A. University of Cambridge. (Prof A.C. Harvey) 2005-06 R.A. Project for the Italian Minister of Finance. Italy (Prof. G. Pellegrini) 2004-5 Tutor (Postgraduate). University of Bologna (Prof. C. Filippucci) 2002-03 R. A. University of Bologna (Prof. R. Fanfani) Conferences and Seminars 2011 4rd International Conference of the ERCIM and CFE. London, UK Econometric Seminar. University of Sydney, Business School. Sydney, AUS Evolutionary Computation and Time Series. Villa Mondragone. Rome, IT Econometric Seminar at European University Institute. Fiesole, IT Workshop on Flash Indicators. International Institute of Forecasters. Verbier, CH 4th Italian Congress of Econometrics and Empirical Economics. Pisa, IT 2010 3rd International Conference of the ERCIM and CFE. London, UK 2nd C. Giannini Ph.D. Workshop. Macroeconometrics and time series econometrics: theory and applications. EIEF. Rome, IT Carlo Faini Seminar. CEIS. Università of Rome Tor Vergata. Rome, IT
2009 Job market Seminar, Vrije Universiteit. Amsterdam, NL Cofin2006. Final conference (June). University of Bologna, IT. (Discussant of Stock Prices and Traded Quantities: Stylized Facts from Ultra High Frequency Data by R. Mosconi) 2008 Learning and Macroeconomic Policy Conference. Cambridge, UK. (Discussant of Inference in models with adaptive learning by Mavroedis, Chevillon and Massmann) European Doctoral Group in Economics Conference, University of Copenhagen, DK. (Discussant of Hierarchical hidden Markov structure for dynamic correlation, by Charlot. Extracting market expectations on Macroeconomics Announcements from Bond Prices by Overby) 2007 European Doctoral Group in Economics Conference, University of Cambridge, UK. (Discussant of Asset float and stock prices: evidences from Chinese stock market by Caccavaio) 2006 Final meeting for the project: Econometric Model for short term forecast of the regional Italian GDP. UVAL. Italian Mister of Finance. Rome, IT Summer Schools and Workshop 2011 7th Workshop of the International Institute of Forecasters on Flash Indicators. Verbier, CH. 2010 10th Euro Area Business Cycle Network Training School: Learning and Expectations Formation. Bundesbank Hachenburg. Germany. Lecturers: Klaus Adam and Albert Marcet 2008 Topic in Dynamics Macroeconomics, London Business School. Lecturers: Albert Marcet and Elisa Faraglia. Summer School in Computational Economics (MatLab programming). Lecturer: Ulrich Woitek (Zurich University) Languages/Computer Skills Italian (native), English and French (fluent), Spanish (basic) MS Office, SWP, LaTeX, E-views, LIMDEP, Ox-Metrics, Matlab
Fellowships and Awards 2010-12 Carlo Giannini fellowship in Econometrics (Italian Econometric Association) 2008-09 Tudor scholarship. University of Cambridge 2005-08 ESRC scholarship. British Research Council 2005-06 Marco Polo Grant. University of Bologna Scholarship for studying abroad. University of Bologna 2002-05 Doctorate scholarship. University of Bologna References Prof. Andrew C. HARVEY Prof. Tommaso PROIETTI Faculty of Economics Business School University of Cambridge. The University of Sydney Sidgwick Avenue H04 - Merewether Building, Cambridge, CB3 9DD. UK NSW 2006 Australia +44(0)1223-335228 +61 2 9351 6584 andrew.harvey@econ.cam.ac.uk t.proietti@econ.usyd.edu.au Prof. Paolo PARUOLO Prof. Franco PERACCHI Department of Economics Department S.E.F. ME.Q Università dell'ibsubria Università di Roma Tor Vergata Via Monte Generoso 71 Via Columbia 2, I-21100 Varese, Italy I-00133 Rome, Italy + 39 0332 39 5541 + 39 06 7259 5934 paolo.paruolo@uninsubria.it franco.peracchi@uniroma2.it