Nome Bazzi Marco

Ciclo Ordinamento:

27

Cycle:

XXVII

Qualification

Dottore di ricerca

At the

Department of Statistical Sciences University of Padua

Research Fellows:

no

Contacts (room / phone):
Email:

marcobazzi87@gmail.com

Years of study:

-

Supervisor:

Silvano Bordignon

Co-supervisor:

Siem Jan Koopman

Education:

January 2012 – Today Ph.D. Student in Statistical Sciences (XXVII cycle), Università di Padova, Dipartimento di Scienze Statistiche (University of Padua, Department of Statistical Sciences).

,

October 2009 – October 2011 Master’s Degree (Laurea Magistrale) in Statistical Sciences, Università di Padova Thesis title: “Monte Carlo methods for estimation of stochastic volatility" (in Italian). Supervisor: Prof. Silvano Bordignon Co-supervisors: Dott. Davide Raggi Final mark: 110/110 cum laude

,

October 2006 – July 2009 Bachelor’s Degree (Laurea Triennale) in Statistics, Economics and Finance, Università di Padova (University of Padua) Thesis title: “Value at Risk: a simple forecatsing method" (in Italian). Supervisor: Prof. Silvano Bordignon Final mark: 110/110 cum laude

Research:

 Econometrics, Statistical modeling, Stochastic Process, Time Series Analysis, Economic and Financial Data, Computational Statistics.

Study visits:

January 2013-Present Vrije Universiteit Amsterdam, Netherlands

,

September 2010- February 2011 Visiting student (Erasmus Exchange Program) Katholieke Universitiet Leuven, Belgium

Teaching:

February 2013- April 2013 Course: Advanced Econometrics (Teaching Assistant) Instructor Prof. Siem Jan Koopman Timbergen Institute, Amsterdam

Thesis:

Thesis title Advances in nonlinear model for time series: Methods and Applications

 

Supervisor Prof. Silvano Bordignon  

 

Co-supervisor Prof. Siem Jan Koopman

 

Expected conclusion December 2014

PhD Thesis Title:

Advances in Non linear Models for Time Series: Methods and Applications to Economic and Financial Data

Publications:

Proceedings

Bazzi, M., Tellaroli, P. (2013) Finding proles in time-course gene expressions. Proceedings of the 28th International Workshop on Statistical Modelling , Palermo, Italy, July 8-12.

Working Papers

 Bazzi, M., Blasques, F. A., Koopman, S.J., Lucas, A. (2014) Time-Varying Transition Probabilities Based in Predictive Likelihood Scores in Markov Regime Switching Models

 Bazzi, M., Blasques, F. A., Koopman, S.J., Lucas, A. (2014) Transformed Polynomials for Modeling Conditional Volatility

Bazzi, M., Bordignon, S. (2014) Detecting spikes in energy prices: empirical evidence from novel regime-

switching approach.

Current Position:

Quantitative Analytics, Barclays, London-UK

allegato:
4103