Marco Avarucci

Marco Avarucci is a Lecturer in Economics at the University of Glasgow's Adam Smith Business School. He joined in January 2013 and holds a PhD in Econometrics and Empirical Economics from Tor Vergata University of Rome. His research focuses on long memory processes, nonstationarity, cointegration, volatility, and factor models. He has published in top journals like the Journal of the American Statistical Association and Journal of Econometrics.

Education:

• PhD in Econometrics and Empirical Economics, Tor Vergata University of Rome
• Postdoctoral Researcher at Maastricht University and LUISS in Rome

Research Interests:

• Long memory processes and their applications in econometric modeling
• Analysis of nonstationary and cointegrated systems
• Volatility modeling in financial time series
• Factor models for large datasets

Publications: His recent work includes robust estimation techniques for large panels and factor structures, as well as methodological advancements in cointegration testing and ARCH models.

Grants:

• MiUR-PRIN 2006 Project on public debt management models (as researcher)

Teaching: He teaches courses such as Basic Econometrics, Modelling and Forecasting Financial Markets, and Research Methods for Mathematical Statistics at the MSc and MRes levels.

Supervision: Open to supervising PhD projects in theoretical and applied econometrics, including a completed project with student Buchun Wang on asset pricing models using LSTM networks.