Dr Alessandro Cardinali
Profiles

Dr Alessandro Cardinali

Lecturer in Statistics

School of Engineering, Computing and Mathematics (Faculty of Science and Engineering)

Biography

Biography

Qualifications

  • PhD in Quantitative Research Methods (University of Perugia) 
  • MSc in Statistics (University of Sheffield)
  • BSc (Laurea) in Economics (University of Perugia)

Professional membership

The Royal Statistical Society

Teaching

Teaching

Teaching interests

  • Computational statistics; 
  • Time series analysis; 
  • Quantitative finance.
Teaching Duties (*indicates modules for which I have been Module Leader)
 
Modules 2015 - 2016:
  • Time Series Analysis and Modelling (MATH3608*);
  • Mathematical Methods II (MATH053);
  • Study and Mathematical Skills for Science (CMN004).
Modules 2016 - 2017:
  • Time Series Analysis and Modelling (MATH3608*);
  • Medical Statistics (MATH3614);
  • Data Mining and Algorithms (MATH057).
Modules 2017 - 2018:
  • Financial Statistics (MATH3623*);
  • Quantitative Financial Modelling (MATH258*);
  • Mathematical Finance in Context (MATH3624);
  • Data Mining and Algorithms (MATH057).

Research

Research

Research interests

  • Nonparametric statistics;
  • Time series analysis; 
  • Econometrics and financial econometrics.

Publications

Publications

Key publications

Key publications are highlighted

Journals

    Note: from September 2007 to September 2013 I had an academic career break, without teaching and research duties.

    Publications during this period were the result of voluntary research activity.

    International Journals:

    A. Cardinali (2008). A Generalized Multiscale Analysis of the Predictive Content of Eurodollar Implied Volatilities. International Journal of Theoretical and Applied Finance, 12:1, 1-18;

    A. Cardinali and G.P.Nason (2010). Costationarity of Locally Stationary Time Series. Journal of Time Series Econometrics, 2(2): Article 1;

    A. Cardinali (2011). Estimating Volatility from ATM Options with Lognormal Stochastic Variance and Long Memory. Applied Financial Economics, 22, 733-748;

    A. Cardinali (2011). Sensitivity Analysis of Mean-Variance Portfolios with Orthogonal GARCH Factors. International Econometrics Review, 4:1, article 1;

    A. Caporali, M. Meloni, A. Miller, A. Cardinali, K. Vierlinger, M. Hofner, C. Noehammer, P. Madeddu, C. Emanueli (2012). Regulation of ST2 by p75NTR neurotrophin receptor in diabetic and ischemic wounds. Arteriosclerosis Thrombosis and Vascular Biology, 32, 149-160;

    A. Cardinali and G.P. Nason (2012). Costationarity of Locally Stationary Time Series using Costat. Journal of Statistical Software, 55:1.

    A. Cardinali and G.P. Nason (2017). Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting. Journal of Time Series Analysis, 38:2, 151-174.

    A. Cardinali and G.P. Nason (2018). Practical Powerful Wavelet Packet Tests for Second Order Stationarity. Applied and Computational Harmonic Analysis, 44:1, 558-583.

Articles
Cardinali A & Nason GP (2017) 'Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting' Journal of Time Series Analysis 38, (2) 151-174 , DOI Open access
Cardinali A & Nason GP (2016) 'Practical powerful wavelet packet tests for second-order stationarity' Applied and Computational Harmonic Analysis , DOI Open access
Cardinali A & Nason G (2013) 'Costationarity of Locally Stationary Time Series Using<b>costat</b>' Journal of Statistical Software 55, (1) , DOI
Caporali A, Meloni M, Miller AM, Vierlinger K, Cardinali A, Spinetti G, Nailor A, Faglia E, Losa S & Gotti A (2012) 'Soluble ST2 Is Regulated by p75 Neurotrophin Receptor and Predicts Mortality in Diabetic Patients With Critical Limb Ischemia' Arteriosclerosis, Thrombosis, and Vascular Biology 32, (12) , DOI
Cardinali A (2012) 'Estimating volatility from ATM options with lognormal stochastic variance and long memory' Applied Financial Economics 22, (9) 733-748 , DOI
Cardinali A & Nason GP (2011) 'Costationarity of Locally Stationary Time Series' Journal of Time Series Econometrics 2, (2) , DOI
CARDINALI A (2009) 'A GENERALIZED MULTISCALE ANALYSIS OF THE PREDICTIVE CONTENT OF EURODOLLAR IMPLIED VOLATILITIES' International Journal of Theoretical and Applied Finance 12, (01) 1-18 , DOI
Chapters
Cardinali A (2020) 'SOME NEW RESULTS ON THE STUDY OF LONG MEMORY IN FINANCIAL VOLATILITY' 3-10
Bartolucci F, Cardinali A & Pennoni F (2018) 'A Generalized Moving Average Convergence/Divergence for Testing Semi-strong Market Efficiency' in Corazza M; Durban M; Grane' A; Perna C; Sibillo M Mathematical and Statistical Methods for Actuarial Sciences and Finance MAF 2018 Springer
Conference Papers

    Referred Proceedings and Volumes:

    A. Cardinali and G.P.Nason (2005). A Statistical Multiscale Approach to Image Segmentation and Fusion. Proceedings Fusion 2005;

    A. Cardinali (2009). Estimating Volatility from ATM Options with Lognormal Stochastic Variance. Proceedings ICEEE 2009;

    A. Cardinali (2014) Local Covariance Estimation using Costationarity. Topics in Nonparametric Statistics (M. Akritas, S. Lahiri. and D. Politis Editors), Springer.

Cardinali A (2014) 'Local Covariance Estimation Using Costationarity' Springer New York 53-60 , DOI Open access
Caporali A, Meloni M, Miller AM, Cardinali A, Vierlinger K, Fortunato O, Spinetti G, Madeddu P & Emanueli C (2012) 'Regulation of soluble st2 receptor by p75 neurotrophin receptor in peripheral ischemia associated with diabetes' S116-S116
Cardinali A & Nason GP (2005) 'A statistical multiscale approach to image segmentation and fusion' 2005 7th International Conference on Information Fusion 7-/-0/20057-/-0/2005IEEE , DOI
Personal

Personal

Reports & invited lectures

Invited Talks and Seminars

  • A. Cardinali (2012). Topics on Costationarity of Locally Stationary Time Series; Nuffield Econometric/INET Seminar, University of Oxford (UK);
  • A. Cardinali (2012). Local Covariance Estimation using Costationarity First Conference of the International Society of Nonparametric Statistics, Chalkidiki (GR).