Dr Alessandro Cardinali
Profiles

Dr Alessandro Cardinali

Lecturer in Statistics

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

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 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 interests

Nonparametric statistics;

Time series analysis; 

Econometrics and financial econometrics.

Research groups

  • Centre for Mathematical Sciences (CMS)
  • Statistics


    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. 

    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.

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).

Additional information