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Dr Paola Zerilli is a lecturer in the Department. Her expertise is in applied financial econometrics with a focus on energy derivatives. She has direct experience with financial markets as she worked for a number of years as a trader on Italian Treasury bonds at Credit Agricole Indosuez, Milan branch. She is currently Director of the MSc in Financial Engineering and Scientific Coordinator of the XPRESS project (Support for Public Procurements to facilitate the collaboration between SMEs and public sector for the development, and adoption in renewables in regions) funded under the EU Commission H2020 programme.
The project involves small and medium enterprises and the public sector to encourage innovations in Renewable Energy Sources technologies (RES). It will also develop financial tools to support the use of green technologies in European regions and municipalities. XPRESS is studying Green Public Procurement (GPP) - a system where public sector organisations use their purchasing power to choose environmentally friendly goods and services - and will investigate how this type of procurement could create new markets and provide financial support for RES innovations.
Full details of publications can be found at RePEc
Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility, Baum, C. & Zerilli, P. Z. Jan 2016 Energy economics. 53, p. 175-181
Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications, Chen L., Zerilli P. and Baum C. Energy Economics 2018 https://doi.org/10.1016/j.eneco.2018.03.032
Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data, Baum, C., Zerilli, P. Z. & Chen, L., (https://doi.org/10.1016/j.eneco.2019.104481) Energy Economics 2019.
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