Interests

Textual Analysis and Natural Language Processing (NLP)

  • Applying text-based methods to extract meaningful economic signals and indices:
    • ESG and Sustainability Indicators: Developing novel Environmental, Social, and Governance (ESG) metrics from textual data for evaluation and risk assessment (Core of PhD Thesis).
    • Consistency Index of Authorship: Designing algorithms to detect and analyze the mindset embedded in economics textbooks, with applications to macroeconomic research (Work in progress).
    • Dictionary-Based Methods: Creating and refining categorized text-based dictionaries to capture central ideas, particularly in multilingual economic texts (PRIN-LEXECON project).
    • Sentiment Analysis and Topic Modeling: Leveraging sentiment extraction and topic modeling to support risk assessment and economic forecasting.
    • Data Scraping: Collecting and structuring unstructured data for analysis and model development.

Econometrics and Time Series Analysis

  • Capturing dynamics, risk, and volatility in economic and financial data.
    • Macroeconomic Time Series: Modeling and forecasting macroeconomic variables, with attention to external drivers such as policy changes and commodity price fluctuations (Final chapter of PhD thesis).
    • Volatility Analysis: Specializing in long-term volatility modeling using mixed-frequency data and advanced GARCH-type approaches (e.g., GARCH-MIDAS).
    • Risk Management: Applying econometric methods to measure financial risk, including Value at Risk (VaR) and Expected Shortfall (ES).
    • Time-Frequency Analysis: Employing Continuous Wavelet techniques (e.g., in combination with the Ornstein–Uhlenbeck process) to study time series across multiple scales.

Programming and Statistical Modeling

  • Leveraging specialized software for data analysis, econometric modeling, and visualization:
    • Python: Skilled in natural language processing (NLP), web scraping, and general data analysis.
    • R: Extensive experience in econometrics, time series modeling, and risk management (VaR, ES, GARCH).
    • MATLAB: Applied to specialized time-frequency analysis of economic and financial time series (Wavelets).
    • LaTeX and Microsoft Office: Proficient in academic writing, technical documentation, and professional presentation.