Time Series and Statistical Learning
Dr Kostas Kalogeropoulos, Professor Matteo Barigozzi
Gianluca's research focuses on Time Series analysis in big data environments, where factor analysis is the main approach to tackle dimension reduction. Last developed models deal with estimation of Dynamic Factor Model with Conditional Heteroskedasticity via Kalman Filter and Expectation Conditional Maximization Either (ECME) algorithm. Lately, the area of research has been expanded to Bayesian analysis of Time Series with application in the Gaussian Process domain.
Prior to his PhD in LSE, Gianluca earned a BSc in Economics & Finance and MSc in Quantitative Finance (Summa cum laude) from Bocconi University, Milan. Also, he worked one year in UBS Asset Management, before joining the Doctoral Program.