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Nom
RONCHETTI
Prénom
Diego
Nom
RONCHETTI
Prénom
Diego
-
TitreAssistant Professor
- Head of Msc Financial Markets & Sustainable Investments
- Assistant Professor
photo_cv
Department
Département
Finance
Teaching areas
Domaine d’enseignement
Asset Pricing
Portfolio Choice
Economics - Mathematical Methods
Econometrics
Research areas
Domaine de recherche
Asset Pricing
Portfolio Choice
Econometrics
Skills
Quantitative finance
Econometrics
Financial assets
Portfolio choice
Derivatives
Finance
Economics
Biography
Biographie
Diego Ronchetti works in finance, developing and applying econometric techniques to price assets, validate quantitative models, and compare them. He has introduced general techniques that avoid strict and possibly misleading assumptions on the price dynamics and relationships between financial and economic variables. In articles that appeared in the Journal of Econometrics and the Journal of Financial Econometrics, he has characterized such techniques and shown their use in the context of quantitative equity and American-style derivative pricing.
Section CV
Formation
PhD in Economics
University of Lugano, Lugano
(2011)
Master of Science
University of Modena and Reggio Emilia, Modène
(2005)
Bachelor of Science
University of Modena and Reggio Emilia, Modène
(2003)
Experience
Head of Msc Financial Markets & Sustainable Investments
Audencia Business School, Nantes, France
Since 2024
Assistant Professor
Rijksuniversiteit Groningen, Groningen, Netherlands (The)
Since 2013
Visiting out
Institute of Economics, Geography and Demography, Spanish National Research CouncilInstitute of Economics, Geography and Demography, Spanish National Research Council, Spain : Visit to the Institute of Economics, Geography and Demography, Spanish National Research Council
Publications
Published
GAGLIARDINI, P., RONCHETTI, D. (2020). Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models. Comparing Fixed- versus Vanishing-Bandwidth Estimators of Pseudo-True SDFs. Journal of Financial Econometrics, 18 (4), 736–775.
RONCHETTI, D., GAGLIARDINI, P. (2020). Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance. Journal of Financial Econometrics, 18 (2), 333-394.
GAGLIARDINI, P., RONCHETTI, D. (2013). Semi-Parametric Estimation of American Option Prices. Journal of Econometrics, 173 (1), 57-82.
Professional conferences
RONCHETTI, D. (2024). Option-Based Volatility Timing.
RONCHETTI, D. (2023). 2023 Asian Meeting of the Econometric Society.
Scientific activities
Reviewer for an academic journal
Journal of Futures Markets,
2023
Italian Economic Journal,
2020
Financial Innovation,
2020
Journal of Business & Economic Statistics,
2019
Quantitative Finance,
2018
Journal of Applied Econometrics,
2018
Journal of Financial Econometrics,
2017
Awards and honors
Fellowship for Innovation of Teaching, 2017
Most promising young European researchers award, 2012
Swiss National Science Foundation fellowship for prospective researcher, 2012
Travel grant, 2012
Swiss National Science Foundation fellowship for prospective researcher, 2011
European Commission pre-doctoral scholarship, 2006
Radboud University Nijmegen Master scholarship, 2005
European Commission Master scholarship, 2004
Doctoral supervision
Since 2015, J. VAN ESSEN : ML and GMM with concentrated instruments in the static panel data model, University of Groningen, Netherlands (The)
Since 2016, D. VULLINGS : The design and pricing of hybrid debt, Rijksuniversiteit Groningen, Netherlands (The)
Since 2019, B. CLAASSEN : Essays in Macro-Finance (Preliminary title), Rijksuniversiteit Groningen, Netherlands (The)
Since 2023, Y. HE : Executive Legal Backgrounds and CSR, Audencia Business School, France
Since 2023, S. ZHOU : DBA at Audencia Business School & Western Business School of Southwest University of Finance and Economics, Audencia Business School, France