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I am a Ph.D candidate in Econometrics at the Vrije Universiteit Amsterdam and Tinbergen Institute.

I am on the 2024/2025 academic job market. 

My research is focused on econometric theory and time series analysis, with the goal of developing econometric and machine learning methods to model and forecast macroeconomic, financial and climate risk. My work has a specific emphasis on time series models in the context of heavy tailed processes and extreme events. 

My job market paper introduces a novel dynamic factor model designed to capture common locally explosive episodes, also known as common bubbles, within large-dimensional, potentially non-stationary time series. The model leverages a lower-dimensional set of factors exhibiting locally explosive behavior to identify common extreme events. Modeling these explosive behaviors allows to predict systemic risk and test for the emergence of common bubbles.

My supervisors are Francisco Blasques (f.blasques@vu.nl) and Siem Jan Koopman (s.j.koopman@vu.nl).

Primary Fields: Econometrics; Time Series Analysis
Secondary Fields: Financial Econometrics

You can download my cv here. 

E-mail: g.mingoli@vu.nl