Malvina is lecturer in Finance at the Faculty of Finance, Cass Business School, City, University of London since August 2019. Previously, she has been a lecturer (ricercatore di tipo A) at the University of Genova, Italy. Malvina holds a B.Sc. and an M.Sc. in Econometrics and Mathematical Economics and a Ph.D. in Statistics( Econometrics) from the London School of Economics and Political Science.
Malvina has extensive industry experience in quantitative risk management , having held full time and consultancy positions since 2008 in the industry. She is currently research Advisor to Maersk Broker for shipping econometrics and forecasting . Her research interest include long memory time series , multivariate fractionally integrated GARCH models, long memory in realized volatility, forecasting measures and applied econometrics.
- PhD, London School of Economics and Political Science, UK, Jan 2011 – Jan 2015
- MSc Econometrics and Mathematical Economics, London School of Economics and Political Science, UK, Sep 2007 – Jul 2008
- Director of Econometrics, Timberlake Consultants, Sep 2019 – present
- Forecasting Consultant, Maersk (Denmark), Aug 2019 – present
- Econometric Consultant, Dedalus s.p.a, Jan 2017 – Oct 2018
- Visiting Scholar/Lecturer, Cass Business School, City, University of London, Jan 2016 – Jul 2019
- Ricercatore, Universita' degli Studi di Genova, Jan 2014 – Sep 2018
- Quantitative Risk Analyst, ERG oil, Sep 2008 – Oct 2011
English (can read, write, speak, understand spoken and peer review), French (can read, speak and understand spoken) and Italian (can read, write, speak, understand spoken and peer review).
Journal articles (4)
- Marchese, M., Kyriakou, I., Tamvakis, M. and Di Iorio, F. (2020). Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. Energy Economics pp. 104757–104757. doi:10.1016/j.eneco.2020.104757.
- Ferrari, C., Marchese, M. and Tei, A. (2018). Shipbuilding and economic cycles: a non-linear econometric approach. Maritime Business Review, 3(2), pp. 112–127. doi:10.1108/mabr-01-2018-0002.
- Cucinelli, D., Battista, M.L.D., Marchese, M. and Nieri, L. (2018). Credit risk in European banks: The bright side of the internal ratings based approach. Journal of Banking & Finance, 93, pp. 213–229. doi:10.1016/j.jbankfin.2018.06.014.
- marchese, M., Kyriakou, I., Tamvakis, M. and Di Iorio, F. Forecasting Energy Price Volatilities and Correlations: New Evidence From Fractionally Integrated Multivariate Garch Models. SSRN Electronic Journal. doi:10.2139/ssrn.3544242.
- Tamvakis, M., Marchese, M., Kyriakou, I. and Di Iorio, F. (2020). Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models.