Dr Malvina Marchese
- +44 (0)20 7040 8772
106 Bunhill Row
Malvina is lecturer in Finance at the Faculty of Finance and the Academic Director of the Finance Cluster degrees at Bayes Business School (formerly Cass), City, University of London since August 2019. Previously to joining Bayes Business School , she lead the Risk Management Team of Shell Oil, Italy. Malvina holds a B.Sc. and an M.Sc. in Econometrics and Mathematical Economics and a Ph.D. Econometrics from the London School of Economics and Political Science.
She 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 Brokers in shipping econometrics and to CBRE Investment in real estate forecasting . Her research interest include econometrics of commodity markets , multivariate fractionally integrated GARCH models, long memory in realized volatility, forecasting measures and quantile panel regressions models.
- 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
- Non -Executive Director of Econometrics, Timberlake Consultants, Sep 2019 – present
- Econometric Advisor, Maersk Brokers (Denmark), Aug 2019 – present
- Econometric Consultant, Dedalus s.p.a, Jan 2017 – Oct 2018
- Visiting Scholar, Bayes Business School (formerly Cass), City, University of London, Jan 2016 – Jul 2019
- Head of Risk Management, Shell 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).
- Financial Econometrics
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.
Working papers (2)
- Marchese, M., Kyriakou, I., Tamvakis, M. and Di Iorio, F. (2023). Structural changes in asset correlations and macroeconomic fundamentals.
- Marchese, M., Kyriakou, I., Tamvakis, M. and Di Iorio, F. Forecasting structural changes in short and long-run correlations: A Mixed Regime DCC-MIDAS model.