Research
Overview
Dr Paola Zerilli is a lecturer in the Department. Her expertise is in applied financial econometrics with a focus on energy derivatives. She has direct experience with financial markets as she worked for a number of years as a trader on Italian Treasury bonds at Credit Agricole Indosuez, Milan branch. She is currently Director of the MSc in Financial Engineering and Scientific Coordinator of the XPRESS project (Support for Public Procurements to facilitate the collaboration between SMEs and public sector for the development, and adoption in renewables in regions) funded under the EU Commission H2020 programme.
The project involves small and medium enterprises and the public sector to encourage innovations in Renewable Energy Sources technologies (RES). It will also develop financial tools to support the use of green technologies in European regions and municipalities. XPRESS is studying Green Public Procurement (GPP) - a system where public sector organisations use their purchasing power to choose environmentally friendly goods and services - and will investigate how this type of procurement could create new markets and provide financial support for RES innovations.
Dr Zerilli is also Scientific Coordinator of the
SUPER-i project funded by the EU Commission H2020 programme.
The general objective of SUPER-i is to support the funding of EE (Energy Efficient) refurbishment of social housing stocks across Europe while increasing the share of renewable energy in the final energy consumption. The SUPER-i project will contribute to generate substantial investments in energy efficiency within the social housing sector in two folds: 1) by establishing a direct dialogue, at local government level, between financial institutions, other private investors and social housing managers while also involving ESCOs (Energy Service Companies); and 2) by collecting relevant data on EE investments, helping to develop efficient financial schemes. The direct dialogue and data collection will be pivotal to effectively boost the development of energy efficiency PPPs (Public Private Partnerships).
- Derivative securities
- Energy Economics
- Green Finance
Publications
Selected publications
Full details of publications can be found at RePEc
Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility, Baum, C. and Zerilli, P. Z. January 2016 Energy economics. 53, p. 175-181
Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications, Chen L., Zerilli P. and Baum C. Energy Economics 2018 https://doi.org/10.1016/j.eneco.2018.03.032
Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data, Baum, C., Zerilli, P. Z. and Chen, L., (https://doi.org/10.1016/j.eneco.2019.104481) Energy Economics 2019.
