Antonio Cosma

Specialized in

Microeconometrics, semi- and non-parametric statistics, indirect inference, numerical methods

Research interests

Missing data, dynamic categorical dynamic panel models

Occupation

Current

2022- University of Bergamo, Associate professor

2005-2022 University of Luxembourg, Associate professor
2004-2005 Università della Svizzera Italiana, Institute of Finance, Post-doc researcher

Visiting

3/2022- 4/2022 Sapienza Università di Roma, Dipartimento di Economia e Diritto
9/2021-12/2021 Università della Svizzera Italiana, Institute of Finance

Education

2000-2004 Université catholique de Louvain, PhD in Economics (Doctorat en sciences économiques)
1999-2000 Université catholique de Louvain, MSc in Financial Economics (Diplôme d’études spécialisées en économie financière)
1992-1997 Università degli studi di Pavia, BSc in Physics (Laurea in Fisica)

Service

University of Luxembourg

2012-2019 Course director, Bachelor in Management (Bachelor en gestion, professionnel)
2007-2011 Course co-director (2007-2009) and director (2009-2011), Master of Science in Banking and Finance
2009-2014 Member of the University Council (Conseil universitaire)
2007-2019 Member of the Faculty Council (Conseil facultaire), Faculty of Law, Economics and Finance

Professional service

2016 Reviewer for the ANR (Agence Nationale de la Recherche) call “Appel à projets générique”
2014 Member of the Group of Experts to establish the European Master in Official Statistics – https://wayback.archive-it.org/12090/20231229031545/https://cros-legacy.ec.europa.eu/content/group-experts-2014_en

Research

Ongoing projects

The archer in the mist. Joint with L. Panaccione. (Revise and resubmit at the Italian Economic Journal).
Semiparametric indirect inference for binary dynamic panel data. Joint with F. Galli.

Grants

2022 Experimental analysis of substitution effect, La Sapienza Università di Roma, Visiting Professor Call
2021 INDIFCAT, Fonds National de la Recherche, Luxembourg, FNR-Inter Mobility

PhD supervision

Supervisor

Andreï Victorovitch Kostyrka, 2021, University of Luxembourg. Joint supervision with Gautam Tripathi. Thesis title: “Efficient estimation with non-standard sampling or missing endogenous variables, and conditional density modelling with unobserved copula-connected shocks.”

PhD committee

Member of the supervision committee (comité d’encadrement) at the University of Luxembourg:

Ongoing thesis (Supervisor): Adrien Boulanger (G. Tripathi).
Finished theses (Year of graduation, Supervisor): Sofia Borodich Suarez (2025, G. Tripathi and M. Schumann), Martin Schumann (2017, G. Tripathi), Christian Pietsch (2015, A. Müssig), Marie Lambert (2010, G. Hubner and P.-A. Michel), Robert Vermeulen (2010, M. Beine and B. Candelon).

Publications

Journals

Missing endogenous variables in conditional moment restriction models. Joint with A. Kostyrka and G. Tripathi. Journal of Business & Economic Statistics. Forthcoming.
Cosma, A., S. Galluccio, P. Pederzoli, and O. Scaillet (2020). Early exercise decision in American options with dividends, stochastic volatility and jumps. Journal of Financial and Quantitative Analysis 55(1), 331–356. DOI: 10.1017/S0022109018001229.
Cosma, A., A. V. Kostyrka, and G. Tripathi (2019). Inference in conditional moment restriction models when there is selection due to stratification. Advances in Econometrics 39 (titled The Econometrics of Complex Survey Data: Theory and Applications), 137–171. DOI: 10.1108/s0731-905320190000039010.
Beine, M., A. Cosma, and R. Vermeulen (2010). The dark side of global integration: Increasing tail dependence. Journal of Banking & Finance 34(1), 184–192. DOI: 10.1016/j.jbankfin.2009.07.014.
Cosma, A., O. Scaillet, and R. von Sachs (2007). Multivariate wavelet-based shape preserving estimation for dependent observations. Bernoulli 13(2). Open Access, 301–329. DOI: 10.3150/07-bej5066.

Chapters in books

Cosma, A. and F. Galli (2019). A nonparametric ACD model. In: Financial Mathematics, Volatility and Covariance Modelling. Ed. by J. Chevalier, S. Goutte, D. Guerreiro, S. Saglio, and B. Sanhaji. Vol. 2. Routledge Advances in Applied Financial Economics. Routledge, Taylor & Francis, London. Chap. 5, pp.122–144, DOI: 10.4324/9781315162737.
Cosma, A. and M. Lambert (2009). Diversification properties of Funds of Hedge Funds for Luxembourg’s marketplace. In: Finance et Valeurs. Ed. by A. Corhay, G. Hubner, and A. Muller. Les Editions de l’Université de Liège. pp. 237–255. ISBN 9782874561054

Articles for General Public

Cosma, A. Algorithmes et marchés d’options, D’Lëtzebuerger Land, January 3, 2014.

Presentations

International Conferences

World Congress of the Econometric Society (2025, Seoul, Republic of Korea), EEA-ESEM (2023,Barcelona School of Economics, Barcelona, Spain), 6th International Conference on Econometrics and Statistics (2023, Waseda University, Tokyo, Japan), CIMEO Workshop in Experimental Economics(2022, Università di Roma la Sapienza, Italy), International Conference on Econometrics and Statistics (2019, Taichung, Taiwan), The Econometrics of Complex Survey Data: Theory and Applications (2017, Ottawa, Canada), European Finance Association (2016, Oslo, Norway), 14th Paris December Finance Meeting (2016, Paris, France), AFFI (2016, Liège, Belgium), Mathematical and Statistical Methods for Actuarial Sciences and Finance (2014, Salerno, Italy), Quantitative Economics Conference (QEC2013, Beijing, China), European Economic Association / Econometric Society (2011, Oslo, Norway), Mathematical and Statistical Methods for Actuarial Sciences and Finance (2010, Ravello, Italy), 6th World Congress of the Bachelier Finance Society (2010, Toronto, Canada), International Federation of Operational Research Societies Conference (2008, Sandton, South Africa), 25th European Meeting of Statisticians (2005, Oslo, Norway), Econometric Society World Congress (2005, London, UK).

(Recent) Invited talks

Università di Roma 2, Tor Vergata, June 1, 2022
Università di Parma, April 5, 2022
Università di Roma, la Sapienza, March 18, 2022
Università di Milano-Bicocca, January 11, 2022
Università di Lugano, October 13, 2021

Editorial Activities

Referee

Advances in Econometrics, Economic Modelling, Economie Internationale, Empirical Economics, Entropy, European Journal of Finance, Financial Markets and Portfolio Management, International Review of Economics and Finance, Journal of the American Statistical Association, Journal of Banking and Finance, Journal of Computational Finance, Journal of Derivatives, Journal of Econometrics, Journal of Financial Econometrics, Journal of risk and financial management, Management Science, Northern American Journal of Economics and Finance, Risks, Stochastic Analysis and Applications, Studies in Nonlinear Dynamics & Econometrics, Sustainability, The Manchester School

Teaching Experience

Course and program names are in the languages in which the course or program are taught. In parentheses (ECTS, hours)

2025 Méthodes d’identification en économétrie de panel , Séminaires doctoraux en Economie, (10 hours) , Dakar Coopération universitaire Luxembourg-Afrique de l’Ouest
2024- Quantitative Research Module: Panel Analysis , Doctoral School in Management Accounting and Finance, (4 hours) , Università degli studi di Bergamo
2022- Elementi di matematica , Economia aziendale , (9/ 72), Università degli studi di Bergamo
2022- Strumenti per la misurazione del rischio e delle performance aziendali , Economia aziendale , (6/ 48), Università degli studi di Bergamo
2019-2022 Statistics , Master of Science in Finance and Economics , (2/ 15), University of Luxembourg
2017-2022 Econometrics 2 , Master of Science in Finance and Economics , (5/ 30), University of Luxembourg
2015-2022 Applied econometrics , Master in Accounting and Audit , (3/ 27), University of Luxembourg
2014-2022 Financial econometrics , Master of Science in Finance and Economics, (5/ 15) , University of Luxembourg
2011-2022 Mathématiques I , Bachelor en Sciences Économiques , (6/ 33) , University of Luxembourg
2005-2010 Risk Management , Master of Science in Banking and Finance , (3/ 30) , University of Luxembourg
2005-2008 Investments , Master of Science in Banking and Finance , (2/ 15) , University of Luxembourg
2004 Time Series , Master of Science in Finance , (30 hours) , Università della Svizzera Italiana