Bacchiocchi E., Bastianin A., Missale A. and E. Rossi “Structural analysis with mixed-frequency data: A model of US capital flows”. Economic Modelling, https://doi.org/10.1016/j.econmod.2019.11.010, 2019.

E. Rossi, and P. Santucci de Magistris "Indirect inference with time series observed with error". Journal of Applied Econometrics, 33, issue 6, 874-897, 2018.

C. Castagnetti, E. Rossi, and L.Trapani. "A two-stage estimator for heterogeneous panel models with common factors". Econometrics and Statistics, DOI: https://doi.org/10.1016/j.ecosta.2017.10.005 , vol 11, 63-82, 2019.

M. Caporin, E. Rossi, and P. Santucci De Magistris. "Chasing volatility: A persistent multiplicative error model with jumps". Journal of Econometrics, 198:122–145, 2017.

M. Caporin, E. Rossi, and P. Santucci De Magistris. "Volatility jumps and their economic determinants". Journal of Financial Econometrics, 14:29–80, 2016.

E. Rossi and D. Fantazzini. "Long memory and periodicity in intraday volatility". Journal of Financial Econometrics, 13:922–961, 2015.

A. Ghalanos, E. Rossi, and G. Urga. "Independent factor autoregressive conditional density model". Econometric Reviews, 35:594–616, 2015.

C. Castagnetti, E. Rossi, and L.Trapani. "Testing for no factor structures: on the use of Hausman-type statistics". Economics Letters, 130:66–68, 2015.

C. Castagnetti, E. Rossi, and L.Trapani. "Inference on factor structures in heterogeneous panels". Journal of Econometrics, 184:145–157, 2015.

E. Rossi and P. Santucci De Magistris. "Estimation of long memory in integrated variance". Econometric Reviews, 33:785–814, 2014.

E. Rossi and P. Santucci De Magistris. "Long memory and tail dependence in trading volume and volatility". Journal of Empirical Finance, 22:94–112, 2013.

E. Rossi and P. Santucci De Magistris. "A no-arbitrage fractional cointegration model for futures and spot daily ranges" Journal of Futures Markets, Vol. 33, No. 1, 77–102 , 2013.

C. Castagnetti and E. Rossi. "Euro corporate bond risk factors". Journal of Applied Econometrics, 28:372–391, 2013.

E. Rossi and F.Spazzini. "Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis". Computational Statistics and Data Analysis, 54:2786–2800, 2010. VQR 2004-2010: 0.8

E. Rossi. "Univariate GARCH models: a survey". Quantile, 8, 2010.

S. Pastorello and E. Rossi. "Efficient importance sampling maximum likelihood estimation of stochastic differential equations". Computational Statistics and Data Analysis, 54:2753–2762, 2010.

R. Lucchetti and E. Rossi. "Artificial regression testing in the GARCH-in-mean model". Econometrics Journal, 8:306–322, 2005.

C. Zucca and E. Rossi. "Hedging interest rates risk with multivariate GARCH" Applied Financial Economics, 12:241–251, 2002.

L. Maggi, E. Rossi, and C. Giannini. "Stima e previsione della curva dei rendimenti italiana con i GARCH multivariati". Statistica, LXI, 2001.

E. Rossi. "Un modello GARCH multivariato per la volatilità dei tassi di cambio". Giornale degli Economisti e Annali di Economia, LIV:415–451, 1995.