I am Professor of Econometrics at the Department of Economics and Finance of Luiss University (Rome) since February 2018. From 2021 to 2024 I have been the Head of the Department of Economics and Finance. Previously, I have been Associate Professor at the Department of Economics and Business Economics of Aarhus University (Denmark). I was research fellow at the Center for Research in Econometric Analysis of Time Series, CREATES.

I obtained my PhD at the University of Pavia in February 2010. During my PhD, I visited CREATES from September 2008 to April 2009. Subsequently, I was post doctoral research fellow at the Department of Economics of the University of Padova from April 2010 to March 2011. I obtained a FSE Post-Doc fellowship for the period April 2011-May 2013, that I spent at CREATES. From April 2013 to April 2016 I was Assistant Professor at the Department of Economics and Management Economics of Aarhus University. From September 2014 to December 2014, I spent a research period at the Kellogg School of Management, Northwestern University (Evanston, US).

My main research fields are time series and financial econometrics.

News

econOMEtRics in Rome

A new series of seminars in Econometrics has just been launched. Learn more about the upcoming seminars here

Publications

Financial Econometrics

2025: Morelli, G., Pugliese, V., and Santucci de Magistris P., Liquidity Coverage at Risk, Quantitative Finance, Vol. 25, p. 291–306 Source code available here.

2022: Ranaldo, A. and Santucci de Magistris, P., Liquidity in the Global Currency Market, Journal of Financial Economics, Vol. 146, p. 859-883.
2022: Catania, L., Di Mari, R. and Santucci de Magistris, P., Dynamic Discrete Mixtures for High Frequency Prices, Journal of Business & Economic Statistics, Vol. 40, p. 559-577.
2019: Morelli G. and Santucci de Magistris, P., Volatility Tail Risk under Fractionality, Journal of Banking and Finance, Vol. 108, p. 1-9.
2019: Caporin, M., Natvik, G., Ravazzolo F., and Santucci de Magistris, P., The Bank-Sovereign Nexus: Evidence from a Non-Bailout Episode, Journal of Empirical Finance, Vol. 53, p. 81-96.
2019: Barletta, A., Santucci de Magistris, P. and Violante, F., A Non-Structural Investigation of VIX Risk Neutral Density, Journal of Banking & Finance, Vol. 99, p. 1-20.
2019: Barletta, A., Santucci de Magistris, P. and Sloth. D., It Only Takes a Few Moments to Hedge Options, Journal of Economic Dynamics and Control, Vol. 100, 251-269.
2017: Caporin, M., Rossi, E. and Santucci de Magistris, P., Chasing Volatility: A Persistent Multiplicative Error Model with Jumps, Journal of Econometrics, Vol. 198, p. 122-145.
2016: Caporin, M., Rossi, E. & Santucci de Magistris, P., Volatility Jumps and Their Economic Determinants, Journal of Financial Econometrics, Vol. 14, p. 29-80.
2015: Grassi, S. and Santucci de Magistris, P., It’s all about Volatility (of volatility): Evidence from a Two-Factor Stochastic Volatility Model, Journal of Empirical Finance, Vol. 30, p. 62-78.
2013: Caporin M., Ranaldo A. and Santucci de Magistris, P., On the Predictability of StockPrices: a Case for High and Low Prices, Journal of Banking & Finance, Vol. 37, 12, p. 5132-5146.
2013: Rossi, E. and Santucci de Magistris, P., Long Memory and Tail dependence in Trading Volume and Volatility, Journal of Empirical Finance, Vol. 22, p. 94-112.
2013: Rossi, E. and Santucci de Magistris, P., A No-Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges, Journal of Futures Markets, Vol. 33, No. 1, p. 77-102.
2012: Caporin, M., and Santucci de Magistris, P, On the Evaluation of Marginal Expected Shortfall, Applied Economics Letters ,Vol. 19, p. 175-179.

Time-Series Econometrics

2024: Brugnolini, L., Catania L., Hansen, P.,. and Santucci de Magistris, P, Bayesian flexible local projections, Studies in Nonlinear Dynamics and Econometrics, Forthcoming

2019: Carlini, F. and Santucci de Magistris, P., On the Identification of Fractionally Cointegrated VAR Models with the F(d) Condition, Journal of Business & Economic Statistics, Vol. 37, p. 134-146.
2018: Rossi, E. and Santucci de Magistris, P., Indirect Inference with Time Series Observed with Error, Journal of Applied Econometrics, Vol. 33, p. 874-897.
2017: Grassi, S., Nonejad N. and Santucci de Magistris, P., Forecasting with the Standardized Self-Perturbed Kalman Filter, Journal of Applied Econometrics, Vol. 32, p. 318-341.
2014: Grassi, S. and Santucci de Magistris, P., When Long Memory Meets the Kalman filter: A Comparative Study, Computational Statistics and Data Analysis, Vol. 76, p. 301-319.
2014: Rossi, E. and Santucci de Magistris, P., Estimation of Long Memory in Integrated Variance, Econometric Reviews, Vol. 33, p. 785-814.

Energy and Climate Econometrics

2023: Christensen, B.J., Carlini F., Datta Gupta N. and Santucci de Magistris, P., Climate , wind energy, and CO2 emissions from energy production in Denmark, Energy Economics, Vol. 123, p. 1-25.
2022: Caporin, M., Fontini, F., and Santucci de Magistris, P., The long-run relationship between the Italian day-ahead and balancing electricity prices, Energy Systems, Vol.1, p. 111-136.
2021: Christensen, B.J., Datta Gupta, N. and Santucci de Magistris, P., Measuring the Impact of Clean Energy Production on CO2 Abatement in Denmark: Upper Bound Estimation and Forecasting, Journal of the Royal Statistical Society - Series A, Vol. 184, p. 118-149.

Working Papers

Realized Illiquidity, with Demetrio Lacava and Angelo Ranaldo. Available here

Beyond the co-fractional model of Granger (1986), with F. Carlini. Available here

Intermittency and the potential of wind energy for CO2 abatement , with B.J. Christensen, F. Carlini and N. Datta Gupta. Available here

Crypto premium, higher-order moments and tail risk, with Nicola Borri. Available here

Switching regime integer autoregressions, with L. Catania and E. Rossi. Available here

Ongoing Projects

Common factors in large panels of option prices, with Maria Grith, Pierluigi Vallarino and Francesco Violante

EPU 's anatomy, with Emanuele Bracati, Demetrio Lacava and Francesco Sobbrio

On the boundaries the total connectedness index, with Pierpaolo Uberti and Francesco Violante

Conference proceedings

2013: Rossi, E. and Santucci de Magistris, P., Long memory in integrated and realized variance, in Advances in Theoretical and Applied Statistics, Studies in Theoretical and Applied Statistics, Springer-Verlag Berlin Heidelberg, p. 521-530.
2012: Caporin, M., Rossi E., and Santucci de Magistris, P. Estimating jumps in volatilty using realized-range measures, 46th Scientific Meeting Of The Italian Statistical Society, p. 1-19

RNDfittool: A MATLAB App for Fitting the Risk-Neutral Density

Get it here!

MathWorks article

Tutorial on Risks associated with the article:

2018: Barletta, A. and Santucci de Magistris, P., Analyzing the risks embedded in option prices with rndfittool, Risks ,Vol. 6, p. 1-15.

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