I am Professor of Econometrics at the Department of Economics and Finance of Luiss University (Rome) since February 2018. 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 have visited CREATES from September 2008 to April 2009. 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.
Publications
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: 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
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
2019: Morelli G. and Santucci de Magistris, P., Volatility Tail Risk under Fractionality, Journal of Banking and Finance, Vol. 108, p. 1-9.
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.
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.
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: 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.
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.
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.
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.
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.
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
- Liquidity coverage at risk, with Giacomo Morelli and Virginia Pugliese. 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
- Bayesian flexible local projections, with Luca Brugnolini, Leopoldo Catania and Pernille Hansen
- 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!
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.