Paolo Santucci de Magistris

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I am Associate Professor of Econometrics at the Department of Economics and Finance of LUISS (Rome) since February 2018. Previously, I have been Associate Professor at the Department of Economics and Business Economics of Aarhus University (Denmark). I am 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, with a focus on the statistical treatment of univariate and multivariate fractionally integrated processes (potentially subject to parameter instability), on the modeling of realized measures of volatility and on pricing of VIX options.

Publications

2018: Barletta, A., Santucci de Magistris, P. and Sloth. D., It Only Takes a Few Moments to Hedge, Forthcoming on Journal of Economic Dynamics and Control.

2018: Barletta, A., Santucci de Magistris, P. and Violante, F., A non-structural investigation of VIX risk neutral density, Forthcoming on Journal of Banking & Finance.

2018: Rossi, E. and Santucci de Magistris, P., Indirect Inference with Time Series Observed with Error, Forthcoming on Journal of Applied Econometrics.

2017: 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.

2017: Caporin, M., Rossi, E. and Santucci de Magistris, P., Chasing Volatility: A Persistent Multiplicative Error Model with Jumps, Journal of Econometrics, 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, 32, p. 318-341.

2016: Caporin, M., Rossi, E. & Santucci de Magistris, P., Volatility Jumps and Their Economic Determinants, Journal of Financial Econometrics, 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, 30-1, 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, 76, 2, p. 301-319.

2014: Rossi, E. and Santucci de Magistris, P., Estimation of Long Memory in Integrated Variance, Econometric Reviews, 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 and Finance, 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., Long memory in integrated and realized Variance, in Advances in Theoretical and Applied Statistics, Studies in Theoretical and Applied Statistics, Springer-Verlag Berlin Heidelberg, pp.521-530.

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. 19-2, pages 175-179,

Working Papers

2017: Price convergence within and between the Italian electricity day-ahead and dispatching services markets, with M. Caporin and F. Fontini. Available here. (Submitted)

2017: The bank-sovereign nexus: evidence from a non-bailout episode, with M. Caporin, G. Natvik, F. Ravazzolo. Available here. (Submitted)

2016: Does the ARFIMA really shift? , with S.Grassi, D.Delle Monache and F. Carlini. Available here. (under revision)


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

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MathWorks article

Tutorial on Risks