I am 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.
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Main Publications
2022: Catania, L., Di Mari, R. and Santucci de Magistris,P, Dynamic Discrete Mixtures for High Frequency Prices, Journal of Business & Economic Statistics, 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, 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, 184, p. 118-149
2019: Morelli G. and Santucci de Magistris, P., Volatility tail risk under fractionality, Journal of Banking and Finance, 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, 37:1, 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, 53, p. 81-196.
2019: Barletta, A., Santucci de Magistris, P. and Violante, F., A Non-Structural Investigation of VIX Risk Neutral Density, Journal of Banking & Finance, 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, 100, 251-269.
2018: Rossi, E. and Santucci de Magistris, P., Indirect Inference with Time Series Observed with Error, Journal of Applied Econometrics, 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, 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 & 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., 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, p. 175-179.
Other Publications
2018: Barletta, A. and Santucci de Magistris, P., Analyzing the risks embedded in option prices with rndfittool, Risks ,Vol. 6, p. 1-15.
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
Working Papers
2022: Liquidity coverage at risk, with Giacomo Morelli and Virginia Pugliese. Available here
2022: The impact of climate, intermittency and demand on the potential of wind energy for CO2 abatement, with B.J. Christensen, F. Carlini and N. Datta Gupta
2021: Crypto premium, higher-order moments and tail risk, with Nicola Borri. Available here
2021: Liquidity in the global foreign exchange market, with Angelo Ranaldo. Available here
2020: Extreme overdispersion and persistence in time-series of counts, with L. Catania and E. Rossi. Available here
2019: Rediscovering the Co-Fractional Model of Granger (1986), with F. Carlini. Available here.
Ongoing Projects
2022: Stochastic Illiquidity, with Demetrio Lacava and Angelo Ranaldo
2021: Common factors in large panels of option prices, with Maria Grith, Pierluigi Vallarino and Francesco Violante
2021: EPU 's anatomy, with Emanuele Bracati, Demetrio Lacava and Francesco Sobbrio