I am Paolo Santucci de Magistris, and I am professor of Econometrics at Luiss University since 2018. Before, I have been Associate professor of Econometrics at Aarhus University and research fellow at CREATES. My research interests are in the fields of time series, financial and climate econometrics. I am Associate Editor of the Journal of Financial Econometrics.
You can find my CV here
Catania, L., Rossi, E., and Santucci de Magistris P., Switching Regime Integer Autoregressions, Econometric Theory, Forthcoming
Ranaldo A. and Santucci de Magistris, P., Liquidity in the Global Currency Market, Journal of Financial Economics, 2022, Vol. 146, pp. 859-883
Catania, L., Di Mari, R. and Santucci de Magistris, P., Dynamic Discrete Mixtures for High Frequency Prices, Journal of Business & Economic Statistics, Vol. 40, 2022, pp. 559-577.
Christensen, B.J., Datta Gupta, N. and Santucci de Magistris, P., Measuring the Impact of Clean Energy Production on CO_2 Abatement in Denmark: Upper Bound Estimation and Forecasting, Journal of the Royal Statistical Society - Series A, 2020, Vol.184, pp.118-149.
F. Carlini and Santucci de Magistris, P., On the identication of fractionally cointegrated VAR models with the F(d) condition, Journal of Business & Economic Statistics, 2019, Vol. 37, pp. 134-146.
Barletta A., Santucci de Magistris, P. and Violante F., A Non-Structural Investigation of VIX Risk Neutral Density, Journal of Banking and Finance, 2019, Vol. 99, pp. 1-20.
Rossi E. and Santucci de Magistris, P., Indirect Inference with Time Series Observed With Errors, Journal of Applied Econometrics, 2018, Vol. 33, pp. 874-897.
Caporin M., Rossi E. and Santucci de Magistris, P., Chasing Volatility: a Persistent Multiplicative Error Model with Jumps, Journal of Econometrics, 2017, Vol. 198, pp. 122-145.
Grassi S., Nonejad N. and and Santucci de Magistris, P., Forecasting with the Standardized Self-Perturbed Kalman Filter, Journal of Applied Econometrics, 2015, Vol. 32, pp. 318-341.
Caporin M., Rossi E. and Santucci de Magistris, P., Conditional Jumps in Volatility and Their Economic Determinants, Journal of Financial Econometrics, 2015,Vol. 14, pp. 29-80.
Caporin M., Ranaldo A. and Santucci de Magistris, P., On the Predictability of Stock bPrices: a Case for High and Low Prices, Journal of Banking and Finance, 2013, Vol. 37, pp. 5132-5146.
Rossi, E. and Santucci de Magistris, P., Long Memory and Tail Dependence in Trading Volume and Volatility, Journal of Empirical Finance, 2013, Vol. 22, pp. 94-112.
Morelli, G., Pugliese, V., and Santucci de Magistris P., Liquidity Coverage at Risk, Quantitative Finance, 2025, Vol. 25, pp. 291-306
Brugnolini, L., Catania, L., Hansen P. and Santucci de Magistris, P., Bayesian Flexible Local Projections, Studies in Nonlinear Dynamics and Econometrics, 2024, Vol. 28, pp. 435-462
Carlini, F., Christensen, B.J., Datta Gupta, N. and Santucci de Magistris, P., Climate , Wind Energy, and CO2 Emissions from Energy Production in Denmark, Energy Economics, 2023, Vol. 123, pp. 1-25
Caporin M., Fontini F. and Santucci de Magistris, P., The Long-Run Relationship between the Italian Day-ahead and Balancing Electricity Prices, Energy Systems, 2020, pp. 1-26.
Morelli G. and Santucci de Magistris, P., Volatility Tail Risk under Fractionality, Journal of Banking and Finance, 2019, Vol. 108, pp. 1-9.
Barletta, A., Santucci de Magistris, P. and Sloth. D., It Only Takes a Few Moments to Hedge, Journal of Economic Dynamics and Control, 2019, Vol. 100, pp.251-269.
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, 2019, Vol. 53, pp. 81-196.
Barletta, A. and Santucci de Magistris, P., Analyzing the Risks Embedded in Option Prices with rndttool, Risks, 2018, Vol. 6, pp. 1-15.
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, 2015, Vol. 30, pp. 62-78.
Grassi, S. and Santucci de Magistris, P., When Long Memory Meets the Kalman Filter: A Comparative Study, Computational Statistics and Data Analysis, 2014, Vol. 76, pp. 301-319.
Rossi, E. and Santucci de Magistris, P., Estimation of Long Memory in Integrated Variance, Econometric Reviews, 2014, Volume 33, pp. 785-814.
Rossi, E. and Santucci de Magistris, P., A No-Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges. Journal of Futures Markets, 2013, Vol. 33, pp. 77-102.
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, 2013, ch. 47, pp.521-530.
Caporin, M. and Santucci de Magistris, P. On the Evaluation of Marginal Expected Shortfall. Applied Economics Letters, 2012, Vol. 19, pp. 175-179.
Realized Illiquidity, with Demetrio Lacava and Angelo Ranaldo, R\&R Management Science(2nd round)
Crypto premium, higher-order moments and tail risk, with Nicola Borri, R\&R Journal of Financial Econometrics
Intermittency and the potential of wind energy for CO2 Abatement, with Bent Jesper Christensen, Federico Carlini and Nabanita Datta Gupta. (Under revision)
Beyond the co-fractional model of Granger (1986), with Federico Carlini. (Under revision)
Illiquidity at risk, with Demetrio Lacava. (Draft available soon)
Realized Co-Liquidity Risk, with Angelo Ranaldo, Eduardo Rossi, Orimar Sauri. (Draft available soon)
Updated on September 29, 2025