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.
Aree di ricerca: Econometric theory
Search keywords: Indirect inference, Measurement error, Realized variance, Identification, Stochastic volatility models, Cofractional model, Fractional cointegration, Option pricing, Risk-neutral density, Multiplicative Error Model, Time-varying parameters, On-line Kalman filter, ARFIMA models, State space models, Level shifts
Departments: Dipartimento di Economia e Finanza
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.
Main publications (last 10 years)
- Barletta, Andrea; SANTUCCI DE MAGISTRIS, Paolo; Sloth, David (2019). It only takes a few moments to hedge options. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, p. 230-250. ISSN 0165-1889. https://doi.org/10.1016/j.jedc.2018.11.008.
- Carlini, Federico; Santucci de Magistris, Paolo (2019). On the identification of fractionally cointegrated VAR models with the F (d) condition. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, p. 134-146. ISSN 0735-0015. https://doi.org/10.1080/07350015.2017.1294077.
- Caporin, Massimiliano; Natvik, Gisle J.; Ravazzolo, Francesco; SANTUCCI DE MAGISTRIS, Paolo (2019). The Bank-Sovereign Nexus: Evidence from a Non-Bailout Episode. JOURNAL OF EMPIRICAL FINANCE, p. 181-196. ISSN 0927-5398. https://doi.org/10.1016/j.jempfin.2019.07.001.
- Barletta, Andrea; SANTUCCI DE MAGISTRIS, Paolo; Violante, Francesco (2019). A Non-Structural Investigation of VIX Risk Neutral Density. JOURNAL OF BANKING & FINANCE, p. 1-20. ISSN 0378-4266. https://doi.org/10.1016/j.jbankfin.2018.11.012.
- Barletta, Andrea; SANTUCCI DE MAGISTRIS, Paolo (2018). Analyzing the Risks Embedded in Option Prices with rndfittool. RISKS, p. 1-15. ISSN 2227-9091. https://doi.org/10.3390/risks6020028.
- Rossi, Eduardo; SANTUCCI DE MAGISTRIS, Paolo (2018). Indirect inference with time series observed with error. JOURNAL OF APPLIED ECONOMETRICS, p. 874-897. ISSN 0883-7252. https://doi.org/10.1002/jae.2639.
- Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo (2017). Chasing volatility: a persistent multiplicative error model with jumps. JOURNAL OF ECONOMETRICS, p. 122-145. ISSN 0304-4076. https://doi.org/10.1016/j.jeconom.2017.01.005.
- Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo (2017). Forecasting With the Standardized Self-Perturbed Kalman Filter. JOURNAL OF APPLIED ECONOMETRICS, p. 318-341. ISSN 0883-7252. https://doi.org/10.1002/jae.2522.
- Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo (2016). Volatility jumps and their economic determinants. JOURNAL OF FINANCIAL ECONOMETRICS, p. 29-80. ISSN 1479-8409. https://doi.org/10.1093/jjfinec/nbu028.
- Grassi, Stefano; Santucci de Magistris, Paolo (2015). It's all about volatility of volatility: evidence from a two-factor stochastic volatility model. JOURNAL OF EMPIRICAL FINANCE, p. 62-78. ISSN 0927-5398. https://doi.org/10.1016/j.jempfin.2014.11.007.
- Rossi, Eduardo; Santucci de Magistris, Paolo (2014). Estimation of long memory in integrated variance. ECONOMETRIC REVIEWS, p. 785-814. ISSN 1532-4168. https://doi.org/10.1080/07474938.2013.806131.
- Grassi, Stefano; De Magistris, Paolo Santucci (2014). When long memory meets the Kalman filter: a comparative study. COMPUTATIONAL STATISTICS & DATA ANALYSIS, p. 301-319. ISSN 0167-9473. https://doi.org/10.1016/j.csda.2012.10.018.
- Rossi, Eduardo; SANTUCCI DE MAGISTRIS, Paolo (2013). A No-Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges. JOURNAL OF FUTURES MARKETS, p. 77-102. ISSN 0270-7314. https://doi.org/10.1002/fut.20556.
- Rossi, Eduardo; Santucci de Magistris, Paolo (2013). Long memory and tail dependence in trading volume and volatility. JOURNAL OF EMPIRICAL FINANCE, p. 94-112. ISSN 0927-5398. https://doi.org/10.1016/j.jempfin.2013.03.004.
- Caporin, Massimiliano; Ranaldo, Angelo; Santucci de Magistris, Paolo (2013). On the predictability of stock prices: a case for high and low prices. JOURNAL OF BANKING & FINANCE, p. 5132-5146. ISSN 1872-6372. https://doi.org/10.1016/j.jbankfin.2013.05.024.
- Caporin, Massimiliano; Santucci de Magistris, Paolo (2012). On the evaluation of marginal expected shortfall. APPLIED ECONOMICS LETTERS, p. 175-179. ISSN 1466-4291. https://doi.org/10.1080/13504851.2011.570704.