Paolo Santucci de Magistris

Associate professor

Paolo Santucci de Magistris


Associate Professor
Member of the Econometrics Section

Education: PhD
Position: Assistant Professor
Research Secretaries: Solveig Nygaard Sørensen and Bodil Krog

Teaching Interests

Empirical Finance


Research Interests

Time Series Econometrics

Financial Econometrics

Long-Memory Modeling

Volatility Modeling

Selected Publications


Estimation of Long Memory in Integrated Variance. / Santucci de Magistris, Paolo; Rossi, Eduardo.In: Econometric Reviews, 2013.

Long memory and tail dependence in trading volume and volatility. / Santucci de Magistris, Paolo; Rossi, Eduardo. In: Journal of Empirical Finance, Vol. 22, 06.2013, p. 94-112.

On the Predictability of Stock Prices: A Case for High and Low Prices. / Santucci de Magistris, Paolo; Caporin, Massimiliano; Ranaldo, Angelo In: Journal of Banking and Finance, 2013.

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