Paolo Santucci de Magistris

Lektor

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Paolo Santucci de Magistris

Lektor

  • Institut for Økonomi
  • Institut for Økonomi - CREATES
Postaddresse:
Fuglesangs Allé 4
2621, 16a
8210
Aarhus V
Danmark

E-mail: psantucci@econ.au.dk

Telefon: +4587165319

Date of Birth: November 2, 1982
Citizenship: Italian
Private address: Thorvaldsensgade 23,
8000 Aarhus C, Denmark

Academic Career

April 2016- Now: Associate Professor at the Department of Economics and Business Economics, Aarhus University.

April 2013 - April 2016: Assistant Professor at the Department of Economics and Business Economics, Aarhus University.

April 2011 - March 2013: FSE Post-Doc Grant at CREATES, Aarhus University , Department of Economics;

April 2010 - March 2011: Post-Doc at University of Padova, Department of Economics;

February 2010: Doctor of Philosophy (PhD) in Economics, University of Pavia;
Dissertation Title: Essays on Fractional Cointegration Analysis and Applications in Finance;

September 2008 to April 2009: Visiting PhD Student at CREATES (Centre for Econometric
Analysis of Time Series), University of Århus (Denmark).

November 2006 - October 2009: Ph.D student in Economics, University of Pavia, with Fellowship;

October 2006: M.Sc. in Finance, University of Pavia, with Honors (110/110 cum laude);

August 2005 - December 2005: Erasmus Student at Aarhus University;

October 2004: B.S. in Economics of Financial Markets, University of Pavia, with Honors
(110/110 cum laude);

Research Interests

Financial Econometrics;
Time Series Econometrics;
Long Memory Models and Fractional Cointegration;

Teaching Experience

February-June 2013: Empirical Finance at the Department of Economics and Business, University of Aarhus (BA course - Lecturer);

September-October 2011-2012: Advanced Econometrics: Probability Theory, at the Department of Economics and Business, University of Aarhus (PhD course - Lecturer );

March 2011: Introduction to Econometrics at the Department of Political Sciences, University of Genova (Phd course - Lecturer);

October-December 2010 Introduction to Financial Economics at the Department of Statistics, University of Padova (BA course - Lecturer);

October 2010 - January 2011: Quantitative Methods in Finance at the Department of Economics and Quantitative Methods, University of Pavia (MSc course - Lecturer);

September 2010: Introduction to MATLAB at IMEF, Department of Economics, University of Venice (MSc course - Lecturer);

May 2010: Applied Economics at the Department of Economics and Quantitative Methods, University of Pavia (MSc course - Lecturer);

October 2009 - December 2009: Quantitative Methods in Finance at the Department of Economics and Quantitative Methods, University of Pavia (MSc course - Lecturer);

May 2009: Econometrics at the Department of Economics and Quantitative Methods, University of Pavia (BA course - Teaching Assistant);

July 2008: Summer School In Economic Modeling, Analysing And Forecasting at the Department of Economics and Quantitative Methods, University of Pavia (Summer School - Lecturer);

Spring 2008: Econometrics of Financial Markets at the Department of Economics and Quantitative Methods, University of Pavia (MSc course - Teaching Assistant);

October 2007- September 2008: Econometrics at the Department of Economics and Quantitative Methods; University of Pavia (BA course - Teaching Assistant).

Spring 2007: Statistics at the Department of Economics and Quantitative Methods, University of Pavia, (BA course- Teaching Assistant);

From September 2004 to June 2007: Principles of Statistics at the Department of Economics and Quantitative Methods, University of Pavia, (BA course- Teaching Assistant);

Courses, Summer School, Conferences and Seminars

Research

Publications

2017: Caporin, M., Rossi, E. & Santucci de Magistris, P, Chasing Volatility: A Persistent Multiplicative Error Model with Jumps, Forthcoming Journal of Econometrics

2017: Carlini, F. and  Santucci de Magistris, P, On the Identification of Fractionally Cointegrated VAR Models with the F(d) Condition, Forthcoming Journal of Business and Economic Statistics 

2016: Grassi, S., Nonejad N. and Santucci de Magistris, P, Forecasting with the Standardized Self-Perturbed Kalman Filter, Forthcoming Journal of Applied Econometrics

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: Caporin, M., Rossi, E. & Santucci de Magistris, P. Volatility Jumps and Their Economic Determinants, Journal of Financial Econometrics, 76, 2, p. 301-319 19

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

2014: Indirect inference with time series observed with errors, with E. Rossi. University of Pavia and CREATES.

2013: A novel approach for modeling time series of aggregated wind power generation over Europe, with S. Grassi , N. Haldrup , A. Lunde and M. Rasmussen, Aarhus University

2015: Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach, with S.Grassi and D.Delle Monache, Queen Mary University of London and CREATES
Conferences

Aarhus, January 2017, presentation at the HAX conference, organized by Humboldt Berlin, Aarhus University and Xiamen University


Sevilla, December 2016, presentation at the CFE2016 conference, organized by University of Sevilla and CSDA. 

Paris, March 2016, presentation at the Empirical Finance workshop, organized by ESSEC. 

London, December 2015, presentation at the CFE2015 conference, organized by University of London.

Aarhus, June 2015: Paper presentation at SoFiE conference 2015, organized by CREATES

St Louis, September 2014: Participation to the NBER-NSF time series conference, organized
by the Federal Reserve Bank of St. Louis (MU).

London, June 2014: Paper presentation at the first IAAE conference, organized by the Journal
of Applied Econometrics and Queen Mary.

London, December 2013, presentation at the CFE2013 conference, organized by University of London.

Milan, March 2013: Paper presentation at the SNDE 2013 conference, organized by University Milan Bicocca and SNDE.

Bruxelles, February 2013: Seminar at ECARES, invited by David Veredas.

Genova, January 2013: Paper presentation at the Side 2013 conference, organized by Side.

Oviedo, December 2012: Paper presentation at the CFE 2012 conference, organized by University of Oviedo.

London, December 2011: Paper presentation at the CFE 2011 conference, organized by University of London.

Padova, September 2011: Paper presentation at the Sco2011 conference, organized by University of Padova.

Oslo, August 2011: Paper presentation at the ESEM conference, organized by Oslo University.

Aarhus, June 2011: Paper presentation at the Symposium on Long Memory, organized by
CREATES.

Sandbjerg, June 2011: Paper presentation at the Nordic Econometric Meeting, organized by Aarhus University.

Berlin, May 2011: Paper presentation at High Frequency Workshop, organized by the Manchester School of Business.

Pisa, January 2011: Paper accepted for presentation at ICEE 2011 conference, organized by the Italian Econometric Association (SIdE).

London, December 2010: Paper presentation at CFE’10 conference, organized by Computational Statistics and Data Analysis.

Padova, June 2010: Seminar at the Department of Economics, University of Padova.

Århus, February 2010: Seminar at the Center for Econometric Analysis of Time Series, University of Århus.

Århus, December 2009: Poster at the EC2 Conference 2009, organized by CREATES and ECB.

Barcelona, August 2009: Paper presentation at the ESEM-EEA Conference 2009, organized by European Econometric Society.

Berlin, March 2009: Poster at the Humboldt-Copenhagen Conference 2009 - Recent Developments in Financial Econometrics.

Århus, February-April 2009: PhD course on Financial Econometrics at the Centre for Econometric Analysis of Time Series, University of Århus.

Århus, December 2008: Seminar at the Center for Econometric Analysis of Time Series, University of Århus.

Århus, September-December 2008: PhD course on Advanced Econometrics at the Centre for Econometric Analysis of Time Series, University of Århus. Final grade 12/12.

Neuchatel, June 2008: Paper presentation at the Computational and Financial Econometrics Conference.

Venice, March 2008: Paper presentation at the Mathematical and Statistical Methods for Actuarial Sciences and Finance Conference, Organized by University Cà Foscari and University of Salerno,

Pavia, September 2007: Summer School of Bayesian Econometrics, organized by IMATI-CNR, held by prof. Siddharta Chib, Washington University;

Bertinoro, June 2007: Summer School of Econometrics, organized by CIDE, held by prof.
Adrian Pagan (Queensland University) and prof. Norman Swanson (Rutgers University);

Referee Activity

Journal of Econometrics

Referee for Macroeconomic Dynamics

Referee for Econometric Reviews

Referee for Computational Statistics and Data Analysis

Referee for Journal of Empirical Finance

Referee for Journal of Applied Econometrics

Referee for Mathematics and Computers in Simulation

Computer Skills

Proficient: GAUSS, MATLAB, LATEX, MS Office, GRETL

Good Knowledge: Stata, R, E-views

Theoretical Knowledge: FORTRAN 90

Languages
Italian: Mother tongue;

English: Good, written and spoken;

Danish: Basic: Certificate of Modul 1 + Course Modul 2.

References

Eduardo Rossi
Associate Professor of Econometrics
PhD Supervisor
Pavia University
0039 0382 986207

Bent Jesper Christensen
Full Professor of Econometrics
Århus University and CREATES
0045 8942 1547

Niels Haldrup,
Full Professor of Econometrics
Århus University and CREATES
+45 8716 5559

Paolo Bertoletti
Full Professor of Economics
Pavia University - Director of the PhD program
in Economic Sciences
0039 0382 986202

Massimiliano Caporin
Associate Professor of Econometrics
University of Padova - Department of Economics
0039 49 827.4258