Prof Paolo Santucci de Magistris
Associate Professor of Econometrics LUISS Guido Carli University
Office: room 540, 5th floor, main building
Address: Viale Romania, 32, 00197 Rome, Italy
Here is the link to my personal homepage
Brief summary of my academic career:
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).
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 interests are in the fields of 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.