Head of Finance Group

Paolo has a summa cum laude degree in economic statistics from Roma and holds a PhD  in Econometrics  from the London School of Economics.  He is Professor in Financial Econometrics at Imperial College Business School.

Paolo's main research interests are financial econometrics and econometric theory as well as risk management and asset allocation. His  publications include The Annals of Statistics, The Journal of Econometrics, The Journal of Time Series Analysis,  The Journal of Empirical Finance, The Journal of Monetary Economics and Econometric Theory.  His work includes:

• estimation of parametric volatility models
• long memory volatility models
• risk management and asset allocation
• contemporaneous aggregation of linear and volatility models
• estimation of parametric linear and nonlinear factor models
• model averaging and its application to forecasting and model risk

Paolo acts as quantitative consultant in asset and risk management and as instructor of executive courses for various financial institutions.

Paolo's curriculum vitae:  CV

Here are some recent  papers grouped by topic:

• Estimation and Testing of Volatility Models: 

''Pseudo-Maximum Likelihood Estimation of ARCH(∞ ) Models'', PDF, joint with Peter M. Robinson, forthcoming inThe Annals of Statistics.

''Whittle Estimation of Exponential Volatility Models'', PDF, working paper version.

''Whittle Estimation of EGARCH and Other Exponential Volatility Models'',  PDF forthcoming Journal of Econometrics.

''A Goodness of Fit Test for ARCH(∞ )'', PDF, joint with F. Javier Hidalgo, forthcoming in  The Journal of Econometrics.

• Risk Management:

''Large-Scale Volatility Models: Theoretical Appraisal of Professionals' Practice'',PDF forthcoming The Journal of Time Series Analysis. 

''Model Averaging in Risk Management with an Application to Futures Markets'', PDF joint with M. Hashem Pesaran and Christoph Schleicher,  forthcoming in The Journal of Empirical Finance.

• Asset Allocation:

''Optimality and Diversifiabiliy of Mean Variance and Arbitrage Pricing Portfolios', joint with M. Hashem Pesaran, PDF.

• Contemporaneous Aggregation:

''Aggregation and Memory of Models of Changing  Volatility'', PDF, forthcoming in The Journal of Econometrics.

''Contemporaneous Aggregation of GARCH Processes'', PDF, forthcoming in The Journal of Time Series Analysis.

"Can aggregation explain the persistence of inflation?", joint with Filippo Altissimo  and Benoit Mojon, PDF forthcoming in  The Journal of Monetary Economics. 

•  Factor Models

"Generalized least squares estimation of panel with common shocks", PDF

Supplementary Material to "Generalized least squares estimation of panel with common shocks", PDF