Eduardo Rossi

Associate Professor of Econometrics


Tel.: +39 0382/986207 

Fax: +39 0382/304226

·  Curriculum vitae

·  Research interests

·  Publications

· Teaching

Curriculum vitae


Eduardo Rossi graduated from L.Bocconi University, Milan, in 1988. Master of Arts in Economics, Université Catholique de Louvain (Belgium), 1991-92. Ph.D. in Economics, University of Rome, 1993. Assistant Professor of Economics at the Libero Istituto Universitario "C.Cattaneo" in 1992-1994 and Researcher at the Università "L.Bocconi" in 1988 - 1992. Visiting Scholar at the Department of Economics, Duke University (USA) in 1998. Professor of Financial Econometrics, CORIPE Piemonte in 1999-2009. Visiting Scholar at Centre of Econometric Analysis (CEA), Cass Business School (London, UK), 2009.





    Research interests: Financial Econometrics.

    Current research projects: Volatility models, heterogeneous panel data, indirect inference with measurement error




Recent publications


Testing for no factor structures: On the use of Hausman-type statistics(2015) (with C. Castagnetti and L. Trapani) Economics Letters



Inference on Factor Structures in Heterogeneous Panels” (2015) (with C. Castagnetti and L. Trapani) Journal of Econometrics,

 doi:10.1016/j.jeconom.2014.08.004, Volume 184, Issue 1, Pages 145–157.


“Independent Factor Autoregressive Conditional Density Model” (2015) (with A.Ghalanos and G. Urga), Econometric Reviews, Volume 34, Issue 5,

596-616, DOI:10.1080/07474938.2013.808561 (earlier draft DEM Working paper #21)


Volatility jumps and their economic determinants” (2014) (with M.Caporin and P.Santucci de Magistris) Journal of Financial Econometrics 



Long Memory and periodicity in intraday volatility” (2014) (with D. Fantazzini). Journal of Financial Econometrics,

   DOI: 10.1093/jjfinec/nbu006


“GARCH models for commodity markets” (2014) (with F.Spazzini) in Andrea Roncoroni, Gianluca Fusai, Mark Cummins (Eds)

Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management. John Wiley and Sons.

ISBN: 978-0-470-74524-3

Estimation of long memory in integrated variance” (2014) (with P. Santucci de Magistris) Econometric Reviews, Volume 33, Issue 7, 785-814



Long memory in integrated and realized variance” (2013) (with P. Santucci de Magistris)  in N. Torelli et al. (eds.),

Advances in Theoretical and Applied Statistics, Studies in Theoretical and Applied Statistics,

Springer-Verlag Berlin Heidelberg, pp.523-532. ISBN 978-3-642-35588-2. DOI 10.1007/978-3-642-35588-2_47.


Long memory and tail dependence in trading volume and volatility” (2013) (with P. Santucci de Magistris)

Journal of Empirical Finance,  Volume 22, Pages 94-112, DOI: 10.1016/j.jempfin.2013.03.004.


A No Arbitrage Fractional Cointegration Analysis of The Range Based Volatility” (2013) (with P. Santucci de Magistris),

Journal of Futures Markets, Volume 33, Issue 1, 77-102.

Euro corporate bond risk factors (2013) (with C.Castagnetti), Journal of Applied Econometrics, Volume 28, 3, 372-391.





 Recent working papers


“Finite sample results of range-based integrated volatility estimation” (2009) (with F. Spazzini) Center for Econometric Analysis,

Cass Business School, WP-CEA-4-2009


              A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors” (2014) (with C. Castagnetti and L. Trapani) DEM Working Paper, # 66.


Chasing Volatility: A Persistent Multiplicative Error Model with Jump” (2014) (with M.Caporin and P.Santucci de Magistris)


Indirect inference with time series observed with error (2014) (with P.Santucci de Magistris).