Imperial College London


Business School

Professor of Financial Econometrics



+44 (0)20 7594 9186p.zaffaroni




Business School BuildingSouth Kensington Campus






Paolo is Professor in Financial Econometrics at Imperial College Business School. He 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 also  teaching at the University of Rome La Sapienza  and  has previously taught at the London School of Economics and at the University of Cambridge.

Paolo's main research interests are empirical asset pricing, portfolio choice, financial econometrics and econometric theory. 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, The Review of Financial Studies and Econometric Theory.  His work includes:

  • asset pricing and portolio choice with misspecified models
  • cross-sectional methods for empirical asset pricing
  • estimation of generalized dynamic factor models
  • estimation and testing of risk premia
  • term structure 
  • multivariate volatility models
  • aggregation
  •  risk management

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 working  papers grouped by topic:

  • Asset Pricing and Portfolio Choice

''Portfolio choice with misspecified models:  a foundation for Alpha and Beta Portfolios', joint with  Valentina Raponi and Raman Uppal.RobustPortfolio

"Correcting Misspecified Stochastic Discount Factors" joint with Raman Uppal and Irina Zviadadze.SDF

"Factor Models for Conditional Asset Pricing". FactorModelsforAssetPricing

  • Term Structure

"Long memory affine term structure models" joint with A. Golinski, Journal of Econometrics, forthcoming.long memory affine term structure

  • Estimation and Testing of  Beta-Pricing Models

"Testing Beta-Pricing Models   Using  Large Cross-Sections " joint with C Robotti and V Raponi. OnlineAppendix and paper

"Testing for Useless Factors with Large Cross-Sections", with V Raponi.

"Dissecting Asset Pricing Anomalies with Large Cross-Sections" with V.Raponi.

  •  Generalized Dynamic Factor Models

"Dynamic factor models with infinite-dimensional factor space: representation", joint with M. Forni, M. Hallin, M. Lippi, Journal of Econometrics, forthcoming.FHLZ_JoE

"Dynamic factor models with infinite dimensional factor space: asymptotic analysis", joint with M. Forni, M. Hallin, M. Lippi, third revision requested.FHLZ_estimation_13

"Asymptotic Theory for Spectral Density Estimates of General Multivariate Time Series" joint with WB Wu, Econometric Theory forthcoming.WZ_sde_Ja08Jan2017

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

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



Zaffaroni P, 2023, Comment on: identification robust testing of risk premia in finite samples, Journal of Financial Econometrics, Vol:21, ISSN:1479-8409, Pages:303-305

Zaffaroni P, Hallin M, Barigozzi M, et al., 2023, Inferential theory for generalized dynamic factor models, Journal of Econometrics, ISSN:0304-4076

Avarucci M, Zaffaroni P, 2022, Robust estimation of large panels with factor structures, Journal of the American Statistical Association, ISSN:0162-1459

Raponi V, Robotti C, Zaffaroni P, 2020, Testing Beta-Pricing Models Using Large Cross-Sections, Review of Financial Studies, Vol:33, ISSN:0893-9454, Pages:2796-2842


, 2019, TIME SERIES IN HIGH DIMENSIONS The General Dynamic Factor Model, ISBN:9789813278004

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