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
multivariate volatility models
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 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
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
et al., 2017, Dynamic factor models with infinite-dimensional factor space: asymptotic analysis, Journal of Econometrics, Vol:199, ISSN:0304-4076, Pages:74-92
Wu WB, Zaffaroni P, 2017, Asymptotic theory for spectral density estimates of general multivariate time series, Econometric Theory, Vol:34, ISSN:0266-4666, Pages:1-22
Golinski A, Zaffaroni P, 2016, Long memory affine term structure models, Journal of Econometrics, Vol:191, ISSN:0304-4076, Pages:33-56
, 2019, TIME SERIES IN HIGH DIMENSIONS The General Dynamic Factor Model, ISBN:9789813278004