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:
1 cross-sectional asset pricing:
- asset pricing with unsystematic risk
- asset pricing and portolio choice with misspecified model
- testing for anomalies
- factor models for conditional asset pricing
- inference on risk premia
2. ECONOMETRIC THEORY
- generalized dynamic factor 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:
''Portfolio choice with misspecified models: a foundation for Alpha and Beta Portfolios', joint with Valentina Raponi and Raman Uppal.RobustPortfolio
"What is Missing in Asset-Pricing Factor Models?" joint with M. DelloPreite, R. Uppal, I. Zviadadze.PDF
"Factor Models for Conditional Asset Pricing". FactorModelsforAssetPricing
"Testing for Weak Factors in Asset Pricing" joint witjh S. Kim and V. Raponi.
- Term Structure
"The APT for Bond Pricing"
"Long memory affine term structure models" joint with A. Golinski, Journal of Econometrics, forthcoming.long memory affine term structure
- Generalized Dynamic Factor Models
"Estimating the Number of Dynamic Factors by Frequency Band"PDF
"Inferential Theory for Generalized Dynamic Factor Models" joint with M. Barigozzi, M. Hallin, and M. Luciani. BHLZ_JoE
"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
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