CV of Paolo Paruolo - European Commission

Paolo Paruolo - Curriculum vitae
Last update: 25 September 2014
Personal
Citizenship:
Date of birth:
Languages:
Italian
November 5, 1963
Italian, English, Spanish
Studies
Ph.D., Faculty of Science, University of Copenhagen, Denmark, October 1995. Dissertation:
“Topics in statistical inference for vector autoregressive processes integrated of order 1 and
2”, Committee: S. Johansen (Chair, University of Copenhagen), Peter Boswijk (Tinbergen
Institute, Amsterdam).
Master (“Laurea in Sceinze Statitische ed Economiche”), 110/110 summa cum laude, Faculty of
Statistical Sciences, University of Bologna, Italy, July 1987. Dissertation “On the testability
of CAPM”, supervisor A. Gardini.
Previous Academic positions
1999 to 2014
Full Professor in Econometrics, Faculty of Economics,
University of Insubria, Varese Italy
1998
Associate Professor in Econometrics, Faculty of Statistical Sciences,
University of Bologna, Italy
1989-1997
Assistant professor Faculty of Statistical Sciences,
University of Bologna, Italy
Current position
2013 to present
Scientific Officer, European Commission, Joint Research Centre
Ranking
Taken from Baltagi (2007) Worldwide econometrics rankings: 1989-2005, Econometric Theory
23, p. 952-1012:
1989 – 2005:
n. 51 for theoretical econometrics standardized number of pages (Table 4)
n. 91 for econometrics overall number of pages (Table 5)
n. 73 for theoretical econometrics number of articles (Table 6)
n. 47 for theoretical econometrics number of pages in core econometrics journals (Table 11).
1995 – 2005:
n. 32 for theoretical econometrics standardized number of pages (Table 15b),
n. 50 for overall econometrics standardized number of pages (Table 16b)
2000 – 2005
n. 69 for theoretical econometrics standardized number of pages (Table 15a)
n. 116 for overall econometrics standardized number of pages (Table 15b).
Awards & fellowships
Fellow of the Journal of Econometrics, 2011
Econometric Theory Award, in recognition of research contributions, Multa scripsit, to the Science
of Econometrics, 2003
Best textbook in statistics Award, the Italian Statistical Society 1993 for the 1992 book
Senior fellow, The Rimini Centre for Economic Analysis, since 2011
1
Journal editorial work
Co-Editor of Econometric Theory, Problems and solutions 2000-2004
Co-Editor of Econometric Theory, Notes and problems 2005-2009
Invited lectures
 Latin American Meeting of the Econometric Society, Sao Paolo, Brasil, 24-27 July 2002
 Common Features in Rio, Rio de Janeiro, Brasil, 28-31 July 2002
 Stochastic models and simulation methods for the analysis of dependent data, Campobasso,
Italy, 28-29 April 2003
 Common features in Maastricht, Maastricht 14-16 December 2003
 42nd Scientific meeting of the Italian Statistical Society, SIS, Bari 9-11 June 2004
 EC² 2007, “Time Series Analysis: Recent Advances”, Faro, Portugal, 15-16 December, 2007.
Publications1
2015
 Caporin M., P. Paruolo (2015) “Proximity-Structured Multivariate Volatility Models”,
forthcoming in Econometric Reviews 34(5); DOI: 10.1080/07474938.2013.807102, Available
online at: http://www.tandfonline.com/doi/full/10.1080/07474938.2013.807102
 Franchi M., Paruolo P. (2014) “Minimality of state space solutions of DSGE models and
existence conditions for their VAR representation”, accepted in Computational Economics.
Formerly “On ABCs (and Ds) of VAR representations of DSGE models”, University “La
Sapienza” Roma, Dipartimento di Scienze Statistiche, Empirical Economics and Econometrics
Working Papers Series, DSS-E3 WP 2012/4
 Paolo Paruolo, Ben Murphy and Greet Janssens-Maenhout (2014) “Do emissions and income
have a common trend? A country-specific, time-series, global analysis, 1970-2008” accepted in
Stochastic Environmental Research and Risk Assessment.
2013
 Girardi R., P Paruolo (2013) “Wages and prices in Europe before and after the onset of the
monetary union”, Economic Modelling 35, 643–653, DOI: 10.1016/j.econmod.2013.08.009
 Paruolo P., Saltelli A., Saisana M. (2013) “Ratings and rankings: voodoo or science?” Journal
of the Royal Statistical Society: Series A (Statistics in Society) 176, 609-634, DOI:
10.1111/j.1467-985X.2012.01059.x
2012
 A. Dosio, P. Paruolo and R. Rojas (2012) Bias correction of the ENSEMBLES high resolution
climate change projections for use by impact models: Analysis of the climate change signal
Journal of Geophysical Research - Atmospheres (1984-2012) Volume 117, Issue D17,
September 2012, DOI: 10.1029/2012JD017968
2011
 Dosio A., Paruolo P. (2011) Bias correction of the ENSEMBLES high resolution climate
change projections for use by impact models: evaluation on the present climate, Journal of
Geophysical Research – Atmospheres, 116, D16106, doi:10.1029/2011JD015934. Impact
Factor 2010: 3.303, 5-year Impact Factor 2010: 3.621.
 M. Franchi, P. Paruolo (2011) “Inversion of regular analytic matrix functions: local Smith from
and subspace duality”, Linear Algebra and its Applications 435, 2896–2912
doi:10.1016/j.laa.2011.05.005. Impact Factor 2010: 1.005, 5-year Impact Factor 2010: 1.068.
1
Impact factors in Economics: 25-th percentile: 0.427, 75-th percentile: 1.310; total number of reviewed journals in
Economics:
247.
(Journal
citation
report
2009,
ISIS
web
of
knowledge,
http://adminapps.isiknowledge.com/JCR/JCR?SID=P2BD6jLbpBDGdNEFLJB)
2
 Franchi M., P. Paruolo (2011) “A characterization of vector autoregressive processes with
common
cyclical
features”,
Journal
of
Econometrics
163,
105–117;
doi:10.1016/j.jeconom.2010.11.009; Impact Factor 2010: 1.815, 5-year Impact Factor 2010:
2.823.
2010
 Fanelli L., P. Paruolo (2010) “Speed of adjustment in cointegrated systems”, Journal of
Econometrics 158, 130-141, doi:10.1016/j.jeconom.2010.03.020; Impact Factor 2010: 1.815,
5-year Impact Factor 2010: 2.823.
2009
 Abadir K. A. and P. Paruolo (2009), “On efficient simulations in dynamic models” Chapter 11
(p. 268-299) in Castle J. L. and N. Shephard (eds) “The Methodology and Practice of
Econometrics - A Festschrift in Honour of David F. Hendry” Oxford University Press.
 Bernasconi M., O. Kirchkamp and P. Paruolo (2009) “Do fiscal variables affect fiscal
expectations? Experiments with real world and lab data” Journal of Economic Behavior &
Organization, 70:253–265, DOI:10.1016/j.jebo.2008.11.002; Impact Factor 2009: 1.081, 5-year
Impact Factor 2009: 1.561.
 Cavaliere G., Fanelli L., Paruolo P. (2009) “Tests for cointegration rank and choice of the
alternative”, Statistical Methods and Applications 18:169–191, DOI: 10.1007/s10260-0070084-2; Impact Factor: 0.408 (2009)
2006
 P. Paruolo (2006a) “Common trends and cycles in I(2) VAR systems”, Journal of
Econometrics, 132, 143-168; DOI: 10.1016/j.jeconom.2005.01.026. Impact Factor 2009: 1.902
 P. Paruolo (2006b) “A likelihood ratio test for the rank of a cointegration submatrix”, Oxford
Bullettin of Economics and Statistics, 68, 921-948, DOI: 10.1111/j.1468-0084.2006.00463.x;
Impact Factor: 1.092 (2009)
2005
 P. Paruolo (2005) “Automated inference and the future of econometrics: a comment”,
Econometric Theory, 21, 78-84; DOI: 10.1017/S0266466605050061. Impact Factor: 0.727
(2009)
 Omtzigt P., P. Paruolo (2005) “Impact Factors”, Journal of Econometrics 128, 31-68; DOI:
10.1016/j.jeconom.2004.08.007. Impact Factor 2009: 1.902
2004
 P. Paruolo (2004) “An I(2) model for VAR(1) processes”, Econometric Theory, 20, Problem
04.3.1, 639-640, DOI: 10.1017/S0266466604203103. Solution Econometric Theory, 21, 665666, DOI: 10.1017/S026646660505036X.; Impact Factor: 0.727 (2009)
2002
 Abadir K.M., Paruolo P. (2002) “Simple Robust Testing of Regression Hypotheses: a
Comment” Econometrica, 70, 2097-2099. Impact Factor: 4.000 (2009)
 Paruolo P. (2002a) “Asymptotic inference on the moving average impact matrix in cointegrated
I(2) VAR systems”, Econometric Theory, 18, 673-690. Formerly WP Facoltà di Economia
2000/9, Università dell'Insubria, Varese, Italy. Impact Factor: 0.727 (2009)
 Paruolo P. (2002b) “On Monte Carlo Estimation of Relative Power” Econometrics Journal, 5,
65-75; Impact Factor: 0.773 (2009)
2001
 Paruolo P. (2001a) “The power of lambda max” Oxford Bulletin of Economics and Statistics
63, 395-403. Impact Factor: 1.092 (2009)
 Paruolo P. (2001b) “LR tests for cointegration when some cointegrating relations are known”
Statistical Methods and Applications, 10, 123-137; Impact Factor: 0.408 (2009)
 Paruolo P. (2001c) “The limit distribution of cointegration rank tests of “Wald” type”
Econometric Theory, 17, Problem 01.4.3, 855; Impact Factor: 0.727 (2009)
3
2000
 Paruolo P. (2000a) “Asymptotic efficiency of the two stage estimator in I(2) systems”,
Econometric Theory 16, 524-550; Impact Factor: 0.727 (2009)
 Paruolo P. (2000b) “When are Nested Reduced Rank Autoregressive Processes Integrated?”
Econometric Theory, 16, Problem 00.5.2, p.791-792, Solution Econometric Theory, 17
p.1029-1031; Impact Factor: 0.727 (2009)
 Paruolo P. (2000c) “A distributional equality” Econometric Theory, 16, Problem 00.6.2, p.
1043; Solution Econometric Theory, 17, p. 1159-1160; Impact Factor: 0.727 (2009)
1999
 Paruolo P., Rahbek A. (1999) “Weak exogeneity in I(2) VAR systems”, Journal of
Econometrics, 93, 281-308; Impact Factor 2009: 1.902
1998
 Paruolo P. (1998a) “Tests of integration in circular autoregressive models” Journal of the
Italian Statistical Society, 7, 297-306; Impact Factor: 0.408 (2009)
 Paruolo P. (1998b) “An alternative way to calculate the SUR estimator”, Econometric Theory,
14, 525-526 Problem 98. 4. 2, solution Econometric Theory, 15, 633-34; Impact Factor: 0.727
(2009)
1997
 Abadir K., Paruolo P. (1997) “Two mixed normal densities from cointegration analysis”,
Econometrica, 65, 671-680; Impact Factor: 4.000 (2009)
 Paruolo P. (1997a) “Asymptotic inference on the moving average impact matrix in
cointegratared I(1) VAR systems”, Econometric Theory, 13, 79-118; Impact Factor: 0.727
(2009). A previous version of the paper appeared in K. Juselius (ed.) 1993, Econometric
modelling of long-run relations and common trends: theory and applications - vol I, theoretical
results in the I(1) and the I(2) model, 99-121.
 Costa M., Gardini A., Paruolo P. (1997) “A reduced rank regression approach to tests of asset
pricing”, Oxford Bulletin of Economics and Statistics 59 1, 1997, 163-181; Impact Factor:
1.092 (2009)
 Paruolo P. (1997b) “Standard errors for the long run variance matrix”, Econometric Theory,
13, n. 2, Problem and solution series, Problem 97.1.1, 13. p. 305-306 / Solution: Econometric
Theory, 14 1, 152-153; Impact Factor: 0.727 (2009).
1996
 Paruolo P. (1996) “On the determination of integration indices in I(2) systems”, Journal of
Econometrics 72, 313-356; Impact Factor 2009: 1.902
1994
 Paruolo P. (1994) “The role of the drift in I(2) systems”, Journal of the Italian Statistical
Society, vol 3, p. 93-123, Correction vol 6, (1997), p. 93-95; Impact Factor: 0.408 (2009)
 Onofri P., Paruolo P., Salituro B. (1994) “On the sources of fluctuations of the Italian economy:
a structural VAR analysis”, in Baldassarri & Annunziato (eds.) "Is the business cycle still
alive?", McMillan Press p. 33-64.
1993
 Paruolo P. (1993a) “The distribution of the orthogonal complement of a regression coefficient
matrix”, Problems and Solutions series; Problem: Econometric Theory, 9, 313-314. Solution:
Econometric Theory, 10, 449, errata Econometric Theory 11, 402; Impact Factor: 0.727
(2009).
 Paruolo P. (1993b) “Deriving the Restricted Least Squares estimator without a Lagrangean”,
Problems and Solutions series; Problem: Econometric Theory, 9, 313-314. Solution:
Econometric Theory, 10, 446-448; Impact Factor: 0.727 (2009).
1992
 Marzocchi W., Mulargia F., Paruolo P. (1992) “The correlation of geomagnetic reversals and
4
mean sea level in the last 150 m. y.”, Earth Planetary Science Letters 111, p. 383-393. Impact
Factor: 4.062 (2009)2
Publications in Italian
 Luati A., Paruolo P. (2002) “Sulla distribuzione di una base di norma unitaria del complemento
ortogonale di un vettore gaussiano: il caso bidimensionale”, Statistica, 62, 33-39.
 Guizzardi A., Paruolo P. (2000) “Previsione dei rendimenti minimi e massimi di un titolo in
borsa mediante un modello multivariato di volatilità”, Studi e Note di Economia, 2000/1, p.
163-192; presentato anche alla “XL riunione scientifica annuale - Società Italiana degli
Economisti” Ancona 29-30 ottobre 1999, con il titolo "Un modello GARCH-M multivariato di
volatilità per la previsione dei rendimenti azionari minimi e massimi".
 Paruolo P., Pillati M. (1994) “A nonlinear model for the conditional expectations of of asset
returns”, Statistica, LIV, 1994. , p. 329-347; it also appeared in Chiandotto B. - Gallo G. (eds.)
(1994) In quest of the philosopher's stone - nonlinearity and volatility in financial markets,
Proceedings from the satellite meeting Società Italiana di Statistica "Exchange rates and
financial markets: theoretical ad empirical applications", held in Imperia, April 5 1994, p. 105126.
 Cocco F., Paruolo P. (1992) “Inefficienza e Asset Pricing: un'applicazione del GARCH-DLM”,
Finanza Imprese e Mercati, IV, 1992, 437-456.
 Costa M., Gardini A., Paruolo P. (1992) “Analisi econometrica di modelli finanziari a variabili
latenti: un'applicazione al mercato italiano”, Statistica, 52, 3, 427-449, e presentato al convegno
“Errori nelle variabili e variabili latenti in modelli strutturali stocastici” Firenze 6-7 dicembre
1990.
 Onofri P., Paruolo P., Salituro B. (1992) “Sulle fonti delle fluttuazioni dell'economia italiana:
una analisi con sistemi VAR strutturali”, Rivista di Politica Economica, 82, 33-66; also
published in “On the sources of fluctuations of the Italian economy: a structural VAR analysis”,
in Baldassarri & Annunziato (eds. ) "Is the business cycle still alive?", McMillan Press 1993.
 Ansuini A., Fornasari C., Paruolo P. (1992) “Tassi di interesse del mercato monetario e tassi
bancari: un'analisi dei meccanismi di trasmissione”; in E. Giovannini (ed.): I mercati monetari e
finanziari nel breve periodo: modelli per l'analisi e la previsione, ABI - IMI - ISCO - OCSM
Luiss, ed. IMI - il Sole 24 ore, p. 149-192.
 Costa M., Paruolo P. (1989) “Informazione e Capital Asset Pricing Models: una verifica
empirica su dati italiani”, Statistica 49, 427-440.
 Paruolo P. (1988) “Applicabilità del metodo generalizzato dei momenti nell'ambito della
verifica degli Intertemporal Capital Asset Pricing Models”, Statistica 48, 115-124.
Books
 Paruolo P. (2010) Econometric theory I, vol. 3 in Exercises in Econometrics, K. Abadir, J.
Magnus, P.C.B. Phillips (Eds), in preparation for Cambridge University Press.
 Gardini A., Cavaliere G., Costa M., Fanelli L., Paruolo P. (2000) Econometria, vol. I (ISBN:
88-464-2168-X ) e II (ISBN: 88-464-2169-8), Franco Angeli, Milano, (in Italian).
 Paruolo P. (1999) Elementi di statistica, studi superiori di Economia, Carrocci, Roma, ISBN:
88-430-1277-0, (in Italian).
 Pallini A., Paruolo P., Zuppiroli A. (1999) Primi esercizi di statistica, Giappichelli, Torino,
ISBN: 88-348-9096-5, (in Italian).
 Paruolo P. (1992) Note sul problema della stima, CLUEB Bologna, p. Vi+396., ISBN: 88-4910104-X, (in Italian).
2
GEOCHEMISTRY & GEOPHYSICS IF 2009, 25% percentile: 0.627, 75% percentile: 2.171.
5
Conference proceedings
 Paruolo P. (2006) “A LR test for the correct normalization of the cointegration space,
Proceedings of the conference “Convegno Nazionale delle Ricerche in Serie Storiche”, Villa
Mondragone 18-19 April, 2006.”
 Caporin M., P. Paruolo (2006) “GARCH models with spatial structure”, Proceedings of the
43rd scientific meeting of the Italian Statistical Society, Torino June 14-16, 2006; also appeared
in the proceedings of the conference “Convegno Nazionale delle Ricerche in Serie Storiche”,
Villa Mondragone 18-19 April, 2006.
 P. Paruolo (2004) “Common features in vector autoregressive models”, invited lecture at the
42nd meeting of the Italian Statistical Society, Proceedings of the 42nd scientific meeting of the
Italian Statistical Society, Bari 9-June 11, 2004, p. 131-142.
 P. Paruolo (2003) “Discussion”, in Bee Dagum E., Bordignon S., Cappuccio N. Proietti T.
Riani M. (2003), “Linear and Non Linear Dynamics in Time Series”, Proceedings of the Cofin
2000 final workshop, Bressanone June 6-7, 2003.
 Paruolo P. (2000) “Auxiliary Information and LR Cointegration tests”, and “Foreword to the
specialized session on nonstationary economic time series” Proceedings of the 40th scientific
meeting of the Italian Statistical Society, Florence, April 26-28, 2000.
 Fanelli L., Paruolo P. (1999) “New evidence on the transmission mechanism of monetary
policy in Italy Stage III of EMU”, Proceedings of the Bank of Italy-Cide conference on
Quantitative research for economic policy 1999 SA.DI.B.A. (Perugia) December 15-18, 1999.
Paper also presented at ESEM 1999 Santiago de Campostela August 29-September 1, 1999, and
at the conference “Macroeconomic Transmission Mechanisms: Empirical Applications and
Econometric Methods”, Trondheim, April 15-17, 1999.
 Paruolo P. (1998a) “Tests of integration in circular autoregressive models” Proceedings of the
XXXIX Scientific Meeting of the Italian Statistical Society, Sorrento April 14-17, 1998.
 Guizzardi A., Paruolo P. (1997) “Non linearità nei fondamentali dei rendimenti azionari
italiani”, - Proceedings of the Bank of Italy-Cide conference on Quantitative research for
economic policy 1997 SA.DI.B.A. (Perugia) November 6-8 1997, vol I, 525-552.
 Paruolo P., Scagliarini M. (1997) “Integration in circular STAR models”, Proceedings of
"Applied stochastic models and data analysis (ASMDA) - The ins and outs of solving real
problems", Conference of the Quantitative methods in business and industry society, Anacapri
(Napoli), June 11-14, 1997, 343-349.
 Paruolo P. (1996) “Criteri di selezione consistenti del rango di cointegrazione”, Proceedings of
the 38th scientific meeting of the Italian Statistical Society, Rimini April 9-13 1996, vol. 2, 557564.
 Pillati M., Paruolo P. (1993) “Hidden units in artificial neural networks as latent factors in asset
pricing”, Proceedings “49th session of the International Statistical Institute” Florence, August
25 – September 2, 1993, vol 2, 309-310.
 Ardeni P., Paruolo P. (1992) “Seasonality and persistence in Italian GDP: relevance and policy
implications, Proceedings of the 36th Scientific meeting of the Italian Statistical Society,
Pescara 21-24 April 1992, Vol. 2, 281-288.
 Onofri P., Paruolo P., Salituro B. (1991) “Alla ricerca di alcuni fatti stilizzati dell'economia
italiana: un VAR strutturale”, Proceedings of the Bank of Italy-Cide conference on Quantitative
research for economic policy 1991 SA.DI.B.A. (Perugia) March 14-16, 1991, 267-293.
 Fornasari C., Paruolo P.
(1989) “Il comportamento delle Autorità monetarie nella
determinazione dei tassi di interesse di breve periodo negli anni '80: un'indagine econometrica,”
Proceedings of the Bank of Italy-Cide conference on Quantitative research for economic policy
1988 SA.DI.B.A. (Perugia) September 19-21, 1988, 729-762.
6
Practictioneers journals and miscellanea
 P. Paruolo (2010) “Econometria: quasi un secolo di storia”, Lettera Matematica Pristem,
Springer Italia.
 P. Paruolo (2004) “Invito all’econometria”, Lettera Matematica Pristem, Springer Italia, 52, 2128.
 Giovagnoni M., Majowiecki M., P. Paruolo (1999) “Analisi di affidabilità: sensibilità
parametrica di sistemi strutturali metallici”, Inarcos, 601, 693-700.
Software reviews
 Paruolo P. (1994) “CIA: un programma per l'analisi statistica di sistemi autoregressivi
cointegrati basata sulla verosimiglianza”, in “Software sperimentale per la statistica: una
raccolta di programmi didattico-applicativi”, pubblicazione Società Italiana di Statistica
didattica, p. 123-138.
 Paruolo P. (1993) “CIA - CoIntegration Analysis of time-series, SIM_ARMA - Simulation of
ARMA processes”, Catalogo software sperimentale Pro Academia, IBM Semea.
Working papers
 Mosconi, R., Paruolo, P. (2014): Rank and order conditions for identification in simultaneous
system of cointegrating equations with integrated variables of order two, MPRA Paper 53589,
http://mpra.ub.uni-muenchen.de/id/eprint/53589
 Franchi M., Paruolo P. (2012) DSGE models and cyclical co-movements in VARs, mimeo
 Abadir K., Luati A., Paruolo P. (2011) The predictive density of a GARCH process, mimeo
 Franchi M., P. Paruolo (2011) “Normal forms of regular matrix polynomials via local rank
factorization”, DSS-E3 WP 2011/1, Dipartimento di Scienze Statistiche, Università di Roma
“La Sapienza”.
 Mosconi R., Paruolo P. (2010) “Identification of cointegrating relations in I(2) Vector
Autoregressive models”, WP Facoltà di Economia 2010/07, Università dell'Insubria, Varese,
Italy.
 Franchi M., P. Paruolo (2010) “Stochastic cycles in Vector Autoregressive Processes”, mimeo.
 Nejstgaard E., P. Paruolo and A. Rahbek (2008-12) “Likelihood-based Inference in the ACR
Cointegrated Model”, mimeo
 Paruolo P. (2006) “A finite sample comparison of alternative rank tests for a cointegration
submatrix” WP Facoltà di Economia 2006/6, Università dell'Insubria, Varese, Italy.
 Caporin M., P. Paruolo (2005) “Spatial effects in multivariate ARCH”, WP Facoltà di
Economia 2005/1 Università dell'Insubria, Varese, Italy.
 Paruolo P. (2005) Design of vector autoregressive processes for invariant statistics, WP Facoltà
di Economia 2005/6 Università dell'Insubria, Varese, Italy, submitted.
 Caporin M., P. Paruolo (2005) Multivariate ARCH with spatial effects for stocks sector and
size, WP Facoltà di Economia 2005/13, Università dell'Insubria, Varese, Italy, submitted.
 Paruolo P. (2003) “Why bother about I(2)-ness - A study on modelling the first differences of
I(2) systems”, mimeo, presented at ESEM 2003, Stockholm, Sweden, 20-24 August 2003
 Paruolo P. (2003) “Common dynamics in I(1) systems”, invited paper at the conference
“Common features in Maastricht”, Maastricht 14-16 December 2003; WP Facoltà di Economia
2003/33, Università dell'Insubria, Varese, Italy.
 Paruolo P. (2002) “Testing for common trends in conditional I(2) VAR models”, WP Facoltà di
Economia 2002/28, Università dell'Insubria, Varese, Italy. Invited paper at the Latin American
Meeting of the Econometric Society, São Paolo, Brasil, 24-27 July 2002; submitted.
 Bertocco G., L. Fanelli, P.Paruolo (2002) “On the determinants of inflation in Italy: evidence of
cost-push effects before the European Monetary Union”, WP Facoltà di Economia 2002/41,
7
Università dell'Insubria, Varese, Italy.
 Paruolo P. (2000) “Testing cointegration on satellite ozone data”, mimeo Università
dell'Insubria, Varese, Italy, June 1999, revised June 2000.
 Paruolo P. (2000) “On likelihood-maximizing algorithms for I(2) VAR models”, mimeo
Facoltà di Economia, Università dell'Insubria, Varese, Italy, presentated at “I(2) Workshop”,
Bertinoro, Forlì, Italy, January 27-29, 2000.
 Paruolo P. (1998) “On the effect of mis-specification in cointegrated models”, mimeo,
presented at the 53rd European Meeting of the Econometric Society, Berlin August 29 September 2, 1998.
 Paruolo P. (1995) “Testing for multicointegration”, Dipartimento di Scienze Statistiche,
Università di Bologna, mimeo May 1995.
 Paruolo P. (1993) “Analisi di multicointegrazione in sistemi VAR: alcune prospettive”,
quaderno del Dipartimento di Scienze Statistiche “Paolo Fortunati”, Università di Bologna,
serie ricerche 1993 n. 1, p. 38.
 Ansuini A., Fornasari C., Paruolo P. (1990) “Sulla relazione fra tassi interbancari e tassi di
policy” documento Prometeia - Centro Studi del Credito Italiano.
 Cocco F., Paruolo P. (1990) “Volatility persistence and the Italian Risk Premium: Parametric
and Non-parametric Evaluation”, presented at the "International conference on ARCH
processes", Paris 23-25 June 1990.
 Paruolo P. (1990) “A note on Constrained Maximum Likelihood Inference in Cointegrated
Systems”; discussion paper Department of Statistics, University of Bologna, December 1990.
 Ansuini A., Fornasari C., Paruolo P. (1989) “Un modello di determinazione dei tassi di
interesse” documento Prometeia in collaborazione con l'Associazione Bancaria Italiana e il
Ministero del Tesoro.
 Paruolo P. (1988) “Sulla testabilità dei Capital Asset Pricing Models Uniperiodali”, Preprint n.
42 della Biblioteca Walter Bigiavi, Università di Bologna.
 Paruolo P., Zuppiroli A. (1987) “Studio di modelli di previsione nel progetto pilota di
autodeterminazione della consegna di rete AGIP in collaborazione con West80”, documento
interno West80.
 Gili A., Caciagli A. M., Berdondini P., Paruolo P. (1986) “Analisi degli indici di bilancio di
Aziende di Credito dell'Emilia Romagna Associazione delle Casse di Risparmio dell'Emilia
Romagna”, Associazione delle Casse di Risparmio dell'Emilia Romagna.
Refereeing for scientific Journals
 AStA - Advances in Statistical Analysis
 Bullettin of Economic Research
 Computational Statistics and Data Analysis
 Econometrica
 Economics E-Journal
 International Economics / Economia internazionale
 Economic Modelling
 Econometric Reviews
 Econometric Theory
 Empirical Economics
 European Economic Review
 European Journal of Finance
 International Economics
 Investigationes Economicas
 Journal of Applied Econometrics
8



















Journal of Business and Economic Statistics
Journal of Econometrics
Journal of Financial Econometrics
Journal of Multivariate Analysis
Journal of the American Statistical Association
Journal of Time Series Analysis
Journal of Time Series Econometrics
Metron
Oxford Bulletin of Economics and Statistics
Politica Economica
Research in Economics (Ricerche Economiche)
Review of Economic Studies
Rivista Internazionale di Scienze Sociali
Spanish Econometrics Journal
Statistica
Statistical Methods and Applications (Journal of the Italian Statistical Society)
Studies in Nonlinear Dynamics & Econometrics
The Econometrics Journal
The Manchester School
Scientific Societies
Member of the following societies:
 Econometric Society (ES), since 1989;
 Italian Statistical Society (SIS), since 1990;
 Institute of Mathematical Statistics (IMS), since 1993;
 Bernoulli Society – International Statistical Institute (ISI), since 2006.
 Italian Econometric Association (SIdE), since 2009.
Committees and offices in Scientific Societies
 President of SIdE - Italian Econometric Society (Società Italiana di Econometria) 2010
 Vice President of SIdE - Italian Econometric Society (Società Italiana di Econometria) 20092011
 Member of the Steering Committee of CIdE (Italian Inter-University Centre for Econometrics)
2004 –present, see http://www.cide.info/
 Member of the Coordination Committee of ANSET (Time-series group of the Italian Statistical
Society) 2004-2007 http://w3.uniroma1.it/anset/
Recent research projects/networks participation
 European Science Foundation Network 2002-2004: "Econometric Methods for the Modelling
of Nonstationary Data, Policy Analysis, and Forecasting (EMM)", as convenor; (chairman:
David Hendry)
 Italian National PRIN-Cofin project 2002-2003 “Econometric models for the analysis of
financial markets: the integration process in the Euro Area”; National coordinator: Domenico
Sartore, University of Venice
 Italian National PRIN-Cofin project 2004-2005 “Econometric modelling for financial and
economic integration in the Enlarged European Union”; National coordinator: Domenico
Sartore, University of Venice
 Italian National PRIN-Cofin project 2006-2007 “Econometric analysis of interdependence,
9





stabilization and contagion in real and financial markets”, MUR grant 2006131140, as national
coordinator.
Italian National PRIN-Cofin project 2010-2011 “Forecasting economic and financial time
series: understanding the complexity and modelling structural change”; national coordinator:
Tommaso Proietti.
Danish Social Science Research Council project 2005-2008 “Nonlinear Multivariate
Econometric Time Series Analysis with Applications to Nonlinear Cointegration and
Volatility”, coordinated by Anders Rahbek, University of Copenhagen (DK)
European Science Foundation exploratory workshop “Econometric time-series analysis applied
to climate research”, coordinated by Søren Johansen, Professor in Mathematical Statistics,
University of Copenhagen (DK) and Hans von Storch, Institute of Coastal Research, Geesthacht
(GE)
Cambdridge University Press project 2001- “Exercises in Econometrics”, edited by Jan Magnus
(Tilburg University, NL), Karim Abadir (Imperial College, UK), Peter Phillips (Yale
University, US)
European Time-Series Econometrics Research Network (ETSERN) 2008-, see webpage.
Participation to research-related evaluation committees
Member of the following evaluation committees:
 Discussion committee, PhD in Economics, Institute of Economics, University of Copenhagen,
Denmark (19/7/1999)
 Discussion committee, PhD in Political Economics, University of Pavia, Italy (2/2/2001)
 Discussion committee, PhD in Statistical methodology for scientific research, University of
Bologna, Italy (10/1/2002)
 Discussion committee, PhD in Economics, European University Institute, Fiesole (FI), Italy
(28/6/2002)
 Hiring of research officers for the Bank of Italy (Funzionario di 2a) (2003-2004)
 Italian research assessment exercise 2001-2003 http://vtr2006.cineca.it/index_EN.html, referee
for Economics and Statistics.
 Enrolment selection committee for PhD in Statistical Sciences, University of Padua, Italy (1617/11/2006)
 University of Insubria research evaluation committee (as chair) for the University research
funds (Fondi Ateneo della Ricerca) in Economics, Mathematics, and Computer Science 20022007
Participation in recent conferences’ programme committees
“Fifth Italian Conference of Econometrics and Empirical Economics” Genova (IT) January 16-18,
2013, see www.side-iea.it
“International Risk Management Conference 2012: Global Standards for Risk Measurement,
Management and Regulation” Rome, June 18-19, 2012.
“Third International Conference in memory of Carlo Giannini: Developments in macroeconomic
modeling and econometric assessment of structural policies”, Bank of Italy, Rome,
April 12-13, 2012.
“International risk management conference 2011: new dimensions in risk management”
Amsterdam, June 14-15, 2011, see http://www.irmc.eu/
“Fourth Italian Conference of Econometrics and Empirical Economics” Pisa (IT) January 19-21,
2011, see www.side-iea.it
“International risk management conference 2010 - Financial stability and value: will capital
markets recover permanently?”, Florence, June 3-5, 2010 see http://www.irmc.eu/
10
“Third Italian Conference of Econometrics and Empirical Economics” Ancona (IT) January 30-31,
2009, see www.cide.info
“Econometric Society European Meeting 2008”, Milan 27-31 August 2008, see http://www.eeaesem2008.org/
th
“44 Scientific meeting of the Italian Statistical Society 2008”, Arcavacata di Rende 24-26 June
2008.
“Econometric Society European Meeting 2007”, Budapest 27-31 August 2007, see http://www.eeaesem-budapest2007.hu/
“Second Italian Conference of Econometrics and Empirical Economics” Rimini (IT) January 25-26,
2007, see www.cide.info
“Econometric Society European Meeting 2006”, Vienna 24-28 August 2006, see www.eeaesem2006.org
“Frontiers of time series analysis”, Olbia (IT) 15-17 May 2005, see Oxford Bulletin of Economics
and Statistics 68, special issue S1, 2006.
“First Italian Conference of Econometrics and Empirical Economics”, Venice January 2005, see
www.cide.info
Visits, lectures and collaborations
He has visited, collaborated with, given lectures or seminars at the following Departments and
Institutions:
Institute for the protection and security of the citizen, European Commission Joint Research Centre,
Ispra I
Department of Statistics, University of Helsinki, FN
Department of Mathematical Statistics, University of Copenhagen, DK
Department of Economics, University of Copenhagen, DK
CREATES & Department of Economics, University of Aarhus, DK
Department of Theoretical Statistics, University of Aarhus, DK
Department of Economics, University of Exeter, UK
Department of Economics, University of Bristol, UK
CentER, Tilburg University, NL
European Center for Advanced Research in Economics and Statistics (ECARES) Université Libre
de Bruxelles, BEL
Granger Centre for Time Series Econometrics, School of Economics, University of Nottingham,
UK
Tinbergen Institute, Amsterdam, NL
Department of Economics, University of Rotterdam, NL
Department of Economics, University of Oxford & Nuffield College, UK
Department of Economics, University of Zurich, SW
Department of Finance, University of Southern Switzerland, Lugano, SW
Department of Economics, University of Navarra, Pamplona, SP
Department of Economics, University of Bologna, IT
Department of Statistical Sciences, University of Bologna, IT
Department of Engeneering DISTART, University of Bologna, IT
European University Institute, Fiesole (FI), IT
PhD program in Political and Agricultural Economics, University of Modena, IT
Department of Economics, University of Venice, IT
Department of Statistics, University of Perugia, IT
Department of Statistics, University of Padova, IT
Department of Economics, University “Tor Vergata”, Rome, IT
Ente Einaudi, Rome, IT
11
Institute for the protection and security of the citizen, JRC Ispra, Varese, IT
School of Social Sciences, University of Southampton, UK
Teaching
Undergraduate
 A.Y. 1993-94, 1994-95, 1995-96, 1996-97, 1997-98: “Statistics” course of studies in Political
Sciences, University of Bologna, Italy.
 A.Y. 1998/99, 1999-2000: “Economic forecasting” Diploma in Statistics, University of
Bologna, Italy.
 A.Y. 1999/2000, 2000/2001, 2001/2002: “Econometrics”, “Economic statistics” course of
studies in Economics, University of Insubria, Varese, Italy;
 A.Y. 2001/2002, 2002/2003, 2003/2004, 2004/05: “Applied Microeconomics” course of studies
in Economics, University of Insubria, Varese, Italy;
 A.Y. 2002/03, 2007/08: “Economic forecasting” (Tecniche di previsione economica) course of
studies in Economics, University of Insubria, Varese, Italy;
 A.Y. 2002/03, 2003/04, 2004/05, 2005/06, 2007/08, 2010/11, 2011/12: “Financial
Econometrics” (Econometria dei mercati finanziari A) course of studies in Economics,
University of Insubria, Varese, Italy;
 A.Y. 2010/11, 2011/12: “Econometrics” University of Insubria, Varese, Italy;
Graduate (Master and PhD courses)
 A.Y. 1991-92: “Advanced Econometrics”, course of studies in Mathematics and Economics,
University of Copenhagen, Denmark.
 A.Y. 1993-94 “Cointegration” PhD program in Statistics, Universities of Bari, Pescara, Salerno,
Italy
 A.Y. 1995-96, 1996-97, 1997-98, 1998/99, 1999-2000: “Advanced Econometrics”, course of
studies in Statistical Sciences, University of Bologna, Italy.
 A.Y. 2000-01 “Macroeconometrics” Master program in Applied Econometrics for economics
and finance, University of Pavia, IT
 A.Y. 2002-03 “Cointegration” PhD program in Econometrics, Centro interdipartimentale di
Econometria (CIdE), Bertinoro (Forlì), IT
 A.Y. 2003/04, 2004/05, 2005/06, 2007/08: "Advanced Financial Econometrics" (Econometria
dei mercati finanziari B) graduate course of studies in Economics and Finance, University of
Insubria, Varese, Italy.
 A.Y. 2004/05: “Statistics” Master in Finance, Faculty of Economics, University of Southern
Switzerland, Lugano, Switzerland.
 A.Y. 2005/06: “Topics in Macro-econometrics” PhD program in Finance, University of
Southern Switzerland, Lugano, Switzerland.
 A.Y. 2007/08: “Statistics” PhD program in Finance, University of Southern Switzerland,
Lugano, Switzerland.
 A.Y. 2007/08: “Cointegration in Macroeconomics” PhD program in Statistical methods for
economics and Business Administration, Department of Economics DER3, Università Roma 3,
Roma, Italy.
 A.Y. 2008/09 - A.Y. 2009/10: leave of absence from University of Insubria, Varese, Italy.
 A.Y. 2010/11: “Applied Econometrics” University of Insubria, Varese, Italy.
 A.Y. 2011/12: “Policy Impact Assessment” University of Insubria, Varese, Italy.
 A.Y. 2010/11, 2011/12 “Business Statistics” University of Insubria, Varese, Italy.
Program of studies coordinator
A.Y. 2002/3 to 2006/7: undergraduate and graduate courses of studies in
12
“Economics, Banking and Finance”, University of Insubria, Varese, Italy.
Academic management positions
2001-2006: Head of the Economics Department, University of Insubria, Varese, Italy
Industry jobs and other posts
From 1987.09.01 to 1990.02.05 Worked as junior econometrician for Prometeia
(http://www.prometeia.it/) on several projects, including “Institutional
problems and efficiency of the Italian treasury bonds market” jointly
with ABI (Associazione Bancaria Italiana) and the Treasury and the
development of an econometric monthly monetary model for Italy.
From 1990.02.05 to 1999.10.31 Consulting for Prometeia (http://www.prometeia.it/).
1987-1988 Consulting for West80 on the project “Forecasting models for the pilot project on retail
shipment self-determination for the AGIP network”
2004-2005 Consulting for Db-line (http://www.dbline.it/) on “Forecasting sales”.
2008
Consulting for TXT Solutions.
From 2008.10.01 to 2010.09.30 Visiting senior scientist at The European Commission, Joint
Research Centre, Ispra IT.
2012
Consulting for The European Commission, Joint Research Centre, Ispra IT, on “Provision
of support on the analysis of greenhouse gas emission trends and drivers”.
2010-11-12 Member of the committee “Borse Mortara”, Bank of Italy.
13

Download Report