Paolo Paruolo - Curriculum vitae

Last update: 18 November 2011

Personal
Citizenship:	Italian
Date of birth:	November 5, 1963
Languages:	Italian, English, Spanish

Studies and Awards

Econometric Theory Award, in recognition of research contributions, Multa scripsit, to the Science of Econometrics, 2003

Best textbook in statistics Award of the Italian Statistical Society 1993 for the 1992 book

Ph.D. in Mathematical Statistics, University of Copenhagen, Denmark, November 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).

Laurea in Statistics and Economics, 110/110 summa cum laude, University of Bologna, Italy, 1987,

Dissertation “On the testability of CAPM”, supervisor A. Gardini.

Academic positions

1999 to present Full Professor in Econometrics, Faculty of Economics,

University of Insubria, Varese Italy (2001-2006: Head of the Economics Department)

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

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

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

Fellow of the Journal of Econometrics, since 2011

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.

Publications

2011

1. 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.

2. 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.

3. 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 2009: 1.902

2010

4. 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 2009: 1.902

2009

5. 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.

6. 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: 1.239 (2009)

7. 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/s10260-007-0084-2; Impact Factor: 0.408 (2009)

2006

8. 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

9. 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

10. 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)

11. 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

12. 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, 665-666, DOI: 10.1017/S026646660505036X.; Impact Factor: 0.727 (2009)

2002

13. Abadir K.M., Paruolo P. (2002) “Simple Robust Testing of Regression Hypotheses: a Comment” Econometrica, 70, 2097-2099. Impact Factor: 4.000 (2009)

14. 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)

15. Paruolo P. (2002b) “On Monte Carlo Estimation of Relative Power” Econometrics Journal, 5, 65-75; Impact Factor: 0.773 (2009)

2001

16. Paruolo P. (2001a) “The power of lambda max” Oxford Bulletin of Economics and Statistics 63, 395-403. Impact Factor: 1.092 (2009)

17. 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)

18. 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)

2000

19. Paruolo P. (2000a) “Asymptotic efficiency of the two stage estimator in I(2) systems”, Econometric Theory 16, 524-550; Impact Factor: 0.727 (2009)

20. 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)

21. 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

22. Paruolo P., Rahbek A. (1999) “Weak exogeneity in I(2) VAR systems”, Journal of Econometrics, 93, 281-308; Impact Factor 2009: 1.902

1998

23. Paruolo P. (1998a) “Tests of integration in circular autoregressive models” Journal of the Italian Statistical Society, 7, 297-306; Impact Factor: 0.408 (2009)

24. 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

25. Abadir K., Paruolo P. (1997) “Two mixed normal densities from cointegration analysis”, Econometrica, 65, 671-680; Impact Factor: 4.000 (2009)

26. 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.

27. 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)

28. 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

29. 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

30. 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)

31. 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

32. 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).

33. 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

34. Marzocchi W., Mulargia F., Paruolo P. (1992) “The correlation of geomagnetic reversals and mean sea level in the last 150 m. y.”, Earth Planetary Science Letters 111, p. 383-393. Impact Factor: 4.062 (2009) [GEOCHEMISTRY & GEOPHYSICS, 25% percentile: 0.627 75% percentile: 2.171]

Legend: 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://admin-apps.isiknowledge.com/JCR/JCR?SID=P2BD6jLbpBDGdNEFLJB)

Publications in Italian

35. 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.

36. 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".

37. 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. 105-126.

38. Cocco F., Paruolo P. (1992) “Inefficienza e Asset Pricing: un'applicazione del GARCH-DLM”, Finanza Imprese e Mercati, IV, 1992, 437-456.

39. 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.

40. 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.

41. 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.

42. Costa M., Paruolo P. (1989) “Informazione e Capital Asset Pricing Models: una verifica empirica su dati italiani”, Statistica 49, 427-440.

43. Paruolo P. (1988) “Applicabilità del metodo generalizzato dei momenti nell'ambito della verifica degli Intertemporal Capital Asset Pricing Models”, Statistica 48, 115-124.

Books

44. 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.

45. 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).

46. Paruolo P. (1999) Elementi di statistica, studi superiori di Economia, Carrocci, Roma, ISBN: 88-430-1277-0, (in Italian).

47. Pallini A., Paruolo P., Zuppiroli A. (1999) Primi esercizi di statistica, Giappichelli, Torino, ISBN: 88-348-9096-5, (in Italian).

48. Paruolo P. (1992) Note sul problema della stima, CLUEB Bologna, p. Vi+396., ISBN: 88-491-0104-X, (in Italian).

Conference proceedings

49. 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.”

50. 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.

51. 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.

52. 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.

53. 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.

54. 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.

55. 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.

56. 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.

57. 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.

58. 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, 557-564.

59. 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.

60. 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.

61. 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.

62. 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.

Practictioneers journals and miscellanea

63. P. Paruolo (2010) “Econometria: quasi un secolo di storia”, Lettera Matematica Pristem, Springer Italia.

64. P. Paruolo (2004) “Invito all’econometria”, Lettera Matematica Pristem, Springer Italia, 52, 21-28.

65. Giovagnoni M., Majowiecki M., P. Paruolo (1999) “Analisi di affidabilità: sensibilità parametrica di sistemi strutturali metallici”, Inarcos, 601, 693-700.

Software reviews

66. 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.

67. Paruolo P. (1993) “CIA - CoIntegration Analysis of time-series, SIM_ARMA - Simulation of ARMA processes”, Catalogo software sperimentale Pro Academia, IBM Semea.

Working papers

68. Abadir K., Luati A., Paruolo P. (2011) The predictive density of a GARCH process, mimeo

69. Paolo Paruolo, Ben Murphy and Greet Janssens-Maenhout (2011) “Do emissions and income have a common trend? A country-specific, time-series, global analysis, 1970-2008” WP Facoltà di Economia 2011/12, Università dell'Insubria, Varese, Italy.

70. 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”.

71. Paruolo P., Saltelli A., Saisana M. (2011) “Ratings and rankings: Voodoo or Science?” submitted, available in arxiv at http://arxiv.org/abs/1104.3009 (March 29, 2011)

72. 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.

73. Girardi R., P Paruolo (2010) “Wages and prices in Europe before and after the onset of the monetary union”, WP Facoltà di Economia 2010/09, Università dell'Insubria, Varese, Italy

74. Franchi M., P. Paruolo (2010) “Stochastic cycles in Vector Autoregressive Processes”, mimeo.

75. Caporin M., P. Paruolo (2008-11) “Proximity-structured multivariate volatility models”, available in SSRN: http://ssrn.com/abstract=1318639

76. Paruolo P., A. Rahbek (2008-11) “Observation-Switching Cointegrated Autoregressions” mimeo.

77. 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.

78. Caporin M., P. Paruolo (2005) “Spatial effects in multivariate ARCH”, WP Facoltà di Economia 2005/1 Università dell'Insubria, Varese, Italy.

79. Paruolo P. (2005) Design of vector autoregressive processes for invariant statistics, WP Facoltà di Economia 2005/6 Università dell'Insubria, Varese, Italy, submitted.

80. 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.

81. 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

82. 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.

83. 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.

84. 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, Università dell'Insubria, Varese, Italy.

85. Paruolo P. (2000) “Testing cointegration on satellite ozone data”, mimeo Università dell'Insubria, Varese, Italy, June 1999, revised June 2000.

86. 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.

87. 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.

88. Paruolo P. (1995) “Testing for multicointegration”, Dipartimento di Scienze Statistiche, Università di Bologna, mimeo May 1995.

89. 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.

90. Ansuini A., Fornasari C., Paruolo P. (1990) “Sulla relazione fra tassi interbancari e tassi di policy” documento Prometeia - Centro Studi del Credito Italiano.

91. 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.

92. Paruolo P. (1990) “A note on Constrained Maximum Likelihood Inference in Cointegrated Systems”; discussion paper Department of Statistics, University of Bologna, December 1990.

93. 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.

94. Paruolo P. (1988) “Sulla testabilità dei Capital Asset Pricing Models Uniperiodali”, Preprint n. 42 della Biblioteca Walter Bigiavi, Università di Bologna.

95. 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.

96. 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

· Bullettin of Economic Research

· Computational Statistics and Data Analysis

· Econometrica

· International Economics / Economia internazionale

· Econometric Reviews

· Econometric Theory

· Empirical Economics

· European Economic Review

· European Journal of Finance

· International Economics

· Investigationes Economicas

· Journal of Applied Econometrics

· 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

· 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/Offices of Scientific Societies

· President of SIdE - Italian Econometric Society (Società Italiana di Econometria) 2010

· Vice President of SIdE - Italian Econometric Society (Società Italiana di Econometria) 2009-2011

· Member of the Steering Committee of CIdE (Italian Inter-University Centre for Econometrics) 2004 – 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, stabilization and contagion in real and financial markets”, MUR grant 2006131140, as national coordinator

· 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 (16-17/11/2006)

· University of Insubria research evaluation committee (as chair) for the University research funds (Fondi Ateneo della Ricerca) in Economics, Mathematics, and Computer Science 2002-2007

Participation in recent conferences programme committees

“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/

“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.eea-esem2008.org/

“44^th 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.eea-esem-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.eea-esem2006.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 and Department of Economics, 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

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: “Financial Econometrics” (Econometria dei mercati finanziari A) course of studies in Economics, University of Insubria, Varese, Italy;

· A.Y. 2010/11: “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.

Program of studies coordinator

A.Y. 2002/3 to 2006/7: undergraduate and graduate courses of studies in

“Economics, Banking and Finance”, University of Insubria, Varese, Italy.

Industry jobs and other posts

1987-1988 Collaboration with West80 on the project “Forecasting models for the pilot project on retail shipment self-determination for the AGIP network”

1988-1998 Collaboration with 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.

2004-2005 Consulting for Db-line (http://www.dbline.it/) on “Forecasting sales”

2008 Consulting for TXT solutions

2008-2010 Visiting senior scientist at The European Commission, Joint Research Centre, Ispra IT