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Paolo Paruolo - Curriculum vitae

Last update: 17 January 2017

Personal

Citizenship: Italian

Date of birth: November 5, 1963

Languages: 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”, Supervisor S.

Johansen (University of Copenhagen).

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, Ispra, Italy

Ranking

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 Center for Evaluation and Development, University of Mannheim, since 2016

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

Journal editorial work

Co-Editor of Econometric Theory, Problems and solutions 2000-2004

Co-Editor of Econometric Theory, Notes and problems 2005-2009

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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 (articles and book chapters)

2017

Mosconi, R., Paruolo, P. (2017): “Identification conditions in simultaneous systems of cointegrating

equations of higher order”, forthcoming in the Journal of Econometrics. Formerly titled “Rank and

order conditions for identification in simultaneous system of cointegrating equations with integrated

variables of order two”, WP version available as MPRA Paper 53589, http://mpra.ub.uni-

muenchen.de/id/eprint/53589

2016

Franchi M., P. Paruolo (2016) “Inverting a matrix function around a singularity via local rank

factorization”, SIAM Journal on Matrix Analysis and Applications, 37(2), 774-797;

doi:10.1137/140999839. WP version DSS-E3 WP 2014/6, Dipartimento di Scienze Statistiche,

Università di Roma “La Sapienza”.

W. Becker, P. Paruolo, M. Saisana, A. Saltelli (2016) “Weights and importance in composite indicators:

Mind the gap”, in (Bertrand Iooss and Andrea Saltelli eds.) Springer Handbook on Uncertainty

Quantification, doi:10.1007/978-3-319-11259-6_40-1.

2015

Franchi M., Paruolo P. (2015) “Minimality of state space solutions of DSGE models and existence

conditions for their VAR representation”, Computational Economics 46, 613-626, doi:10.1007/s10614-

014-9465-4.

Caporin M., P. Paruolo (2015) “Proximity-Structured Multivariate Volatility Models”, Econometric

Reviews 34(5), 559-593, DOI: 10.1080/07474938.2013.807102. Correction (2017).

Paolo Paruolo, Ben Murphy and Greet Janssens-Maenhout (2015) “Do emissions and income have a

common trend? A country-specific, time-series, global analysis, 1970-2008” Stochastic Environmental

Research and Risk Assessment 29, 93–107, DOI: 10.1007/s00477-014-0929-9

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.

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.

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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.

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.

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.

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

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.

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.

2005

P. Paruolo (2005) “Automated inference and the future of econometrics: a comment”, Econometric

Theory, 21, 78-84; doi:10.1017/S0266466605050061.

Omtzigt P., P. Paruolo (2005) “Impact Factors”, Journal of Econometrics 128, 31-68, link or

doi:10.1016/j.jeconom.2004.08.007.

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, 665-666,

doi:10.1017/S026646660505036X.

2002

Abadir K.M., Paruolo P. (2002) “Simple Robust Testing of Regression Hypotheses: a Comment”

Econometrica, 70, 2097-2099.

Paruolo P. (2002a) “Asymptotic inference on the moving average impact matrix in cointegrated I(2)

VAR systems”, Econometric Theory, 18, 673-690.

Paruolo P. (2002b) “On Monte Carlo Estimation of Relative Power” Econometrics Journal, 5, 65-75.

2001

Paruolo P. (2001a) “The power of lambda max” Oxford Bulletin of Economics and Statistics 63, 395-

403

Paruolo P. (2001b) “LR tests for cointegration when some cointegrating relations are known” Statistical

Methods and Applications, 10, 123-137

Paruolo P. (2001c) “The limit distribution of cointegration rank tests of “Wald” type” Econometric

Theory, 17, Problem 01.4.3, 855

2000

Paruolo P. (2000a) “Asymptotic efficiency of the two stage estimator in I(2) systems”, Econometric

Theory 16, 524-550

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

Paruolo P. (2000c) “A distributional equality” Econometric Theory, 16, Problem 00.6.2, p. 1043;

Solution Econometric Theory, 17, p. 1159-1160

1999

Paruolo P., Rahbek A. (1999) “Weak exogeneity in I(2) VAR systems”, Journal of Econometrics, 93,

281-308

1998

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Paruolo P. (1998a) “Tests of integration in circular autoregressive models” Journal of the Italian

Statistical Society, 7, 297-306

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

1997

Abadir K., Paruolo P. (1997) “Two mixed normal densities from cointegration analysis”, Econometrica,

65, 671-680

Paruolo P. (1997a) “Asymptotic inference on the moving average impact matrix in cointegratared I(1)

VAR systems”, Econometric Theory, 13, 79-118. 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

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.

1996

Paruolo P. (1996) “On the determination of integration indices in I(2) systems”, Journal of

Econometrics 72, 313-356

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

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.

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.

1992

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, doi:10.1016/0012-

821X(92)90191-W

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. 105-126.

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

Imprese e Mercati, IV, 1992, 437-456.

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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. (201?) 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: 88-491-0104-X,

(in Italian).

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

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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, 557-564.

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.

Practictioneers journals and miscellanea

P. Paruolo (2010) “Econometria: quasi un secolo di storia”, Lettera Matematica Pristem 74-75, p. 47-49

Springer Italia.

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

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

Boswijk P. H. and P. Paruolo (2017) “Likelihood ratio tests of restrictions on common-trends loading

matrices in I(2) VAR systems”, mimeo.

Franchi M., P. Paruolo (2017) “A general inversion theorem for cointegration”, mimeo.

Doornik J., R. Mosconi, and P. Paruolo (2017) “FORMULA I(1): Circuits for Likelihood Maximization

Algorithms in I(1) and I(2) VAR models”, mimeo.

Morescalchi, A., P. Paruolo (2015) “Too much stick for the carrot? Evidence on the effect of tighter job

search requirements on the claimant's search behaviour”, submitted.

Becker W, Paruolo P, Saltelli A. (2015) “Exploring Hoover and Perez`s experimental designs using

global sensitivity analysis.” arXiv:1401.5617, http://arxiv.org/abs/1401.5617

Simone Martelli, Thierry Bréchet, Greet Janssens-Maenhout, Eric Strobld, Alessandro K. Cerutti, Diego

Guizzardi, Paolo Paruolo and Andreea Iancu (2014) “Individual Commitment or Local Alliances for

Climate Change Mitigation? Evidence from Voting Behaviour in Italy”, mimeo.

Franchi M., Paruolo P. (2012) DSGE models and cyclical co-movements in VARs, mimeo.

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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.

http://eco.uninsubria.it/dipeco/quaderni/files/QF2010_07.pdf

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, 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.

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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

Ecological Indicators

Econometrica

Economics E-Journal

Economic Modelling

Econometric Reviews

Econometric Theory

Empirical Economics

European Economic Review

European Journal of Finance

International Economics / Economia internazionale

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 (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.

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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) 2009-2011

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, 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 (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

“Fifth Italian Conference of Econometrics and Empirical Economics” Genova (IT) January 16-18, 2013, see

www.side-iea.it

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“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/

“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/

“44th

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, 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

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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, 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

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

Academic management positions

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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.