He has been visiting professor at the Department of Economics of Duke University, and at the Center of Econometric Analysis (CEA) of Cass Business School in London. He is senior scientific fellow of the Joint Research Center (European Commission). He has served as referee for, among many others, Journal of Applied Econometrics, Journal of Econometrics, Journal of Royal Statistical Society series B. He is regularly presenting his work in international conferences and seminars. Research Interests: Financial Econometrics, Time Series, Econometrics, Panel factor models.

Recent Publications

• E. Rossi, and P.Santucci de Magistris Indirect inference with time series observed with error. Journal of Applied Econometrics, 33:874-–897, 2018.
• Caporin, M., E. Rossi and P. Santucci de Magistris ,“Chasing Volatility: A Persistent Multiplicative Error Model with Jumps”, Journal of Econometrics, 198(1): 122-145, 2017.
• Caporin, M., E. Rossi and P. Santucci de Magistris, “Volatility Jumps and Their Economic Determinants”, Journal of Financial Econometrics, 14(1): 29-80, 2016.
• Ghalanos, A., E. Rossi and G. Urga, “Independent Factor Autoregressive Conditional Density Model”, Econometric Reviews, 35(5): 594-616, 2015.
• Castagnetti, C., E. Rossi and L. Trapani, “Inference on Factor Structures in Heterogeneous Panels”, Journal of Econometrics, 184(1): 145-157, 2015.