Adam Smith Business School

Dr Marco Avarucci

  • Lecturer in Economics (Economics)

telephone: 0141 330 2721
email: Marco.Avarucci@glasgow.ac.uk

Adam Smith Business School, 2 Discovery Place, Glasgow, Room 520, G11 6EY

Import to contacts

ORCID iDhttps://orcid.org/0009-0000-3746-5950

Biography

Marco joined the Department in January 2013. Previously he was Postdoctoral researcher at Maastricht University and at LUISS in Rome.  He holds a PhD in Econometrics and Empirical Economics from Tor Vergata University of Rome.

Research interests

Long memory processes

Nonstationarity and Cointegration

Volatility

Factor Models

 

Publications

List by: Type | Date

Jump to: 2026 | 2025 | 2023 | 2013 | 2009 | 2007
Number of items: 7.

2026

Avarucci, Marco ORCID logoORCID: https://orcid.org/0009-0000-3746-5950, Raponi, Valentina and Zaffaroni, Paolo (2026) Estimating the number of latent factors: a comparative analysis. Econometric Reviews, (doi: 10.1080/07474938.2026.2648946) (Early Online Publication)

Misic, Gorana ORCID logoORCID: https://orcid.org/0000-0001-9389-9534, Sprenger, Carsten ORCID logoORCID: https://orcid.org/0000-0001-5399-3147 and Avarucci, Marco ORCID logoORCID: https://orcid.org/0009-0000-3746-5950 (2026) Take a minute: facilitating teamworking skills development [blog post]. [Website]

2025

Avarucci, Marco ORCID logoORCID: https://orcid.org/0009-0000-3746-5950, Cavicchioli, Maddalena, Forni, Mario and Zaffaroni, Paolo (2025) Frequency-band estimation of the number of factors. Journal of the American Statistical Association, (doi: 10.1080/01621459.2025.2571246) (Early Online Publication)

2023

Avarucci, Marco ORCID logoORCID: https://orcid.org/0009-0000-3746-5950 and Zaffaroni, Paolo (2023) Robust estimation of large panels with factor structures. Journal of the American Statistical Association, 118(544), pp. 2394-2405. (doi: 10.1080/01621459.2022.2050244)

2013

Avarucci, Marco ORCID logoORCID: https://orcid.org/0009-0000-3746-5950, Beutner, Eric and Zaffaroni, Paolo (2013) On moment conditions for quasi-maximum likelihood estimation of multivariate arch models. Econometric Theory, 29(3), pp. 545-566. (doi: 10.1017/S0266466612000473)

2009

Avarucci, M. ORCID logoORCID: https://orcid.org/0009-0000-3746-5950 and Velasco, C. (2009) A Wald test for the cointegration rank in nonstationary fractional systems. Journal of Econometrics, 151(2), pp. 178-189. (doi: 10.1016/j.jeconom.2009.03.007)

2007

Avarucci, M. ORCID logoORCID: https://orcid.org/0009-0000-3746-5950 and Marinucci, D. (2007) Polynomial cointegration between stationary processes with long memory. Journal of Time Series Analysis, 28(6), pp. 923-942. (doi: 10.1111/j.1467-9892.2007.00540.x)

This list was generated on Sun Aug 2 00:55:35 2026 BST.
Jump to: Articles | Website
Number of items: 7.

Articles

Avarucci, Marco ORCID logoORCID: https://orcid.org/0009-0000-3746-5950, Raponi, Valentina and Zaffaroni, Paolo (2026) Estimating the number of latent factors: a comparative analysis. Econometric Reviews, (doi: 10.1080/07474938.2026.2648946) (Early Online Publication)

Avarucci, Marco ORCID logoORCID: https://orcid.org/0009-0000-3746-5950, Cavicchioli, Maddalena, Forni, Mario and Zaffaroni, Paolo (2025) Frequency-band estimation of the number of factors. Journal of the American Statistical Association, (doi: 10.1080/01621459.2025.2571246) (Early Online Publication)

Avarucci, Marco ORCID logoORCID: https://orcid.org/0009-0000-3746-5950 and Zaffaroni, Paolo (2023) Robust estimation of large panels with factor structures. Journal of the American Statistical Association, 118(544), pp. 2394-2405. (doi: 10.1080/01621459.2022.2050244)

Avarucci, Marco ORCID logoORCID: https://orcid.org/0009-0000-3746-5950, Beutner, Eric and Zaffaroni, Paolo (2013) On moment conditions for quasi-maximum likelihood estimation of multivariate arch models. Econometric Theory, 29(3), pp. 545-566. (doi: 10.1017/S0266466612000473)

Avarucci, M. ORCID logoORCID: https://orcid.org/0009-0000-3746-5950 and Velasco, C. (2009) A Wald test for the cointegration rank in nonstationary fractional systems. Journal of Econometrics, 151(2), pp. 178-189. (doi: 10.1016/j.jeconom.2009.03.007)

Avarucci, M. ORCID logoORCID: https://orcid.org/0009-0000-3746-5950 and Marinucci, D. (2007) Polynomial cointegration between stationary processes with long memory. Journal of Time Series Analysis, 28(6), pp. 923-942. (doi: 10.1111/j.1467-9892.2007.00540.x)

Website

Misic, Gorana ORCID logoORCID: https://orcid.org/0000-0001-9389-9534, Sprenger, Carsten ORCID logoORCID: https://orcid.org/0000-0001-5399-3147 and Avarucci, Marco ORCID logoORCID: https://orcid.org/0009-0000-3746-5950 (2026) Take a minute: facilitating teamworking skills development [blog post]. [Website]

This list was generated on Sun Aug 2 00:55:35 2026 BST.

Grants

MiUR - PRIN 2006 Optimization and control methods for the public debt management: static and dynamic models. Project coordinator: Prof. Fausto Gozzi.

Supervision

Marco will be happy to consider PhD projects involving theoretical and applied econometrics.

  • Wang, Buchun
    A mix asset pricing model of stocks based on LSTM

Teaching

Master (MSc): 

  • Basic Econometrics (ECON 5002)
  • Modelling and Forecasting Financial Markets (ECON 5022)

MRes:

  • Research Methods and Research Design (ECON 5082) - Mathematical Statistic Module

Dr Marco Avarucci, Lecturer in Economics