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

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: 6.

2026

Avarucci, Marco, Raponi, Valentina and Zaffaroni, Paolo (2026) Estimating the number of latent factors: a comparative analysis. Econometric Reviews, (Accepted for Publication)

2025

Avarucci, Marco, 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 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, 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. 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. 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 Wed Apr 1 03:58:00 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