Biography

I was assistant professor of econometrics at the Università di Verona. Previously, I was part of the MACFIS team at the Joint Research Centre of the European Commission.

Download my CV for an update on recent working papers.

Interests
  • Copula Functions
  • Econometrics
  • Multivariate Statistics
  • Time Series
Education

  • PhD in Economics/Applied mathemathics, 2014

    Università Ca' Foscari di Venezia/ Universiteè Paris I Pantheon Sorbonne

  • Research Master Economic and Finance IMEF, 2009

    Università Ca' Foscari di Venezia

  • BSc + Master in Physics, 2007

    Università La Sapienza di Roma

Research

Selected Peer-reviewed journal publications and working papers

Full publication list available on Google Scholar.

Working Papers

Gregori, Di Dio, Frattarolo, Martinez-Cillero (2026). Environmental Regulation, Abatement Capital and Investment: Evidence from EU ETS. Banco di Portugal, Economics and Research Department, Working Paper w202608.

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Cardani, Frattarolo, Teresiński (2026). A Polish-ed DSGE model: How EU Integration is Boosting Poland's Convergence. JRC Working Papers in Economics and Finance, 2026/3.

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Frattarolo (2025). Copula Central Asymmetry of Equity Portfolios. arXiv preprint arXiv:2501.00634.

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Journal Articles

Barbaglia, Frattarolo, Hauzenberger, Hirschbühl, Huber, Onorante, Pfarrhofer, Tiozzo Pezzoli (2026). Interpretable Bayesian Machine Learning for Assessing the Effects of Climate News Shocks on Firm-Level Returns. Journal of Financial Econometrics, Volume 24, Issue 5, nbag018.

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Di Dio, Frattarolo (2026). Environmental Regulation, Firm Heterogeneity and Macroeconomic Volatility. Environmental and Resource Economics, Volume 89, Issue 3, pp. 20.

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Barbaglia, Frattarolo, Hauzenberger, Hirschbühl, Huber, Onorante, Pfarrhofer, Tiozzo Pezzoli (2025). Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model. International Journal of Forecasting.

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Casarin, Craiu, Frattarolo, Robert (2024). Living on the Edge: An Unified Approach to Antithetic Sampling . Statistical Science.

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Barbaglia, Frattarolo, Onorante, Pericoli, Ratto, Tiozzo Pezzoli (2023). Testing Big Data in a Big Crisis: Nowcasting under COVID-19. International Journal of Forecasting.

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Billio, Caporin, Frattarolo, Pelizzon (2023). Networks in risk spillovers: A multivariate GARCH perspective. Econometrics and Statistics.

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Billio, Guégan, Frattarolo (2022). High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization. Symmetry, Volume 14, Issue 1, Article 97.

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Billio, Frattarolo, Guégan (2021). Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d. case. Dependence Modeling, Volume 9, Issue 1, pp. 43-61.

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Frattarolo, Parpinel, Pizzi (2020). Combining permutation tests to rank systemically important banks. Statistical Methods \& Applications, Volume 29, Issue 3, pp. 581-596.

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Billio, Frattarolo, Pelizzon (2016). Hedge Fund Tail Risk: An Investigation in Stressed Markets. The Journal of Alternative Investments, Volume 18, Issue 4, pp. 109-124.

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Book Chapters

Frattarolo (2026). Climate Litigation Risk: Comparing Linear and Non Linear Losses of Insurances. In: La Rocca, M., Menzietti, M., Perna, C., Sibillo, M. (eds) New Perspectives in Mathematical and Statistical Methods for Actuarial Sciences and Finance. WMAF 2025..

Frattarolo (2025). Testing for Constant Central Asymmetry Between Two Copulas. In: D'Ambrosio, A., de Rooij, M., De Roover, K., Iorio, C., La Rocca, M. (eds) Supervised and Unsupervised Statistical Data Analysis. CLADAG-VOC 2025. Studies in Classification, Data Analysis, and Knowledge Organization..

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