Wise Men's first periodical (4)
I believe the answer is:
magi
'wise men's' is the definition.
(the three wise men from the nativity)
'first periodical' is the wordplay.
I cannot quite see how this works, but
'first' could be 'i' (I in Roman numerals eg Elizabeth I) and 'i' is located in the answer.
'periodical' could be 'mag' (abbreviation for magazine) and 'mag' is found in the answer.
No letters remain.
This explanation may well be incorrect...
Can you help me to learn more?
(Other definitions for magi that I've seen before include "Wise men, visitors to Bethlehem" , "Three Wise Men from the East" , "Caspar, Melchior and Balthazar" , "Caspar, Melchior and Balthasar" , "Star witnesses" .)