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Details about Paolo Santucci de Magistris

E-mail:
Homepage:http://docenti.luiss.it/demagistris/
Workplace:Dipartimento di Economia e Finanza (DEF) (Department of Economics and Finance), Libera Università Internazionale degli Studi Sociali Guido Carli (LUISS) (International Free University of Social Sciences Guido Carli), (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

Access statistics for papers by Paolo Santucci de Magistris.

Last updated 2019-09-12. Update your information in the RePEc Author Service.

Short-id: psa1128


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Working Papers

2019

  1. Dynamic discrete mixtures for high frequency prices
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
  2. Resuscitating the co-fractional model of Granger (1986)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2019) Downloads

2018

  1. Trading Volume, Illiquidity and Commonalities in FX Markets
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (1)

2017

  1. A Non-Structural Investigation of VIX Risk Neutral Density
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2019)
  2. Does the ARFIMA really shift?
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  3. Price convergence within and between the Italian electricity day-ahead and dispatching services markets
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads
  4. The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2014

  1. Chasing Volatility. A Persistent Multiplicative Error Model With Jumps
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (5)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads View citations (6)
  2. Forecasting with the Standardized Self-Perturbed Kalman Filter
    Studies in Economics, School of Economics, University of Kent Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads View citations (3)

    See also Journal Article in Journal of Applied Econometrics (2017)
  3. Indirect inference with time series observed with error
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Applied Econometrics (2018)
  4. On the identification of fractionally cointegrated VAR models with the F(d) condition
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads View citations (15)

    See also Journal Article in Journal of Business & Economic Statistics (2019)
  5. Volatility jumps and their economic determinants
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (12)
    See also Journal Article in Journal of Financial Econometrics (2016)

2013

  1. It's all about volatility of volatility: evidence from a two-factor stochastic volatility model
    Studies in Economics, School of Economics, University of Kent Downloads View citations (8)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads View citations (8)

    See also Journal Article in Journal of Empirical Finance (2015)

2012

  1. Estimation of long memory in integrated variance
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (2)

    See also Journal Article in Econometric Reviews (2014)
  2. On the Predictability of Stock Prices: a Case for High and Low Prices
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2011) Downloads View citations (1)

    See also Journal Article in Journal of Banking & Finance (2013)

2011

  1. Conditional jumps in volatility and their economic determinants
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (5)
  2. When Long Memory Meets the Kalman Filter: A Comparative Study
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    See also Journal Article in Computational Statistics & Data Analysis (2014)

2010

  1. Level Shifts in Volatility and the Implied-Realized Volatility Relation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)

2009

  1. A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
  2. Long Memory and Tail dependence in Trading Volume and Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    See also Journal Article in Journal of Empirical Finance (2013)

Journal Articles

2019

  1. A non-structural investigation of VIX risk neutral density
    Journal of Banking & Finance, 2019, 99, (C), 1-20 Downloads View citations (1)
    See also Working Paper (2017)
  2. It only takes a few moments to hedge options
    Journal of Economic Dynamics and Control, 2019, 100, (C), 251-269 Downloads View citations (1)
  3. On the Identification of Fractionally Cointegrated VAR Models With the Condition
    Journal of Business & Economic Statistics, 2019, 37, (1), 134-146 Downloads
    See also Working Paper (2014)

2018

  1. Analyzing the Risks Embedded in Option Prices with rndfittool
    Risks, 2018, 6, (2), 1-15 Downloads View citations (2)
  2. Indirect inference with time series observed with error
    Journal of Applied Econometrics, 2018, 33, (6), 874-897 Downloads View citations (1)
    See also Working Paper (2014)

2017

  1. Chasing volatility
    Journal of Econometrics, 2017, 198, (1), 122-145 Downloads View citations (2)
  2. Forecasting With the Standardized Self‐Perturbed Kalman Filter
    Journal of Applied Econometrics, 2017, 32, (2), 318-341 Downloads
    See also Working Paper (2014)

2016

  1. Volatility Jumps and Their Economic Determinants
    Journal of Financial Econometrics, 2016, 14, (1), 29-80 Downloads View citations (9)
    See also Working Paper (2014)

2015

  1. It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model
    Journal of Empirical Finance, 2015, 30, (C), 62-78 Downloads View citations (5)
    See also Working Paper (2013)

2014

  1. Estimation of Long Memory in Integrated Variance
    Econometric Reviews, 2014, 33, (7), 785-814 Downloads View citations (5)
    See also Working Paper (2012)
  2. When long memory meets the Kalman filter: A comparative study
    Computational Statistics & Data Analysis, 2014, 76, (C), 301-319 Downloads View citations (8)
    See also Working Paper (2011)

2013

  1. A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges
    Journal of Futures Markets, 2013, 33, (1), 77-102 View citations (11)
  2. Long memory and tail dependence in trading volume and volatility
    Journal of Empirical Finance, 2013, 22, (C), 94-112 Downloads View citations (12)
    See also Working Paper (2009)
  3. On the predictability of stock prices: A case for high and low prices
    Journal of Banking & Finance, 2013, 37, (12), 5132-5146 Downloads View citations (10)
    See also Working Paper (2012)

2012

  1. On the evaluation of marginal expected shortfall
    Applied Economics Letters, 2012, 19, (2), 175-179 Downloads
 
Page updated 2019-10-12