Details about Paolo Santucci de Magistris

Access statistics for papers by Paolo Santucci de Magistris.

Last updated 2025-09-15. Update your information in the RePEc Author Service.

Short-id: psa2171

Working Papers

2022

1. Realized Illiquidity
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2019

2. Dynamic discrete mixtures for high frequency prices
   Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
   See also Journal Article Dynamic Discrete Mixtures for High-Frequency Prices, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (6) (2022)
3. Resuscitating the co-fractional model of Granger (1986)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2019)
4. Trading Volume, Illiquidity and Commonalities in FX Markets
   Working Papers on Finance, University of St. Gallen, School of Finance View citations (6)

2017

5. A Non-Structural Investigation of VIX Risk Neutral Density
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   See also Journal Article A non-structural investigation of VIX risk neutral density, Journal of Banking & Finance, Elsevier (2019) View citations (3) (2019)
6. Does the ARFIMA really shift?
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
7. Price convergence within and between the Italian electricity day-ahead and dispatching services markets
   "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
8. The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article The bank-sovereign nexus: Evidence from a non-bailout episode, Journal of Empirical Finance, Elsevier (2019) View citations (3) (2019)

2016

9. Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2015

10. Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2014

11. Chasing Volatility. A Persistent Multiplicative Error Model With Jumps
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (6)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (7)
12. Forecasting with the Standardized Self-Perturbed Kalman Filter
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    Also in Studies in Economics, School of Economics, University of Kent (2014) View citations (3)
    See also Journal Article Forecasting With the Standardized Self‐Perturbed Kalman Filter, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (5) (2017)
13. Indirect inference with time series observed with error
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article Indirect inference with time series observed with error, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (3) (2018)
14. On the identification of fractionally cointegrated VAR models with the F(d) condition
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) View citations (17)
    See also Journal Article On the Identification of Fractionally Cointegrated VAR Models With the Condition, Journal of Business & Economic Statistics, Taylor & Francis Journals (2019) View citations (5) (2019)
15. Volatility jumps and their economic determinants
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (15)
    See also Journal Article Volatility Jumps and Their Economic Determinants, Journal of Financial Econometrics, Oxford University Press (2016) View citations (24) (2016)

2013

16. It's all about volatility of volatility: evidence from a two-factor stochastic volatility model
    Studies in Economics, School of Economics, University of Kent View citations (10)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) View citations (10)
    See also Journal Article It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model, Journal of Empirical Finance, Elsevier (2015) View citations (13) (2015)

2012

17. Estimation of long memory in integrated variance
    DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (5)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (2)
    See also Journal Article Estimation of Long Memory in Integrated Variance, Econometric Reviews, Taylor & Francis Journals (2014) View citations (7) (2014)
18. On the Predictability of Stock Prices: a Case for High and Low Prices
    Working Papers on Finance, University of St. Gallen, School of Finance
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2011) View citations (2)
    See also Journal Article On the predictability of stock prices: A case for high and low prices, Journal of Banking & Finance, Elsevier (2013) View citations (25) (2013)

2011

19. Conditional jumps in volatility and their economic determinants
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (5)
20. When Long Memory Meets the Kalman Filter: A Comparative Study
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
    See also Journal Article When long memory meets the Kalman filter: A comparative study, Computational Statistics & Data Analysis, Elsevier (2014) View citations (12) (2014)

2010

21. Level Shifts in Volatility and the Implied-Realized Volatility Relation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)

2009

22. A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
23. Long Memory and Tail dependence in Trading Volume and Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
    See also Journal Article Long memory and tail dependence in trading volume and volatility, Journal of Empirical Finance, Elsevier (2013) View citations (27) (2013)

Journal Articles

2025

1. Liquidity Coverage at Risk
   Quantitative Finance, 2025, 25, (2), 291-306

2024

2. Bayesian Flexible Local Projections
   Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (2), 435-462

2023

3. Climate, wind energy, and CO2 emissions from energy production in Denmark
   Energy Economics, 2023, 125, (C) View citations (3)

2022

4. Dynamic Discrete Mixtures for High-Frequency Prices
   Journal of Business & Economic Statistics, 2022, 40, (2), 559-577 View citations (6)
   See also Working Paper Dynamic discrete mixtures for high frequency prices, Discussion Papers (2019) (2019)
5. Liquidity in the global currency market
   Journal of Financial Economics, 2022, 146, (3), 859-883 View citations (5)

2021

6. Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting
   Journal of the Royal Statistical Society Series A, 2021, 184, (1), 118-149 View citations (3)

2019

7. A non-structural investigation of VIX risk neutral density
   Journal of Banking & Finance, 2019, 99, (C), 1-20 View citations (3)
   See also Working Paper A Non-Structural Investigation of VIX Risk Neutral Density, CREATES Research Papers (2017) View citations (1) (2017)
8. It only takes a few moments to hedge options
   Journal of Economic Dynamics and Control, 2019, 100, (C), 251-269 View citations (1)
9. On the Identification of Fractionally Cointegrated VAR Models With the Condition
   Journal of Business & Economic Statistics, 2019, 37, (1), 134-146 View citations (5)
   See also Working Paper On the identification of fractionally cointegrated VAR models with the F(d) condition, CREATES Research Papers (2014) View citations (6) (2014)
10. The bank-sovereign nexus: Evidence from a non-bailout episode
    Journal of Empirical Finance, 2019, 53, (C), 181-196 View citations (3)
    See also Working Paper The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode, CREATES Research Papers (2017) (2017)
11. Volatility tail risk under fractionality
    Journal of Banking & Finance, 2019, 108, (C) View citations (2)

2018

12. Analyzing the Risks Embedded in Option Prices with rndfittool
    Risks, 2018, 6, (2), 1-15 View citations (2)
13. Indirect inference with time series observed with error
    Journal of Applied Econometrics, 2018, 33, (6), 874-897 View citations (3)
    See also Working Paper Indirect inference with time series observed with error, CREATES Research Papers (2014) (2014)

2017

14. Chasing volatility
    Journal of Econometrics, 2017, 198, (1), 122-145 View citations (2)
15. Forecasting With the Standardized Self‐Perturbed Kalman Filter
    Journal of Applied Econometrics, 2017, 32, (2), 318-341 View citations (5)
    See also Working Paper Forecasting with the Standardized Self-Perturbed Kalman Filter, CREATES Research Papers (2014) View citations (3) (2014)

2016

16. Volatility Jumps and Their Economic Determinants
    Journal of Financial Econometrics, 2016, 14, (1), 29-80 View citations (24)
    See also Working Paper Volatility jumps and their economic determinants, CREATES Research Papers (2014) View citations (15) (2014)

2015

17. It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model
    Journal of Empirical Finance, 2015, 30, (C), 62-78 View citations (13)
    See also Working Paper It's all about volatility of volatility: evidence from a two-factor stochastic volatility model, Studies in Economics (2013) View citations (10) (2013)

2014

18. Estimation of Long Memory in Integrated Variance
    Econometric Reviews, 2014, 33, (7), 785-814 View citations (7)
    See also Working Paper Estimation of long memory in integrated variance, DEM Working Papers Series (2012) View citations (5) (2012)
19. When long memory meets the Kalman filter: A comparative study
    Computational Statistics & Data Analysis, 2014, 76, (C), 301-319 View citations (12)
    See also Working Paper When Long Memory Meets the Kalman Filter: A Comparative Study, CREATES Research Papers (2011) View citations (6) (2011)

2013

20. A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges
    Journal of Futures Markets, 2013, 33, (1), 77-102 View citations (15)
21. Long memory and tail dependence in trading volume and volatility
    Journal of Empirical Finance, 2013, 22, (C), 94-112 View citations (27)
    See also Working Paper Long Memory and Tail dependence in Trading Volume and Volatility, CREATES Research Papers (2009) View citations (5) (2009)
22. On the predictability of stock prices: A case for high and low prices
    Journal of Banking & Finance, 2013, 37, (12), 5132-5146 View citations (25)
    See also Working Paper On the Predictability of Stock Prices: a Case for High and Low Prices, Working Papers on Finance (2012) (2012)

2012

23. On the evaluation of marginal expected shortfall
    Applied Economics Letters, 2012, 19, (2), 175-179 View citations (3)