Paolo Santucci de Magistris
Names
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Paolo |
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Santucci de Magistris |
Identifer
Contact
Affiliations
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Aarhus Universitet
/ Institut for Økonomi
/ Center for Research in Econometric Analysis of Time Series (CREATES) (weight: 1%)
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Libera Università Internazionale degli Studi Sociali Guido Carli (LUISS)
/ Dipartimento di Economia e Finanza (DEF) (weight: 99%)
Research profile
author of:
- Long Memory and Tail dependence in Trading Volume and Volatility (RePEc:aah:create:2009-30)
by Eduardo Rossi & Paolo Santucci de Magistris - A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility (RePEc:aah:create:2009-31)
by Eduardo Rossi & Paolo Santucci de Magistris - Level Shifts in Volatility and the Implied-Realized Volatility Relation (RePEc:aah:create:2010-60)
by Bent Jesper Christensen & Paolo Santucci de Magistris - Estimation of long memory in integrated variance (RePEc:aah:create:2011-11)
by Eduardo Rossi & Paolo Santucci de Magistris - When Long Memory Meets the Kalman Filter: A Comparative Study (RePEc:aah:create:2011-14)
by Stefano Grassi & Paolo Santucci de Magistris - It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model (RePEc:aah:create:2013-03)
by Stefano Grassi & Paolo Santucci de Magistris - On the identification of fractionally cointegrated VAR models with the F(d) condition (RePEc:aah:create:2013-44)
by Federico Carlini & Paolo Santucci de Magistris - Forecasting with the Standardized Self-Perturbed Kalman Filter (RePEc:aah:create:2014-12)
by Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris - Volatility jumps and their economic determinants (RePEc:aah:create:2014-27)
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris - Chasing volatility - A persistent multiplicative error model with jumps (RePEc:aah:create:2014-29)
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris - On the identification of fractionally cointegrated VAR models with the F(d) condition (RePEc:aah:create:2014-43)
by Paolo Santucci de Magistris & Federico Carlini - Indirect inference with time series observed with error (RePEc:aah:create:2014-57)
by Eduardo Rossi & Paolo Santucci de Magistris - Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach (RePEc:aah:create:2015-30)
by Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris - Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach (RePEc:aah:create:2016-20)
by Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante - A Non-Structural Investigation of VIX Risk Neutral Density (RePEc:aah:create:2017-15)
by Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante - Does the ARFIMA really shift? (RePEc:aah:create:2017-16)
by Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris - The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode (RePEc:aah:create:2017-25)
by Massimiliano Caporin & Gisle J. Natvik & Francesco Ravazzolo & Paolo Santucci de Magistris - Resuscitating the co-fractional model of Granger (1986) (RePEc:aah:create:2019-02)
by Federico Carlini & Paolo Santucci de Magistris - Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting (RePEc:bla:jorssa:v:184:y:2021:i:1:p:118-149)
by Bent Jesper Christensen & Nabanita Datta Gupta & Paolo Santucci de Magistris - Realized Illiquidity (RePEc:chf:rpseri:rp2290)
by Demetrio Lacava & Angelo Ranaldo & Paolo Santucci de Magistris - When long memory meets the Kalman filter: A comparative study (RePEc:eee:csdana:v:76:y:2014:i:c:p:301-319)
by Grassi, Stefano & Santucci de Magistris, Paolo - It only takes a few moments to hedge options (RePEc:eee:dyncon:v:100:y:2019:i:c:p:251-269)
by Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David - Chasing volatility (RePEc:eee:econom:v:198:y:2017:i:1:p:122-145)
by Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo - Long memory and tail dependence in trading volume and volatility (RePEc:eee:empfin:v:22:y:2013:i:c:p:94-112)
by Rossi, Eduardo & Santucci de Magistris, Paolo - It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model (RePEc:eee:empfin:v:30:y:2015:i:c:p:62-78)
by Grassi, Stefano & Santucci de Magistris, Paolo - The bank-sovereign nexus: Evidence from a non-bailout episode (RePEc:eee:empfin:v:53:y:2019:i:c:p:181-196)
by Caporin, Massimiliano & Natvik, Gisle J. & Ravazzolo, Francesco & Santucci de Magistris, Paolo - Climate, wind energy, and CO2 emissions from energy production in Denmark (RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003195)
by Carlini, Federico & Christensen, Bent Jesper & Datta Gupta, Nabanita & Santucci de Magistris, Paolo - Volatility tail risk under fractionality (RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302298)
by Morelli, Giacomo & Santucci de Magistris, Paolo - On the predictability of stock prices: A case for high and low prices (RePEc:eee:jbfina:v:37:y:2013:i:12:p:5132-5146)
by Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo - A non-structural investigation of VIX risk neutral density (RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20)
by Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco - Liquidity in the global currency market (RePEc:eee:jfinec:v:146:y:2022:i:3:p:859-883)
by Ranaldo, Angelo & de Magistris, Paolo Santucci - Analyzing the Risks Embedded in Option Prices with rndfittool (RePEc:gam:jrisks:v:6:y:2018:i:2:p:28-:d:138299)
by Andrea Barletta & Paolo Santucci de Magistris - Volatility Jumps and Their Economic Determinants (RePEc:oup:jfinec:v:14:y:2016:i:1:p:29-80.)
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris - On the Predictability of Stock Prices: A Case for High and Low Prices (RePEc:pad:wpaper:0136)
by Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris - Conditional jumps in volatility and their economic determinants (RePEc:pad:wpaper:0138)
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris - Chasing Volatility. A Persistent Multiplicative Error Model With Jumps (RePEc:pad:wpaper:0186)
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris - Price convergence within and between the Italian electricity day-ahead and dispatching services markets (RePEc:pad:wpaper:0215)
by Massimiliano Caporin & Fulvio Fontini & Paolo Santucci De Magistris - Estimation of long memory in integrated variance (RePEc:pav:demwpp:017)
by Eduardo Rossi & Paolo Santucci de Magistris - On the evaluation of marginal expected shortfall (RePEc:taf:apeclt:v:19:y:2012:i:2:p:175-179)
by Massimiliano Caporin & Paolo Santucci de Magistris - Estimation of Long Memory in Integrated Variance (RePEc:taf:emetrv:v:33:y:2014:i:7:p:785-814)
by Eduardo Rossi & Paolo Santucci de Magistris - On the Identification of Fractionally Cointegrated VAR Models With the Condition (RePEc:taf:jnlbes:v:37:y:2019:i:1:p:134-146)
by Federico Carlini & Paolo Santucci de Magistris - Dynamic Discrete Mixtures for High-Frequency Prices (RePEc:taf:jnlbes:v:40:y:2022:i:2:p:559-577)
by Leopoldo Catania & Roberto Di Mari & Paolo Santucci de Magistris - It's all about volatility of volatility: evidence from a two-factor stochastic volatility model (RePEc:ukc:ukcedp:1404)
by Stefano Grassi & Paolo Santucci de Magistris - Forecasting with the Standardized Self-Perturbed Kalman Filter (RePEc:ukc:ukcedp:1405)
by Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris - Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach (RePEc:ukc:ukcedp:1511)
by Davide Delle Monache & Stefano Grassi & Paolo Santucci - On the Predictability of Stock Prices: a Case for High and Low Prices (RePEc:usg:sfwpfi:2012:13)
by Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo - Trading Volume, Illiquidity and Commonalities in FX Markets (RePEc:usg:sfwpfi:2018:23)
by Angelo Ranaldo & Paolo Santucci de Magistris - Forecasting With the Standardized Self‐Perturbed Kalman Filter (RePEc:wly:japmet:v:32:y:2017:i:2:p:318-341)
by Stefano Grassi & Nima Nonejad & Paolo Santucci De Magistris - Indirect inference with time series observed with error (RePEc:wly:japmet:v:33:y:2018:i:6:p:874-897)
by Eduardo Rossi & Paolo Santucci de Magistris - A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges (RePEc:wly:jfutmk:v:33:y:2013:i:1:p:77-102)
by Eduardo Rossi & Paolo Santucci de Magistris