Access Statistics for Paolo Santucci de Magistris

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility 0 0 0 95 0 0 0 346
A Non-Structural Investigation of VIX Risk Neutral Density 0 0 0 11 6 6 12 92
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 0 3 25 0 0 11 110
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 0 0 0 122
Conditional jumps in volatility and their economic determinants 0 0 0 58 0 1 3 191
Does the ARFIMA really shift? 0 0 1 16 0 0 5 105
Dynamic discrete mixtures for high frequency prices 0 0 0 68 0 0 0 78
Estimation of long memory in integrated variance 0 0 0 42 0 0 0 120
Estimation of long memory in integrated variance 0 0 2 48 0 0 4 151
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 78 0 0 3 123
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 61 1 1 2 125
Indirect inference with time series observed with error 0 0 0 55 0 0 2 82
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model 0 1 1 43 2 3 7 110
It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model 0 0 0 111 1 1 4 234
Level Shifts in Volatility and the Implied-Realized Volatility Relation 0 0 0 105 0 0 0 159
Long Memory and Tail dependence in Trading Volume and Volatility 0 0 0 137 0 0 0 363
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 1 55 3 3 7 258
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 2 18 0 0 3 122
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 37 0 0 0 62
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 1 52 0 0 1 125
Price convergence within and between the Italian electricity day-ahead and dispatching services markets 0 0 0 27 0 0 2 75
Resuscitating the co-fractional model of Granger (1986) 0 0 0 42 0 0 0 74
Resuscitating the co-fractional model of Granger (1986) 0 0 0 3 1 1 1 60
Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach 0 0 1 25 0 0 1 91
Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach 0 0 0 58 0 0 0 59
Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach 0 0 0 21 0 0 0 50
The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode 0 0 0 52 0 0 3 89
Trading Volume, Illiquidity and Commonalities in FX Markets 0 0 5 49 3 5 17 136
Volatility jumps and their economic determinants 0 0 2 65 0 0 2 137
When Long Memory Meets the Kalman Filter: A Comparative Study 0 0 0 96 0 0 1 154
Total Working Papers 0 1 19 1,644 17 21 91 4,003

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges 0 0 0 0 0 0 0 74
A non-structural investigation of VIX risk neutral density 0 0 0 22 0 0 4 108
Analyzing the Risks Embedded in Option Prices with rndfittool 0 1 2 2 0 2 5 40
Chasing volatility 1 1 4 18 1 3 12 86
Dynamic Discrete Mixtures for High-Frequency Prices 0 0 1 1 0 0 3 3
Estimation of Long Memory in Integrated Variance 0 0 0 6 0 0 2 74
Forecasting With the Standardized Self‐Perturbed Kalman Filter 0 0 0 4 0 0 1 33
Indirect inference with time series observed with error 0 0 1 3 0 0 2 20
It only takes a few moments to hedge options 0 0 2 14 0 0 6 61
It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model 0 1 1 9 0 2 4 88
Liquidity in the global currency market 2 4 8 8 5 12 18 18
Long memory and tail dependence in trading volume and volatility 0 0 0 27 0 0 1 131
Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting 0 2 4 4 1 4 12 18
On the Identification of Fractionally Cointegrated VAR Models With the Condition 0 0 1 4 0 0 1 16
On the evaluation of marginal expected shortfall 1 1 1 28 3 3 4 144
On the predictability of stock prices: A case for high and low prices 0 0 2 43 2 2 10 174
The bank-sovereign nexus: Evidence from a non-bailout episode 0 0 0 4 0 0 2 43
Volatility Jumps and Their Economic Determinants 0 1 1 6 1 2 34 64
Volatility tail risk under fractionality 0 0 2 6 0 0 3 23
When long memory meets the Kalman filter: A comparative study 0 0 2 13 1 1 8 65
Total Journal Articles 4 11 32 222 14 31 132 1,283

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Statistics updated 2023-03-10