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 2 6 345
A Non-Structural Investigation of VIX Risk Neutral Density 0 0 2 11 1 4 16 55
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 1 2 22 1 2 9 86
Chasing volatility - A persistent multiplicative error model with jumps 0 0 1 91 0 1 7 120
Conditional jumps in volatility and their economic determinants 1 1 3 52 1 3 8 172
Does the ARFIMA really shift? 0 0 1 12 1 6 28 64
Dynamic discrete mixtures for high frequency prices 2 6 11 65 7 15 31 65
Estimation of long memory in integrated variance 0 0 0 44 1 1 4 140
Estimation of long memory in integrated variance 0 0 0 42 1 1 5 112
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 3 61 1 1 12 109
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 77 0 2 9 107
Indirect inference with time series observed with error 0 0 1 55 0 0 5 77
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model 0 0 0 41 2 4 7 84
It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model 0 0 0 111 0 2 9 222
Level Shifts in Volatility and the Implied-Realized Volatility Relation 0 0 1 105 0 0 6 159
Long Memory and Tail dependence in Trading Volume and Volatility 0 0 0 137 2 6 16 335
On the Predictability of Stock Prices: A Case for High and Low Prices 1 1 2 54 1 5 18 239
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 2 16 0 3 13 113
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 51 0 0 10 124
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 36 3 6 11 57
Price convergence within and between the Italian electricity day-ahead and dispatching services markets 1 2 3 26 2 4 10 59
Resuscitating the co-fractional model of Granger (1986) 2 3 11 41 6 8 29 53
Resuscitating the co-fractional model of Granger (1986) 1 1 1 2 4 11 23 30
The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode 0 0 2 52 3 5 22 76
Trading Volume, Illiquidity and Commonalities in FX Markets 1 1 9 38 2 4 33 82
Volatility jumps and their economic determinants 1 1 2 61 1 2 12 131
When Long Memory Meets the Kalman Filter: A Comparative Study 0 0 1 95 0 1 6 145
Total Working Papers 10 17 58 1,493 40 99 365 3,361


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 6 71
A non-structural investigation of VIX risk neutral density 0 3 9 17 1 7 31 79
Analyzing the Risks Embedded in Option Prices with rndfittool 0 0 0 0 2 4 14 29
Chasing volatility 0 0 3 13 1 4 12 60
Estimation of Long Memory in Integrated Variance 0 0 0 6 1 9 13 65
Forecasting With the Standardized Self‐Perturbed Kalman Filter 0 0 1 4 1 2 9 26
Indirect inference with time series observed with error 0 0 0 2 0 1 5 17
It only takes a few moments to hedge options 0 1 4 6 0 2 16 37
It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model 0 0 0 8 0 1 6 72
Long memory and tail dependence in trading volume and volatility 0 0 1 25 1 1 2 119
On the Identification of Fractionally Cointegrated VAR Models With the Condition 0 0 2 2 1 3 7 10
On the evaluation of marginal expected shortfall 0 0 1 24 0 1 5 128
On the predictability of stock prices: A case for high and low prices 0 0 3 37 0 2 19 149
The bank-sovereign nexus: Evidence from a non-bailout episode 1 2 2 2 6 9 23 32
Volatility Jumps and Their Economic Determinants 1 1 3 4 2 3 11 22
Volatility tail risk under fractionality 0 0 2 2 1 3 13 13
When long memory meets the Kalman filter: A comparative study 0 0 0 10 0 1 4 47
Total Journal Articles 2 7 31 162 17 53 196 976


Statistics updated 2021-01-03