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 1 2 351
A Non-Structural Investigation of VIX Risk Neutral Density 0 0 0 12 1 7 13 127
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 0 1 26 0 5 10 123
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 0 2 5 131
Conditional jumps in volatility and their economic determinants 0 0 0 63 3 7 11 207
Does the ARFIMA really shift? 0 0 0 18 3 15 23 141
Dynamic discrete mixtures for high frequency prices 0 0 0 68 0 4 8 89
Estimation of long memory in integrated variance 0 0 0 42 1 2 6 126
Estimation of long memory in integrated variance 0 0 0 49 2 5 8 164
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 63 0 14 15 146
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 78 0 3 5 130
Indirect inference with time series observed with error 0 0 1 56 0 2 5 90
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model 0 0 0 43 4 12 15 130
It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model 0 0 0 112 0 5 11 260
Level Shifts in Volatility and the Implied-Realized Volatility Relation 0 0 0 105 1 6 6 167
Long Memory and Tail dependence in Trading Volume and Volatility 0 0 0 137 0 3 6 371
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 0 58 3 19 23 292
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 2 20 2 5 14 138
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 37 1 4 4 66
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 53 1 4 8 135
Price convergence within and between the Italian electricity day-ahead and dispatching services markets 0 0 1 30 1 3 10 89
Realized Illiquidity 1 1 4 22 1 7 15 47
Resuscitating the co-fractional model of Granger (1986) 0 0 0 4 4 14 16 77
Resuscitating the co-fractional model of Granger (1986) 1 1 1 45 2 5 9 94
Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach 0 0 0 25 1 4 6 101
Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach 0 0 0 59 1 3 3 66
The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode 0 0 0 53 1 6 10 104
Trading Volume, Illiquidity and Commonalities in FX Markets 1 1 3 66 3 10 18 188
Volatility jumps and their economic determinants 0 0 0 70 0 1 9 155
When Long Memory Meets the Kalman Filter: A Comparative Study 0 0 0 97 4 16 18 175
Total Working Papers 3 3 13 1,697 40 194 312 4,480

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 3 6 81
A non-structural investigation of VIX risk neutral density 0 0 0 23 1 6 12 126
Analyzing the Risks Embedded in Option Prices with rndfittool 0 0 0 4 0 2 3 48
Bayesian Flexible Local Projections 1 1 1 7 2 5 8 22
Chasing volatility 0 0 1 21 1 9 16 113
Climate, wind energy, and CO2 emissions from energy production in Denmark 0 1 3 5 3 7 13 31
Dynamic Discrete Mixtures for High-Frequency Prices 0 0 0 2 1 5 8 22
Estimation of Long Memory in Integrated Variance 0 0 0 6 1 11 13 88
Forecasting With the Standardized Self‐Perturbed Kalman Filter 0 0 0 4 3 9 14 49
Indirect inference with time series observed with error 0 0 0 6 0 6 8 34
It only takes a few moments to hedge options 0 0 0 18 0 4 16 83
It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model 0 1 1 14 0 4 5 105
Liquidity Coverage at Risk 0 0 2 2 1 2 9 9
Liquidity in the global currency market 2 3 12 44 7 19 62 157
Long memory and tail dependence in trading volume and volatility 0 0 0 27 1 7 12 145
Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting 0 0 0 5 0 1 2 25
On the Identification of Fractionally Cointegrated VAR Models With the Condition 0 1 1 9 0 6 11 37
On the evaluation of marginal expected shortfall 1 1 2 32 2 7 11 160
On the predictability of stock prices: A case for high and low prices 1 1 3 49 4 9 20 202
The bank-sovereign nexus: Evidence from a non-bailout episode 0 0 0 4 3 8 14 58
Volatility Jumps and Their Economic Determinants 0 0 0 9 2 5 8 88
Volatility tail risk under fractionality 0 0 1 7 0 3 10 35
When long memory meets the Kalman filter: A comparative study 0 0 0 15 2 3 5 76
Total Journal Articles 5 9 27 313 34 141 286 1,794

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Statistics updated 2026-03-04