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 3 3 5 354
A Non-Structural Investigation of VIX Risk Neutral Density 0 0 0 12 4 8 19 134
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 0 1 26 2 3 12 126
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 1 3 7 134
Conditional jumps in volatility and their economic determinants 0 0 0 63 3 6 14 210
Does the ARFIMA really shift? 0 0 0 18 4 7 26 145
Dynamic discrete mixtures for high frequency prices 0 0 0 68 0 0 8 89
Estimation of long memory in integrated variance 0 0 0 49 2 4 10 166
Estimation of long memory in integrated variance 0 0 0 42 4 5 10 130
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 63 1 2 16 148
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 78 1 2 7 132
Indirect inference with time series observed with error 0 0 1 56 1 1 6 91
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model 0 0 0 43 6 12 23 138
It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model 0 0 0 112 0 0 11 260
Level Shifts in Volatility and the Implied-Realized Volatility Relation 0 0 0 105 2 3 8 169
Long Memory and Tail dependence in Trading Volume and Volatility 1 1 1 138 3 3 9 374
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 0 58 5 10 30 299
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 1 20 3 5 14 141
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 53 2 3 10 137
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 37 1 4 7 69
Price convergence within and between the Italian electricity day-ahead and dispatching services markets 0 0 1 30 0 2 11 90
Realized Illiquidity 1 2 5 23 3 6 20 52
Resuscitating the co-fractional model of Granger (1986) 0 0 0 4 1 5 17 78
Resuscitating the co-fractional model of Granger (1986) 0 1 1 45 1 3 10 95
Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach 0 0 0 25 1 3 8 103
Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach 0 0 0 59 1 4 6 69
The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode 0 0 0 53 2 3 11 106
Trading Volume, Illiquidity and Commonalities in FX Markets 0 1 3 66 3 6 21 191
Volatility jumps and their economic determinants 0 0 0 70 1 1 9 156
When Long Memory Meets the Kalman Filter: A Comparative Study 0 0 0 97 8 13 27 184
Total Working Papers 2 5 14 1,699 69 130 392 4,570

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 3 4 10 85
A non-structural investigation of VIX risk neutral density 0 0 0 23 5 6 17 131
Analyzing the Risks Embedded in Option Prices with rndfittool 0 0 0 4 2 3 6 51
Bayesian Flexible Local Projections 0 1 1 7 1 6 12 26
Chasing volatility 0 0 1 21 1 4 18 116
Climate, wind energy, and CO2 emissions from energy production in Denmark 0 0 3 5 5 10 20 38
Dynamic Discrete Mixtures for High-Frequency Prices 0 1 1 3 1 6 13 27
Estimation of Long Memory in Integrated Variance 0 0 0 6 4 5 17 92
Forecasting With the Standardized Self‐Perturbed Kalman Filter 0 0 0 4 1 5 16 51
Indirect inference with time series observed with error 0 0 0 6 2 3 11 37
It only takes a few moments to hedge options 0 0 0 18 1 1 17 84
It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model 0 1 2 15 1 2 7 107
Liquidity Coverage at Risk 0 0 2 2 2 3 11 11
Liquidity in the global currency market 0 4 12 46 6 19 70 169
Long memory and tail dependence in trading volume and volatility 0 0 0 27 3 4 15 148
Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting 0 0 0 5 0 0 2 25
On the Identification of Fractionally Cointegrated VAR Models With the Condition 0 0 1 9 2 2 13 39
On the evaluation of marginal expected shortfall 0 1 2 32 2 4 13 162
On the predictability of stock prices: A case for high and low prices 0 1 3 49 5 9 22 207
The bank-sovereign nexus: Evidence from a non-bailout episode 0 0 0 4 2 6 16 61
Volatility Jumps and Their Economic Determinants 0 0 0 9 1 3 9 89
Volatility tail risk under fractionality 0 0 1 7 2 3 13 38
When long memory meets the Kalman filter: A comparative study 0 0 0 15 6 8 11 82
Total Journal Articles 0 9 29 317 58 116 359 1,876

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Statistics updated 2026-05-06