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 1 350
A Non-Structural Investigation of VIX Risk Neutral Density 0 0 0 12 1 4 8 121
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 1 1 26 2 6 8 120
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 0 2 4 129
Conditional jumps in volatility and their economic determinants 0 0 0 63 0 3 4 200
Does the ARFIMA really shift? 0 0 0 18 5 8 14 131
Dynamic discrete mixtures for high frequency prices 0 0 0 68 1 2 6 86
Estimation of long memory in integrated variance 0 0 0 49 1 3 6 160
Estimation of long memory in integrated variance 0 0 0 42 1 3 5 125
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 63 1 1 2 133
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 78 0 1 2 127
Indirect inference with time series observed with error 0 1 1 56 0 3 4 88
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model 0 0 0 43 2 4 6 120
It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model 0 0 0 112 2 6 10 257
Level Shifts in Volatility and the Implied-Realized Volatility Relation 0 0 0 105 4 4 4 165
Long Memory and Tail dependence in Trading Volume and Volatility 0 0 0 137 1 3 4 369
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 1 58 1 4 6 274
On the Predictability of Stock Prices: a Case for High and Low Prices 0 1 2 20 1 5 10 134
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 53 1 3 5 132
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 37 0 0 0 62
Price convergence within and between the Italian electricity day-ahead and dispatching services markets 0 0 1 30 1 5 8 87
Realized Illiquidity 0 2 3 21 1 4 9 41
Resuscitating the co-fractional model of Granger (1986) 0 0 0 44 0 3 5 89
Resuscitating the co-fractional model of Granger (1986) 0 0 0 4 3 5 5 66
Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach 0 0 0 25 2 3 4 99
Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach 0 0 0 59 0 0 0 63
The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode 0 0 0 53 2 4 7 100
Trading Volume, Illiquidity and Commonalities in FX Markets 0 1 2 65 4 6 13 182
Volatility jumps and their economic determinants 0 0 0 70 0 5 8 154
When Long Memory Meets the Kalman Filter: A Comparative Study 0 0 0 97 0 1 2 159
Total Working Papers 0 6 11 1,694 37 101 170 4,323

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 1 4 4 79
A non-structural investigation of VIX risk neutral density 0 0 0 23 1 1 7 121
Analyzing the Risks Embedded in Option Prices with rndfittool 0 0 0 4 1 1 2 47
Bayesian Flexible Local Projections 0 0 0 6 1 1 8 18
Chasing volatility 0 0 1 21 1 5 8 105
Climate, wind energy, and CO2 emissions from energy production in Denmark 1 2 3 5 1 4 9 25
Dynamic Discrete Mixtures for High-Frequency Prices 0 0 1 2 3 5 9 20
Estimation of Long Memory in Integrated Variance 0 0 0 6 2 2 4 79
Forecasting With the Standardized Self‐Perturbed Kalman Filter 0 0 0 4 4 7 9 44
Indirect inference with time series observed with error 0 0 0 6 3 4 5 31
It only takes a few moments to hedge options 0 0 0 18 2 7 15 81
It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model 0 0 0 13 2 3 3 103
Liquidity Coverage at Risk 0 1 2 2 0 2 7 7
Liquidity in the global currency market 1 4 11 42 7 25 58 145
Long memory and tail dependence in trading volume and volatility 0 0 0 27 2 6 8 140
Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting 0 0 0 5 0 0 3 24
On the Identification of Fractionally Cointegrated VAR Models With the Condition 1 1 1 9 1 3 6 32
On the evaluation of marginal expected shortfall 0 0 1 31 3 5 7 156
On the predictability of stock prices: A case for high and low prices 0 1 2 48 2 7 13 195
The bank-sovereign nexus: Evidence from a non-bailout episode 0 0 0 4 1 5 7 51
Volatility Jumps and Their Economic Determinants 0 0 1 9 0 1 8 83
Volatility tail risk under fractionality 0 1 1 7 1 5 8 33
When long memory meets the Kalman filter: A comparative study 0 0 0 15 1 3 3 74
Total Journal Articles 3 10 24 307 40 106 211 1,693

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2026-01-09