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 7 357
A Non-Structural Investigation of VIX Risk Neutral Density 0 0 0 12 0 0 17 134
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 0 1 26 1 1 13 127
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 0 2 9 136
Conditional jumps in volatility and their economic determinants 0 0 0 63 0 0 15 212
Does the ARFIMA really shift? 0 0 0 18 0 0 24 147
Dynamic discrete mixtures for high frequency prices 0 1 1 69 0 2 7 91
Estimation of long memory in integrated variance 0 0 0 42 0 1 9 131
Estimation of long memory in integrated variance 0 0 0 49 0 3 12 169
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 78 1 3 12 138
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 63 0 1 17 149
Indirect inference with time series observed with error 0 0 1 56 0 3 11 96
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model 0 0 0 43 0 0 25 141
It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model 0 0 0 112 0 2 11 262
Level Shifts in Volatility and the Implied-Realized Volatility Relation 0 0 0 105 0 2 10 171
Long Memory and Tail dependence in Trading Volume and Volatility 0 0 1 138 1 4 14 380
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 0 58 1 4 36 306
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 1 20 1 2 14 143
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 53 1 2 10 139
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 37 2 2 9 71
Price convergence within and between the Italian electricity day-ahead and dispatching services markets 0 1 1 31 1 4 12 94
Realized Illiquidity 0 0 4 23 0 5 27 64
Resuscitating the co-fractional model of Granger (1986) 0 0 2 46 0 2 12 98
Resuscitating the co-fractional model of Granger (1986) 0 0 0 4 3 3 22 83
Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach 0 0 0 25 0 2 9 105
Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach 0 0 0 59 1 2 10 73
The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode 0 0 0 53 0 1 12 108
Trading Volume, Illiquidity and Commonalities in FX Markets 0 0 2 66 1 2 18 194
Volatility jumps and their economic determinants 0 0 0 70 0 0 7 156
When Long Memory Meets the Kalman Filter: A Comparative Study 0 0 0 97 0 1 28 186
Total Working Papers 0 2 14 1,702 14 57 439 4,661

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 1 11 86
A non-structural investigation of VIX risk neutral density 0 0 0 23 0 0 12 132
Analyzing the Risks Embedded in Option Prices with rndfittool 0 0 0 4 0 0 6 52
Bayesian Flexible Local Projections 0 0 2 8 0 2 15 32
Chasing volatility 0 1 1 22 0 3 21 121
Climate, wind energy, and CO2 emissions from energy production in Denmark 0 1 3 6 1 4 22 43
Dynamic Discrete Mixtures for High-Frequency Prices 0 0 1 3 1 1 13 28
Estimation of Long Memory in Integrated Variance 0 0 0 6 1 1 17 94
Forecasting With the Standardized Self‐Perturbed Kalman Filter 0 0 0 4 0 1 15 52
Indirect inference with time series observed with error 0 0 0 6 0 3 13 40
It only takes a few moments to hedge options 0 0 0 18 0 1 11 85
It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model 0 0 2 15 1 2 10 110
Liquidity Coverage at Risk 0 1 2 3 0 2 9 14
Liquidity in the global currency market 1 1 11 49 12 20 76 196
Long memory and tail dependence in trading volume and volatility 0 0 0 27 1 3 18 152
Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting 0 0 0 5 0 0 1 25
On the Identification of Fractionally Cointegrated VAR Models With the Condition 0 0 1 9 0 0 12 41
On the evaluation of marginal expected shortfall 0 0 1 32 0 2 13 164
On the predictability of stock prices: A case for high and low prices 1 2 4 51 2 6 29 217
The bank-sovereign nexus: Evidence from a non-bailout episode 0 0 0 4 0 0 16 62
Volatility Jumps and Their Economic Determinants 0 0 0 9 0 3 12 94
Volatility tail risk under fractionality 0 0 1 7 0 1 13 41
When long memory meets the Kalman filter: A comparative study 0 0 1 16 1 2 14 85
Total Journal Articles 2 6 30 327 20 58 379 1,966

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Statistics updated 2026-10-11