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 7 356
A Non-Structural Investigation of VIX Risk Neutral Density 0 0 0 12 0 0 19 134
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 0 1 26 0 0 12 126
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 0 0 7 134
Conditional jumps in volatility and their economic determinants 0 0 0 63 0 2 15 212
Does the ARFIMA really shift? 0 0 0 18 0 2 27 147
Dynamic discrete mixtures for high frequency prices 0 0 0 68 1 1 6 90
Estimation of long memory in integrated variance 0 0 0 49 2 2 12 168
Estimation of long memory in integrated variance 0 0 0 42 0 0 10 130
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 78 1 4 11 136
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 63 0 0 16 148
Indirect inference with time series observed with error 0 0 1 56 1 3 9 94
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model 0 0 0 43 0 3 26 141
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 1 1 9 170
Long Memory and Tail dependence in Trading Volume and Volatility 0 0 1 138 0 2 10 376
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 0 58 2 5 35 304
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 1 20 1 1 14 142
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 37 0 0 7 69
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 53 0 0 10 137
Price convergence within and between the Italian electricity day-ahead and dispatching services markets 1 1 1 31 1 1 11 91
Realized Illiquidity 0 0 4 23 1 8 23 60
Resuscitating the co-fractional model of Granger (1986) 0 0 0 4 0 2 19 80
Resuscitating the co-fractional model of Granger (1986) 0 1 2 46 0 1 10 96
Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach 0 0 0 25 0 0 7 103
Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach 0 0 0 59 0 2 8 71
The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode 0 0 0 53 1 2 12 108
Trading Volume, Illiquidity and Commonalities in FX Markets 0 0 2 66 1 2 22 193
Volatility jumps and their economic determinants 0 0 0 70 0 0 9 156
When Long Memory Meets the Kalman Filter: A Comparative Study 0 0 0 97 0 1 28 185
Total Working Papers 1 2 13 1,701 13 47 422 4,617

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 1 11 86
A non-structural investigation of VIX risk neutral density 0 0 0 23 0 1 13 132
Analyzing the Risks Embedded in Option Prices with rndfittool 0 0 0 4 0 1 7 52
Bayesian Flexible Local Projections 0 1 2 8 2 6 17 32
Chasing volatility 0 0 1 21 1 3 20 119
Climate, wind energy, and CO2 emissions from energy production in Denmark 0 0 2 5 2 3 22 41
Dynamic Discrete Mixtures for High-Frequency Prices 0 0 1 3 0 0 13 27
Estimation of Long Memory in Integrated Variance 0 0 0 6 0 1 16 93
Forecasting With the Standardized Self‐Perturbed Kalman Filter 0 0 0 4 0 0 15 51
Indirect inference with time series observed with error 0 0 0 6 2 2 13 39
It only takes a few moments to hedge options 0 0 0 18 0 0 14 84
It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model 0 0 2 15 1 2 9 109
Liquidity Coverage at Risk 0 0 2 2 0 1 11 12
Liquidity in the global currency market 0 2 13 48 2 9 66 178
Long memory and tail dependence in trading volume and volatility 0 0 0 27 1 2 17 150
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 0 2 13 41
On the evaluation of marginal expected shortfall 0 0 1 32 1 1 13 163
On the predictability of stock prices: A case for high and low prices 1 1 3 50 2 6 26 213
The bank-sovereign nexus: Evidence from a non-bailout episode 0 0 0 4 0 1 17 62
Volatility Jumps and Their Economic Determinants 0 0 0 9 3 5 13 94
Volatility tail risk under fractionality 0 0 1 7 0 2 13 40
When long memory meets the Kalman filter: A comparative study 0 1 1 16 1 2 13 84
Total Journal Articles 1 5 30 322 19 51 374 1,927

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Statistics updated 2026-08-07