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 1 5 7 356
A Non-Structural Investigation of VIX Risk Neutral Density 0 0 0 12 0 4 19 134
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 0 0 1 26 0 2 12 126
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 0 1 7 134
Conditional jumps in volatility and their economic determinants 0 0 0 63 2 5 15 212
Does the ARFIMA really shift? 0 0 0 18 1 6 27 147
Dynamic discrete mixtures for high frequency prices 0 0 0 68 0 0 6 89
Estimation of long memory in integrated variance 0 0 0 49 0 2 10 166
Estimation of long memory in integrated variance 0 0 0 42 0 4 10 130
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 78 1 4 10 135
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 63 0 1 16 148
Indirect inference with time series observed with error 0 0 1 56 0 3 8 93
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model 0 0 0 43 0 9 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 0 2 8 169
Long Memory and Tail dependence in Trading Volume and Volatility 0 1 1 138 1 5 11 376
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 0 58 0 8 33 302
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 1 20 0 3 13 141
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 37 0 1 7 69
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 53 0 2 10 137
Price convergence within and between the Italian electricity day-ahead and dispatching services markets 0 0 0 30 0 0 10 90
Realized Illiquidity 0 1 4 23 7 10 23 59
Resuscitating the co-fractional model of Granger (1986) 0 1 2 46 0 2 10 96
Resuscitating the co-fractional model of Granger (1986) 0 0 0 4 1 3 19 80
Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach 0 0 0 25 0 1 7 103
Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach 0 0 0 59 1 3 8 71
The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode 0 0 0 53 0 3 12 107
Trading Volume, Illiquidity and Commonalities in FX Markets 0 0 2 66 1 4 21 192
Volatility jumps and their economic determinants 0 0 0 70 0 1 9 156
When Long Memory Meets the Kalman Filter: A Comparative Study 0 0 0 97 0 9 28 185
Total Working Papers 0 3 12 1,700 16 103 413 4,604

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 10 85
A non-structural investigation of VIX risk neutral density 0 0 0 23 0 6 13 132
Analyzing the Risks Embedded in Option Prices with rndfittool 0 0 0 4 0 3 7 52
Bayesian Flexible Local Projections 0 1 2 8 2 5 15 30
Chasing volatility 0 0 1 21 0 3 20 118
Climate, wind energy, and CO2 emissions from energy production in Denmark 0 0 2 5 0 6 20 39
Dynamic Discrete Mixtures for High-Frequency Prices 0 0 1 3 0 1 13 27
Estimation of Long Memory in Integrated Variance 0 0 0 6 0 5 18 93
Forecasting With the Standardized Self‐Perturbed Kalman Filter 0 0 0 4 0 1 16 51
Indirect inference with time series observed with error 0 0 0 6 0 2 11 37
It only takes a few moments to hedge options 0 0 0 18 0 1 17 84
It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model 0 0 2 15 1 2 8 108
Liquidity Coverage at Risk 0 0 2 2 1 3 12 12
Liquidity in the global currency market 0 2 13 48 2 13 69 176
Long memory and tail dependence in trading volume and volatility 0 0 0 27 0 4 16 149
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 4 15 41
On the evaluation of marginal expected shortfall 0 0 2 32 0 2 13 162
On the predictability of stock prices: A case for high and low prices 0 0 2 49 3 9 24 211
The bank-sovereign nexus: Evidence from a non-bailout episode 0 0 0 4 1 3 17 62
Volatility Jumps and Their Economic Determinants 0 0 0 9 0 3 10 91
Volatility tail risk under fractionality 0 0 1 7 2 4 14 40
When long memory meets the Kalman filter: A comparative study 1 1 1 16 1 7 12 83
Total Journal Articles 1 4 30 321 13 90 372 1,908

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Statistics updated 2026-07-10