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 1 350
A Non-Structural Investigation of VIX Risk Neutral Density 0 0 0 12 2 4 6 119
Chasing Volatility. A Persistent Multiplicative Error Model With Jumps 1 1 1 26 3 3 5 117
Chasing volatility - A persistent multiplicative error model with jumps 0 0 0 91 1 1 4 128
Conditional jumps in volatility and their economic determinants 0 0 0 63 1 1 2 198
Does the ARFIMA really shift? 0 0 0 18 0 3 6 123
Dynamic discrete mixtures for high frequency prices 0 0 0 68 0 0 4 84
Estimation of long memory in integrated variance 0 0 0 49 0 1 4 157
Estimation of long memory in integrated variance 0 0 0 42 1 3 3 123
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 63 0 0 1 132
Forecasting with the Standardized Self-Perturbed Kalman Filter 0 0 0 78 1 2 2 127
Indirect inference with time series observed with error 0 0 0 55 0 0 2 85
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model 0 0 0 43 0 1 3 116
It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model 0 0 0 112 1 3 6 252
Level Shifts in Volatility and the Implied-Realized Volatility Relation 0 0 0 105 0 0 0 161
Long Memory and Tail dependence in Trading Volume and Volatility 0 0 0 137 1 1 2 367
On the Predictability of Stock Prices: A Case for High and Low Prices 0 0 1 58 1 2 3 271
On the Predictability of Stock Prices: a Case for High and Low Prices 0 0 1 19 0 1 6 129
On the identification of fractionally cointegrated VAR models with the F(d) condition 0 0 0 53 2 4 4 131
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 3 4 83
Realized Illiquidity 0 0 2 19 0 0 8 37
Resuscitating the co-fractional model of Granger (1986) 0 0 0 44 1 1 3 87
Resuscitating the co-fractional model of Granger (1986) 0 0 0 4 2 2 2 63
Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach 0 0 0 25 1 1 2 97
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 1 1 4 97
Trading Volume, Illiquidity and Commonalities in FX Markets 0 0 2 64 0 5 9 176
Volatility jumps and their economic determinants 0 0 0 70 1 3 5 150
When Long Memory Meets the Kalman Filter: A Comparative Study 0 0 0 97 0 1 1 158
Total Working Papers 1 1 8 1,689 21 48 102 4,243

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 1 76
A non-structural investigation of VIX risk neutral density 0 0 0 23 0 1 7 120
Analyzing the Risks Embedded in Option Prices with rndfittool 0 0 1 4 0 1 3 46
Bayesian Flexible Local Projections 0 0 1 6 0 2 8 17
Chasing volatility 0 1 1 21 0 1 3 100
Climate, wind energy, and CO2 emissions from energy production in Denmark 0 0 2 3 2 4 9 23
Dynamic Discrete Mixtures for High-Frequency Prices 0 0 1 2 1 2 5 16
Estimation of Long Memory in Integrated Variance 0 0 0 6 0 0 2 77
Forecasting With the Standardized Self‐Perturbed Kalman Filter 0 0 0 4 2 3 4 39
Indirect inference with time series observed with error 0 0 1 6 0 1 3 27
It only takes a few moments to hedge options 0 0 2 18 3 7 13 77
It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model 0 0 1 13 0 0 1 100
Liquidity Coverage at Risk 0 1 1 1 0 4 5 5
Liquidity in the global currency market 1 4 9 39 8 16 44 128
Long memory and tail dependence in trading volume and volatility 0 0 0 27 2 3 4 136
Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting 0 0 1 5 0 1 4 24
On the Identification of Fractionally Cointegrated VAR Models With the Condition 0 0 1 8 1 2 5 30
On the evaluation of marginal expected shortfall 0 0 2 31 2 3 5 153
On the predictability of stock prices: A case for high and low prices 0 0 1 47 3 4 9 191
The bank-sovereign nexus: Evidence from a non-bailout episode 0 0 0 4 4 5 6 50
Volatility Jumps and Their Economic Determinants 0 0 1 9 0 1 9 82
Volatility tail risk under fractionality 0 0 0 6 1 2 4 29
When long memory meets the Kalman filter: A comparative study 0 0 0 15 2 2 2 73
Total Journal Articles 1 6 26 298 32 66 156 1,619

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Statistics updated 2025-11-08