7
H index
6
i10 index
145
Citations
Paolo Santucci de Magistris : Citation Profile
Libera Università Internazionale degli Studi Sociali Guido Carli (LUISS) (99% share) | RESEARCH PRODUCTION: 17 Articles 27 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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10 years (2009 - 2019). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Paolo Santucci de Magistris. | Is cited by:
| Cites to:
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Main data
Where Paolo Santucci de Magistris has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Banking & Finance | 3 |
| Journal of Empirical Finance | 3 |
| Journal of Applied Econometrics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| "Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno" | 4 |
| Working Papers on Finance / University of St. Gallen, School of Finance | 2 |
Recent works citing Paolo Santucci de Magistris (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2020 | Approximate State Space Modelling of Unobserved Fractional Components. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142. Full description at Econpapers || Download paper |
| 2020 | Past managerial guidance and returns to variance trading around earnings announcements. (2020). Neururer, Thaddeus. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2995-3031. Full description at Econpapers || Download paper |
| 2020 | On the inflation risks embedded in sovereign bond yields. (2020). Camba-Mendez, Gonzalo. In: Working Paper Series. RePEc:ecb:ecbwps:20202423. Full description at Econpapers || Download paper |
| 2020 | A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends.. (2020). Golpe, Antonio ; Bravo, Jose Manuel ; Vides, Jose Carlos ; Iglesias, Jesus. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930341x. Full description at Econpapers || Download paper |
| 2020 | Moments-based spillovers across gold and oil markets. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Bonato, Matteo ; Wang, Shixuan ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301390. Full description at Econpapers || Download paper |
| 2020 | Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo Brutti ; Ramos, Henrique Pinto. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071. Full description at Econpapers || Download paper |
| 2020 | The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach. (2020). Iglesias, Jesus ; Golpe, Antonio A ; Vides, Jose Carlos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:124-137. Full description at Econpapers || Download paper |
| 2020 | 125 ?Years of time-varying effects of fiscal policy on financial markets. (2020). GUPTA, RANGAN ; Marfatia, Hardik A ; Miller, Stephen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:303-320. Full description at Econpapers || Download paper |
| 2020 | Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions. (2020). Zeldea, Cristina. In: Administrative Sciences. RePEc:gam:jadmsc:v:10:y:2020:i:3:p:52-:d:396470. Full description at Econpapers || Download paper |
| 2020 | Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging. (2020). Mi, Xianhua ; Ma, Chaoqun ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202016. Full description at Econpapers || Download paper |
| 2020 | Implicit Entropic Market Risk-Premium from Interest Rate Derivatives. (2020). Arismendi Zambrano, Juan ; Azevedo, R ; Arismendi-Zambrano, J. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n303-20.pdf. Full description at Econpapers || Download paper |
| 2020 | Another look at the implied and realised volatility relation: a copula-based approach. (2020). Pérez-RodrÃÂguez, Jorge ; Perez-Rodriguez, Jorge V. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:1:d:10.1057_s41283-019-00054-y. Full description at Econpapers || Download paper |
| 2020 | Modelling Cryptocurrency High-Low Prices using Fractional Cointegrating VAR. (2020). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Adewuyi, Adeolu O ; Vo, Xuan Vinh. In: MPRA Paper. RePEc:pra:mprapa:102190. Full description at Econpapers || Download paper |
| 2020 | OPEC News and Jumps in the Oil Market. (2020). Yoon, Seong-Min ; Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202053. Full description at Econpapers || Download paper |
| 2021 | Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Working Papers. RePEc:ptu:wpaper:w202102. Full description at Econpapers || Download paper |
| 2020 | Drivers of Bank Default Risk: Bank Business Models, the Sovereign and Monetary Policy. (2020). Vander Vennet, Rudi ; Soenen, Nicolas. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:20/997. Full description at Econpapers || Download paper |
| 2020 | Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model. (2020). MacIel, Leandro . In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1603-8. Full description at Econpapers || Download paper |
| 2020 | 125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets. (2020). Miller, Stephen ; Marfatia, Hardik ; GUPTA, RANGAN. In: Working papers. RePEc:uct:uconnp:2020-12. Full description at Econpapers || Download paper |
Works by Paolo Santucci de Magistris:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2009 | Long Memory and Tail dependence in Trading Volume and Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 22 |
| 2013 | Long memory and tail dependence in trading volume and volatility.(2013) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | article | |
| 2009 | A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Level Shifts in Volatility and the Implied-Realized Volatility Relation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2011 | Estimation of long memory in integrated variance In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
| 2012 | Estimation of long memory in integrated variance.(2012) In: DEM Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2014 | Estimation of Long Memory in Integrated Variance.(2014) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
| 2011 | When Long Memory Meets the Kalman Filter: A Comparative Study In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 10 |
| 2014 | When long memory meets the Kalman filter: A comparative study.(2014) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
| 2013 | It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 14 |
| 2015 | Its all about volatility of volatility: Evidence from a two-factor stochastic volatility model.(2015) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
| 2013 | Its all about volatility of volatility: evidence from a two-factor stochastic volatility model.(2013) In: Studies in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
| 2013 | On the identification of fractionally cointegrated VAR models with the F(d) condition In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
| 2014 | On the identification of fractionally cointegrated VAR models with the F(d) condition.(2014) In: CREATES Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2019 | On the Identification of Fractionally Cointegrated VAR Models With the Condition.(2019) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
| 2014 | Forecasting with the Standardized Self-Perturbed Kalman Filter In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2014 | Forecasting with the Standardized Self-Perturbed Kalman Filter.(2014) In: Studies in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2017 | Forecasting With the Standardized Selfâ€Perturbed Kalman Filter.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2014 | Volatility jumps and their economic determinants In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 24 |
| 2016 | Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | article | |
| 2014 | Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
| 2014 | Chasing Volatility. A Persistent Multiplicative Error Model With Jumps.(2014) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2014 | Indirect inference with time series observed with error In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Indirect inference with time series observed with error.(2018) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2017 | A Non-Structural Investigation of VIX Risk Neutral Density In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | A non-structural investigation of VIX risk neutral density.(2019) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2017 | Does the ARFIMA really shift? In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | The bank-sovereign nexus: Evidence from a non-bailout episode.(2019) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2019 | Resuscitating the co-fractional model of Granger (1986) In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Resuscitating the co-fractional model of Granger (1986).(2019) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2019 | It only takes a few moments to hedge options In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
| 2017 | Chasing volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2019 | Volatility tail risk under fractionality In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2013 | On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 12 |
| 2011 | On the Predictability of Stock Prices: A Case for High and Low Prices..(2011) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2012 | On the Predictability of Stock Prices: a Case for High and Low Prices.(2012) In: Working Papers on Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2018 | Analyzing the Risks Embedded in Option Prices with rndfittool In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2019 | Dynamic discrete mixtures for high frequency prices In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Conditional jumps in volatility and their economic determinants In: Marco Fanno Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2017 | Price convergence within and between the Italian electricity day-ahead and dispatching services markets In: Marco Fanno Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | On the evaluation of marginal expected shortfall In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2019 | Trading Volume, Illiquidity and Commonalities in FX Markets In: Working Papers on Finance. [Full Text][Citation analysis] | paper | 1 |
| 2013 | A Noâ€Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges In: Journal of Futures Markets. [Citation analysis] | article | 9 |
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