7
H index
7
i10 index
192
Citations
Paolo Santucci de Magistris : Citation Profile
Aarhus Universitet (1% share) | RESEARCH PRODUCTION: 21 Articles 29 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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14 years (2009 - 2023). 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 Business & Economic Statistics | 2 |
| 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 (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper |
| 2023 | A spectral approach to stock market performance. (2023). Escañuela Romana, Ignacio ; Nieves, Clara Escanuela. In: Papers. RePEc:arx:papers:2305.05762. Full description at Econpapers || Download paper |
| 2023 | Bayesian SAR model with stochastic volatility and multiple time-varying weights. (2023). Iacopini, Matteo ; Costola, Michele ; Wichers, Casper. In: Papers. RePEc:arx:papers:2310.17473. Full description at Econpapers || Download paper |
| 2023 | Assessing the liquidity premium in the Italian bond market. (2023). Venturi, Giulio Carlo ; Drudi, Maria Ludovica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_795_23. Full description at Econpapers || Download paper |
| 2023 | Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968. Full description at Econpapers || Download paper |
| 2023 | A memory in the bond: Green bond and sectoral investment interdependence in a fractionally cointegrated VAR framework. (2023). Mishra, Tapas ; Tian, Shu ; Uddin, Gazi Salah ; Parhi, Mamata ; Park, Donghyun. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001500. Full description at Econpapers || Download paper |
| 2023 | How digital technology improves the high-quality development of enterprises and capital markets: A liquidity perspective. (2023). Liu, Boyang. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000570. Full description at Econpapers || Download paper |
| 2023 | A two-step estimator for multilevel latent class analysis with covariates. (2023). Kuha, Jouni ; Oser, Jennifer ; Bakk, Zsuzsa ; di Mari, Roberto. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119994. Full description at Econpapers || Download paper |
| 2023 | Online Hybrid Neural Network for Stock Price Prediction: A Case Study of High-Frequency Stock Trading in the Chinese Market. (2023). Qian, Guoqi ; Shen, Luyi ; Li, Chengyu. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:2:p:13-:d:1149628. Full description at Econpapers || Download paper |
| 2023 | Bayesian SAR model with stochastic volatility and multiple time-varying weights. (2023). Iacopini, Matteo ; Costola, Michele ; Wichers, Casper. In: SAFE Working Paper Series. RePEc:zbw:safewp:279783. 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 | 26 |
| 2013 | Long memory and tail dependence in trading volume and volatility.(2013) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | 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 | 3 |
| 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 nother version. Agregated cites: 7 | paper | |
| 2014 | Estimation of Long Memory in Integrated Variance.(2014) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother 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 nother 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 | 19 |
| 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 nother version. Agregated cites: 19 | 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 nother version. Agregated cites: 19 | 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 nother 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 nother version. Agregated cites: 19 | article | |
| 2014 | Forecasting with the Standardized Self-Perturbed Kalman Filter In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
| 2014 | Forecasting with the Standardized Self-Perturbed Kalman Filter.(2014) In: Studies in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2017 | Forecasting With the Standardized Self?Perturbed Kalman Filter.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2014 | Volatility jumps and their economic determinants In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 31 |
| 2016 | Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | article | |
| 2014 | Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 5 |
| 2014 | Chasing Volatility. A Persistent Multiplicative Error Model With Jumps.(2014) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2014 | Indirect inference with time series observed with error In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | Indirect inference with time series observed with error.(2018) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2015 | Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach.(2015) In: Studies in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2016 | Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 nother 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 | 3 |
| 2019 | The bank-sovereign nexus: Evidence from a non-bailout episode.(2019) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2019 | Resuscitating the co-fractional model of Granger (1986) In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 0 |
| 2022 | Realized Illiquidity In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 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 |
| 2023 | Climate, wind energy, and CO2 emissions from energy production in Denmark In: Energy Economics. [Full Text][Citation analysis] | article | 0 |
| 2019 | Volatility tail risk under fractionality In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2013 | On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 25 |
| 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 nother version. Agregated cites: 25 | 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 nother version. Agregated cites: 25 | paper | |
| 2022 | Liquidity in the global currency market In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 3 |
| 2018 | Analyzing the Risks Embedded in Option Prices with rndfittool In: Risks. [Full Text][Citation analysis] | article | 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 | 1 |
| 2022 | Dynamic Discrete Mixtures for High-Frequency Prices In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 4 |
| 2019 | Trading Volume, Illiquidity and Commonalities in FX Markets In: Working Papers on Finance. [Full Text][Citation analysis] | paper | 4 |
| 2013 | A No?Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges In: Journal of Futures Markets. [Citation analysis] | article | 12 |
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