Paolo Santucci de Magistris : Citation Profile


Are you Paolo Santucci de Magistris?

Libera Università Internazionale degli Studi Sociali Guido Carli (LUISS) (99% share)
Aarhus Universitet (1% share)

7

H index

7

i10 index

170

Citations

RESEARCH PRODUCTION:

18

Articles

27

Papers

RESEARCH ACTIVITY:

   12 years (2009 - 2021). See details.
   Cites by year: 14
   Journals where Paolo Santucci de Magistris has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 23 (11.92 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psa1128
   Updated: 2022-07-02    RAS profile: 2022-05-09    
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Relations with other researchers


Works with:

Caporin, Massimiliano (5)

Rossi, Eduardo (3)

Ravazzolo, Francesco (2)

Natvik, Gisle (2)

Violante, Francesco (2)

Grassi, Stefano (2)

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:

GUPTA, RANGAN (27)

Nielsen, Morten (14)

Johansen, Soren (9)

Gkillas (Gillas), Konstantinos (7)

Wohar, Mark (7)

Lau, Chi Keung (5)

Otranto, Edoardo (4)

DE TRUCHIS, Gilles (4)

Hanousek, Jan (4)

Yoon, Seong-Min (4)

Kočenda, Evžen (4)

Cites to:

Bollerslev, Tim (72)

Andersen, Torben (56)

Diebold, Francis (56)

Nielsen, Morten (45)

Johansen, Soren (39)

Tauchen, George (28)

Corsi, Fulvio (23)

Granger, Clive (21)

Shephard, Neil (15)

Engle, Robert (14)

Barndorff-Nielsen, Ole (13)

Main data


Where Paolo Santucci de Magistris has published?


Journals with more than one article published# docs
Journal of Empirical Finance3
Journal of Banking & Finance3
Journal of Applied Econometrics2

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 Finance2

Recent works citing Paolo Santucci de Magistris (2021 and 2020)


YearTitle of citing document
2021Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2020Approximate State Space Modelling of Unobserved Fractional Components. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142.

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2021Forecasting open-high-low-close data contained in candlestick chart. (2021). Wang, Shanshan ; Huang, Wenyang. In: Papers. RePEc:arx:papers:2104.00581.

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2020Past 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.

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2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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2020On the inflation risks embedded in sovereign bond yields. (2020). Camba-Mendez, Gonzalo. In: Working Paper Series. RePEc:ecb:ecbwps:20202423.

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2021Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence. (2021). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V ; Rachinger, Heiko ; Andrada-Felix, Julian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s106294082100067x.

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2020A 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.

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2020Moments-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.

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2021OPEC news and jumps in the oil market. (2021). Yoon, Seong-Min ; Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000013.

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2020Liquidity, 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.

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2021Commonality in FX liquidity: High-frequency evidence. (2021). Sensoy, Ahmet ; Lucey, Brian M ; Uzun, Sevcan. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320304220.

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2021The impact of RMB’s SDR inclusion on price discovery in onshore-offshore markets. (2021). Xu, KE ; Chen, Yu-Lun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000820.

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2021Asymmetric information risk in FX markets. (2021). Ranaldo, Angelo ; Somogyi, Fabricius. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:391-411.

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2022ECB monetary policy and bank default risk?. (2022). Vander Vennet, Rudi ; Soenen, Nicolas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002229.

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2021Energy commodities and advanced stock markets: A post-crisis approach. (2021). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309181.

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2021Managing exposure to volatile oil prices: Evidence from U.S. sectoral and industry-level data. (2021). Selmi, Refk ; bouoiyour, jamal ; Wohar, Mark E ; Miftah, Amal. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001574.

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2021Dynamic impact of the U.S. monetary policy on oil market returns and volatility. (2021). GUPTA, RANGAN ; Cakan, Esin ; Marfatia, Hardik A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:159-169.

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2020The 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.

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2020125 ?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.

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2020Modeling 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.

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2021El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Balcilar, Mehmet ; Bouri, Elie. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:14:p:7987-:d:596011.

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2020Realized 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.

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2020Are Central Bankers Inflation Nutters? An MCMC Estimator of the Long-Memory Parameter in a State Space Model. (2020). Andersson, Fredrik ; Li, Yushu. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09900-3.

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2021A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence Between Stock and Exchange Rate Returns. (2021). Chang, Kuang-Liang. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:4:d:10.1007_s10614-020-09981-5.

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2020Implicit 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.

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2020Another look at the implied and realised volatility relation: a copula-based approach. (2020). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:1:d:10.1057_s41283-019-00054-y.

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2020Modelling 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.

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2021What should be taken into consideration when forecasting oil implied volatility index?. (2021). Degiannakis, Stavros ; Giannopoulos, Kostantinos ; Delis, Panagiotis. In: MPRA Paper. RePEc:pra:mprapa:110831.

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2020OPEC News and Jumps in the Oil Market. (2020). Yoon, Seong-Min ; Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202053.

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2021Multivariate 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.

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2020Comparison of Forex Market Forecasting Tools Based on Evolino Ensemble and Technical Analysis Indicators. (2020). Stankeviien, Jelena ; Maknickien, Nijol ; Maknickas, Algirdas. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2020:i:3:p:134-148.

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2020Drivers 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.

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2020Technical 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.

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2021Modeling fractional cointegration between high and low stock prices in Asian countries. (2021). Sibbertsen, Philipp ; Afzal, Alia. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:2:d:10.1007_s00181-019-01784-4.

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2020125 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.

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2021The zonal and seasonal CO2 marginal emissions factors for the Italian power market. (2021). Grossi, Luigi ; Giulietti, Monica ; Fontini, Fulvio ; Beltrami, Filippo. In: Working Papers. RePEc:ver:wpaper:01/2021.

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2022A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market: Evidence from over a century of data. (2022). Salisu, Afees ; Ogbonna, Ahamuefula ; GUPTA, RANGAN. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:384-400.

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2022Modelling cryptocurrency high–low prices using fractional cointegrating VAR. (2022). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Adewuyi, Adeolu O ; Vo, Xuan Vinh. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:489-505.

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2021Multivariate 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: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:5:p:544-565.

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Works by Paolo Santucci de Magistris:


YearTitleTypeCited
2009Long Memory and Tail dependence in Trading Volume and Volatility In: CREATES Research Papers.
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paper28
2013Long memory and tail dependence in trading volume and volatility.(2013) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 28
article
2009A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility In: CREATES Research Papers.
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paper1
2010Level Shifts in Volatility and the Implied-Realized Volatility Relation In: CREATES Research Papers.
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paper3
2011Estimation of long memory in integrated variance In: CREATES Research Papers.
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paper7
2012Estimation of long memory in integrated variance.(2012) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 7
paper
2014Estimation of Long Memory in Integrated Variance.(2014) In: Econometric Reviews.
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This paper has another version. Agregated cites: 7
article
2011When Long Memory Meets the Kalman Filter: A Comparative Study In: CREATES Research Papers.
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paper12
2014When long memory meets the Kalman filter: A comparative study.(2014) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 12
article
2013It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model In: CREATES Research Papers.
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paper16
2015Its all about volatility of volatility: Evidence from a two-factor stochastic volatility model.(2015) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 16
article
2013Its all about volatility of volatility: evidence from a two-factor stochastic volatility model.(2013) In: Studies in Economics.
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This paper has another version. Agregated cites: 16
paper
2013On the identification of fractionally cointegrated VAR models with the F(d) condition In: CREATES Research Papers.
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paper16
2014On the identification of fractionally cointegrated VAR models with the F(d) condition.(2014) In: CREATES Research Papers.
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This paper has another version. Agregated cites: 16
paper
2019On the Identification of Fractionally Cointegrated VAR Models With the Condition.(2019) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 16
article
2014Forecasting with the Standardized Self-Perturbed Kalman Filter In: CREATES Research Papers.
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paper6
2014Forecasting with the Standardized Self-Perturbed Kalman Filter.(2014) In: Studies in Economics.
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This paper has another version. Agregated cites: 6
paper
2017Forecasting With the Standardized Self?Perturbed Kalman Filter.(2017) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 6
article
2014Volatility jumps and their economic determinants In: CREATES Research Papers.
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paper30
2016Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 30
article
2014Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers.
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paper6
2014Chasing Volatility. A Persistent Multiplicative Error Model With Jumps.(2014) In: Marco Fanno Working Papers.
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This paper has another version. Agregated cites: 6
paper
2014Indirect inference with time series observed with error In: CREATES Research Papers.
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paper0
2018Indirect inference with time series observed with error.(2018) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 0
article
2017A Non-Structural Investigation of VIX Risk Neutral Density In: CREATES Research Papers.
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paper2
2019A non-structural investigation of VIX risk neutral density.(2019) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 2
article
2017Does the ARFIMA really shift? In: CREATES Research Papers.
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paper0
2017The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode In: CREATES Research Papers.
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paper2
2019The bank-sovereign nexus: Evidence from a non-bailout episode.(2019) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 2
article
2019Resuscitating the co-fractional model of Granger (1986) In: CREATES Research Papers.
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paper1
2019Resuscitating the co-fractional model of Granger (1986).(2019) In: Discussion Papers.
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This paper has another version. Agregated cites: 1
paper
2021Measuring 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.
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2019It only takes a few moments to hedge options In: Journal of Economic Dynamics and Control.
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article0
2017Chasing volatility In: Journal of Econometrics.
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article2
2019Volatility tail risk under fractionality In: Journal of Banking & Finance.
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article0
2013On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance.
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article18
2011On the Predictability of Stock Prices: A Case for High and Low Prices..(2011) In: Marco Fanno Working Papers.
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This paper has another version. Agregated cites: 18
paper
2012On the Predictability of Stock Prices: a Case for High and Low Prices.(2012) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 18
paper
2018Analyzing the Risks Embedded in Option Prices with rndfittool In: Risks.
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article0
2019Dynamic discrete mixtures for high frequency prices In: Discussion Papers.
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paper0
2011Conditional jumps in volatility and their economic determinants In: Marco Fanno Working Papers.
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paper5
2017Price convergence within and between the Italian electricity day-ahead and dispatching services markets In: Marco Fanno Working Papers.
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2012On the evaluation of marginal expected shortfall In: Applied Economics Letters.
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article1
2019Trading Volume, Illiquidity and Commonalities in FX Markets In: Working Papers on Finance.
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paper4
2013A No?Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges In: Journal of Futures Markets.
[Citation analysis]
article10

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