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

6

i10 index

145

Citations

RESEARCH PRODUCTION:

17

Articles

27

Papers

RESEARCH ACTIVITY:

   10 years (2009 - 2019). See details.
   Cites by year: 14
   Journals where Paolo Santucci de Magistris has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 19 (11.59 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psa1128
   Updated: 2021-03-01    RAS profile: 2021-02-06    
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Relations with other researchers


Works with:

Caporin, Massimiliano (5)

Rossi, Eduardo (3)

Natvik, Gisle (2)

Grassi, Stefano (2)

Ravazzolo, Francesco (2)

Violante, Francesco (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 (22)

Nielsen, Morten (17)

Johansen, Soren (11)

Gkillas (Gillas), Konstantinos (7)

Wohar, Mark (6)

Lau, Chi Keung (5)

Delle Monache, Davide (4)

DE TRUCHIS, Gilles (4)

Kočenda, Evžen (4)

Grassi, Stefano (4)

Gallo, Giampiero (4)

Cites to:

Bollerslev, Tim (60)

Andersen, Torben (46)

Diebold, Francis (45)

Nielsen, Morten (40)

Johansen, Soren (30)

Tauchen, George (28)

Corsi, Fulvio (19)

Granger, Clive (16)

Shephard, Neil (14)

Engle, Robert (13)

Barndorff-Nielsen, Ole (13)

Main data


Where Paolo Santucci de Magistris has published?


Journals with more than one article published# docs
Journal of Banking & Finance3
Journal of Empirical 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
2020Approximate State Space Modelling of Unobserved Fractional Components. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142.

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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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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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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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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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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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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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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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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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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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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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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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paper22
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: 22
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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paper2
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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paper10
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: 10
article
2013It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model In: CREATES Research Papers.
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paper14
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: 14
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: 14
paper
2013On the identification of fractionally cointegrated VAR models with the F(d) condition In: CREATES Research Papers.
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paper19
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: 19
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: 19
article
2014Forecasting with the Standardized Self-Perturbed Kalman Filter In: CREATES Research Papers.
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paper4
2014Forecasting with the Standardized Self-Perturbed Kalman Filter.(2014) In: Studies in Economics.
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This paper has another version. Agregated cites: 4
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: 4
article
2014Volatility jumps and their economic determinants In: CREATES Research Papers.
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paper24
2016Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 24
article
2014Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers.
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paper7
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: 7
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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paper1
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: 1
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
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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article12
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: 12
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: 12
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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paper0
2012On the evaluation of marginal expected shortfall In: Applied Economics Letters.
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article2
2019Trading Volume, Illiquidity and Commonalities in FX Markets In: Working Papers on Finance.
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paper1
2013A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges In: Journal of Futures Markets.
[Citation analysis]
article9

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