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

5

i10 index

114

Citations

RESEARCH PRODUCTION:

14

Articles

27

Papers

RESEARCH ACTIVITY:

   10 years (2009 - 2019). See details.
   Cites by year: 11
   Journals where Paolo Santucci de Magistris has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 18 (13.64 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psa1128
   Updated: 2019-09-14    RAS profile: 2019-06-05    
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Relations with other researchers


Works with:

Rossi, Eduardo (9)

Grassi, Stefano (8)

Caporin, Massimiliano (7)

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:

Nielsen, Morten (16)

GUPTA, RANGAN (15)

Johansen, Soren (11)

Wohar, Mark (5)

Gallo, Giampiero (4)

Kočenda, Evžen (4)

Grassi, Stefano (4)

Otranto, Edoardo (4)

DE TRUCHIS, Gilles (4)

Gkillas (Gillas), Konstantinos (4)

Delle Monache, Davide (4)

Cites to:

Bollerslev, Tim (56)

Diebold, Francis (45)

Andersen, Torben (43)

Nielsen, Morten (39)

Johansen, Soren (30)

Tauchen, George (28)

Corsi, Fulvio (17)

Granger, Clive (16)

Engle, Robert (13)

Shephard, Neil (12)

Medeiros, Marcelo (12)

Main data


Where Paolo Santucci de Magistris has published?


Journals with more than one article published# docs
Journal of Banking & Finance2
Journal of Empirical Finance2
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 (2019 and 2018)


YearTitle of citing document
2018Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2018-17.

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2018Cross-sectional noise reduction and more efficient estimation of Integrated Variance. (2018). Mirone, Giorgio . In: CREATES Research Papers. RePEc:aah:create:2018-18.

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2017A Matlab program and user’s guide for the fractionally cointegrated VAR model. (2018). Popiel, Michal ; Nielsen, Morten. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274656.

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2017Testing the CVAR in the fractional CVAR model. (2017). Nielsen, Morten ; Johansen, Soren. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274720.

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2019Approximate State Space Modelling of Unobserved Fractional Components. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142.

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2019Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems. (2019). Dubois, Florent ; Dumitrescu, Elena Ivona ; de Truchis, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-15.

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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2018Volatility jumps: The role of geopolitical risks. (2018). Gkillas, Konstantinos ; Wohar, Mark E ; Gupta, Rangan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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2019Volatility discovery: Can the CDS market beat the equity options market?. (2019). Lovreta, Lidija ; Forte, Santiago. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:107-111.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2019VIX derivatives: Valuation models and empirical evidence. (2019). Yu, Min-Teh ; Wang, Yaw-Huei ; Shih, Pai-Ta ; Lo, Chien-Ling. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:1-21.

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2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach. (2017). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_05.

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2018Long-Term Electricity Load Forecasting Considering Volatility Using Multiplicative Error Model. (2018). Khuntia, Swasti R ; MART, ; Rueda, Jose L. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:12:p:3308-:d:185892.

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2019Dynamic analysis of implied risk neutral density. (2019). Aloulou, Abderrahmen ; Boujelbene, Younes. In: International Journal of Monetary Economics and Finance. RePEc:ids:ijmefi:v:12:y:2019:i:1:p:39-58.

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2017Testing the CVAR in the fractional CVAR model. (2017). Nielsen, Morten ; Johansen, Soren. In: Discussion Papers. RePEc:kud:kuiedp:1723.

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2018High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach. (2018). YAYA, OLAOLUWA ; Gil-Alana, Luis A. In: MPRA Paper. RePEc:pra:mprapa:90518.

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2019Realized Volatility Forecasting with Neural Networks. (2019). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:95443.

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2017OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration. (2017). Yoon, Seong-Min ; Lau, Chi Keung ; GUPTA, RANGAN ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201754.

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2018Volatility Jumps: The Role of Geopolitical Risks. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201805.

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2018Oil Shocks and Volatility Jumps. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201825.

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2018Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements. (2018). GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Suleman, Tahir ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201871.

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2018Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?. (2018). GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Pierdzioch, Christian. In: Working Papers. RePEc:pre:wpaper:201879.

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2019Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility. (2019). GUPTA, RANGAN ; Cakan, Esin ; Marfatia, Hardik A. In: Working Papers. RePEc:pre:wpaper:201916.

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2019Monetary Policy Uncertainty and Volatility Jumps in Advanced Equity Markets. (2019). Kyei, Clement ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201939.

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2019125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets. (2019). GUPTA, RANGAN ; Miller, Stephen M ; Marfatia, Hardik A. In: Working Papers. RePEc:pre:wpaper:201956.

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2019Moments-Based Spillovers across Gold and Oil Markets. (2019). Bonato, Matteo ; Wang, Shixuan ; Marco, Chi Keung ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:201966.

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2017Testing the CVAR in the fractional CVAR model. (2017). Nielsen, Morten ; Johansen, Soren. In: Working Papers. RePEc:qed:wpaper:1394.

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2018Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren. In: Working Papers. RePEc:qed:wpaper:1405.

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2018Using realistic trading strategies in an agent-based stock market model. (2018). Llacay, Barbara ; Peffer, Gilbert. In: Computational and Mathematical Organization Theory. RePEc:spr:comaot:v:24:y:2018:i:3:d:10.1007_s10588-017-9258-0.

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2018Can oil prices help predict US stock market returns? Evidence using a dynamic model averaging (DMA) approach. (2018). Naser, Hanan ; Alaali, Fatema. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1323-5.

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2017Modelling the relationship between future energy intraday volatility and trading volume with wavelet. (2017). Ftiti, Zied ; JAWADI, Fredj ; Louhichi, Wal. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:20:p:1981-1993.

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2018Likelihood based inference for an Identifiable Fractional Vector Error Correction Model. (2018). Carlini, Federico ; Lasak, Katarzyna . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180085.

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2017A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities. (2017). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Mazzeu, Joao Henrique . In: Working Papers. RePEc:ucr:wpaper:201709.

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2018Heterogeneous Information Content of Global FX Trading. (2018). Ranaldo, Angelo ; Somogyi, Fabricius. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:20.

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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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paper16
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: 16
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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paper6
2012Estimation of long memory in integrated variance.(2012) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 6
paper
2014Estimation of Long Memory in Integrated Variance.(2014) In: Econometric Reviews.
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This paper has another version. Agregated cites: 6
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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paper13
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: 13
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: 13
paper
2013On the identification of fractionally cointegrated VAR models with the F(d) condition In: CREATES Research Papers.
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paper18
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: 18
paper
2014Forecasting with the Standardized Self-Perturbed Kalman Filter In: CREATES Research Papers.
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paper3
2014Forecasting with the Standardized Self-Perturbed Kalman Filter.(2014) In: Studies in Economics.
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This paper has another version. Agregated cites: 3
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: 3
article
2014Volatility jumps and their economic determinants In: CREATES Research Papers.
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paper15
2016Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 15
article
2014Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers.
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paper5
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: 5
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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paper1
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: 1
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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paper0
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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article0
2013On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance.
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article8
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: 8
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: 8
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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
2018Trading 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]
article8

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