7
H index
7
i10 index
170
Citations
Libera Università Internazionale degli Studi Sociali Guido Carli (LUISS) (99% share) | 7 H index 7 i10 index 170 Citations RESEARCH PRODUCTION: 18 Articles 27 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: |
Journals with more than one article published | # docs |
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Journal of Empirical Finance | 3 |
Journal of Banking & Finance | 3 |
Journal of Applied Econometrics | 2 |
Working Papers Series with more than one paper published | # docs |
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"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno" | 4 |
Working Papers on Finance / University of St. Gallen, School of Finance | 2 |
Year | Title of citing document |
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2021 | Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15. Full description at Econpapers || Download paper |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper |
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 |
2021 | Forecasting open-high-low-close data contained in candlestick chart. (2021). Wang, Shanshan ; Huang, Wenyang. In: Papers. RePEc:arx:papers:2104.00581. 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 |
2021 | AN 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. 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 |
2021 | Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence. (2021). Pérez-RodrÃguez, 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. 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 |
2021 | OPEC 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. 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 |
2021 | Commonality 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Asymmetric 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. Full description at Econpapers || Download paper |
2022 | ECB 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. Full description at Econpapers || Download paper |
2021 | Energy 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. Full description at Econpapers || Download paper |
2021 | Managing 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. Full description at Econpapers || Download paper |
2021 | Dynamic 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. 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 |
2021 | El 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. 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 | Are 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. Full description at Econpapers || Download paper |
2021 | A 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. 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 |
2021 | What 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. 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 | Comparison 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. 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 |
2021 | Modeling 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. 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 |
2021 | The 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. Full description at Econpapers || Download paper |
2022 | A 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. Full description at Econpapers || Download paper |
2022 | Modelling 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. 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: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:5:p:544-565. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2009 | Long Memory and Tail dependence in Trading Volume and Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 28 |
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: 28 | 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 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 | 12 |
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: 12 | 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 | 16 |
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: 16 | 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: 16 | paper | |
2013 | On the identification of fractionally cointegrated VAR models with the F(d) condition In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 16 |
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: 16 | 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: 16 | article | |
2014 | Forecasting with the Standardized Self-Perturbed Kalman Filter In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
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: 6 | paper | |
2017 | Forecasting With the Standardized Self?Perturbed Kalman Filter.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2014 | Volatility jumps and their economic determinants In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 30 |
2016 | Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | article | |
2014 | Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
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: 6 | 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 | 2 |
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: 2 | 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 | |
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 |
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 | 18 |
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: 18 | 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: 18 | 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 | 1 |
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 | 10 |
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