Paolo Santucci de Magistris : Citation Profile


Are you Paolo Santucci de Magistris?

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

7

H index

7

i10 index

188

Citations

RESEARCH PRODUCTION:

20

Articles

29

Papers

RESEARCH ACTIVITY:

   13 years (2009 - 2022). See details.
   Cites by year: 14
   Journals where Paolo Santucci de Magistris has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 24 (11.32 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psa1128
   Updated: 2023-11-04    RAS profile: 2023-08-05    
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Relations with other researchers


Works with:

Ranaldo, Angelo (3)

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 (15)

Johansen, Soren (9)

Wohar, Mark (8)

Gkillas (Gillas), Konstantinos (7)

Lau, Chi Keung (5)

Otranto, Edoardo (4)

Gallo, Giampiero (4)

Yoon, Seong-Min (4)

DE TRUCHIS, Gilles (4)

Pierdzioch, Christian (4)

Cites to:

Bollerslev, Tim (77)

Diebold, Francis (60)

Andersen, Torben (58)

Nielsen, Morten (46)

Johansen, Soren (42)

Tauchen, George (32)

Corsi, Fulvio (25)

Ranaldo, Angelo (21)

Engle, Robert (15)

Caporin, Massimiliano (12)

Rossi, Eduardo (12)

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 Business & Economic Statistics2
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 (2023 and 2022)


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

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

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2023An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2023A spectral approach to stock market performance. (2023). Escañuela Romana, Ignacio ; Nieves, Clara Escanuela. In: Papers. RePEc:arx:papers:2305.05762.

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2022Credit rating agencies, information asymmetry and US bond liquidity. (2022). Salvade, Federica ; Raimbourg, Philippe ; Lovo, Stefano. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:9-10:p:1863-1896.

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2022Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:60:y:2022:i:4:p:1019-1046.

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2022Can Time-Varying Currency Risk Hedging Explain Exchange Rates?. (2022). Hau, Harald ; Brauer, Leonie. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10065.

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2023Modelling 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.

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2022The driving forces of green bond market volatility and the response of the market to the COVID-19 pandemic. (2022). Liu, Min. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:288-309.

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2022Fractional cointegration and price discovery in Canadian commodities. (2022). Cao, Zeyang ; Stewart, Kenneth G ; Xu, KE. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001358.

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2022Bond markets integration in the EU: New empirical evidence from the Eastern non-euro member-states. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001620.

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2022How do bail-in amendments in Directive (EU) 2017/2399 affect the subordinated bond yields of EU G-SIBs?. (2022). Polato, Maurizio ; Floreani, Josanco ; Velliscig, Giulio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:173-189.

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2023A 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.

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2022Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network. (2022). Zhang, Wei ; Xiong, Xiong ; Liu, Jian-Min ; Gong, Xiao-Li. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s105752192200309x.

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2022Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004128.

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2023How 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.

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2023A 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.

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2022Price Clustering in International Financial Markets during the COVID-19 Pandemic and Its Implications. (2022). Enow, Samuel Tabot. In: Eurasian Journal of Economics and Finance. RePEc:ejn:ejefjr:v:10:y:2022:i:2:p:46-53.

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2023Online 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.

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2022The Zonal and Seasonal CO2 Marginal Emissions Factors for the Italian Power Market. (2022). Beltrami, Filippo ; Fontini, Fulvio ; Giulietti, Monica ; Grossi, Luigi. In: Environmental & Resource Economics. RePEc:kap:enreec:v:83:y:2022:i:2:d:10.1007_s10640-021-00567-9.

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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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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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paper26
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: 26
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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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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paper17
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: 17
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: 17
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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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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paper31
2016Volatility Jumps and Their Economic Determinants.(2016) In: The Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 31
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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paper1
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: 1
article
2015Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach In: CREATES Research Papers.
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paper0
2015Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach.(2015) In: Studies in Economics.
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This paper has another version. Agregated cites: 0
paper
2016Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach In: CREATES Research Papers.
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paper0
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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paper3
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: 3
article
2019Resuscitating the co-fractional model of Granger (1986) In: CREATES Research Papers.
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paper1
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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article0
2022Realized Illiquidity In: Swiss Finance Institute Research Paper Series.
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paper0
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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article1
2013On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance.
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article25
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: 25
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: 25
paper
2022Liquidity in the global currency market In: Journal of Financial Economics.
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article3
2018Analyzing the Risks Embedded in Option Prices with rndfittool In: Risks.
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article0
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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article1
2022Dynamic Discrete Mixtures for High-Frequency Prices In: Journal of Business & Economic Statistics.
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article3
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.
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article12

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