9
H index
7
i10 index
220
Citations
Paolo Santucci de Magistris : Citation Profile
Libera Università Internazionale degli Studi Sociali Guido Carli (LUISS) | RESEARCH PRODUCTION: 23 Articles 30 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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16 years (2009 - 2025). Relations with other researchers
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:
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Main data
Where Paolo Santucci de Magistris has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Banking & Finance | 3 |
| Journal of Empirical Finance | 3 |
| Journal of Applied Econometrics | 2 |
| Journal of Business & Economic Statistics | 2 |
| 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 Finance | 2 |
Recent works citing Paolo Santucci de Magistris (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2024). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper |
| 2024 | A GARCH model with two volatility components and two driving factors. (2024). Ballestra, Luca Vincenzo ; Tezza, Christian ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2410.14585. Full description at Econpapers || Download paper |
| 2025 | Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone. In: Papers. RePEc:arx:papers:2501.17490. Full description at Econpapers || Download paper |
| 2025 | Harnessing artificial intelligence for monitoring financial markets. (2025). Gelos, R. Gaston ; Perez-Cruz, Fernando ; Park, Taejin ; Godoy, Douglas Kiarelly ; Aquilina, Matteo. In: BIS Working Papers. RePEc:bis:biswps:1291. Full description at Econpapers || Download paper |
| 2025 | Judgment can spur long memory. (2025). Zanetti Chini, Emilio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001970. Full description at Econpapers || Download paper |
| 2025 | Optimal N-state endogenous Markov-switching model for currency liquidity timing. (2025). Wang, Luqi ; Urga, Giovanni. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925001034. Full description at Econpapers || Download paper |
| 2024 | Persistent and transient variance components in option pricing models with variance-dependent Kernel. (2024). Ghanbari, Hamed. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000665. Full description at Econpapers || Download paper |
| 2025 | Navigating crude oil volatility forecasts: Assessing the contribution of geopolitical risk. (2025). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004189. Full description at Econpapers || Download paper |
| 2025 | Validation and optimization of a solar heating plant with a large-scale heat pump. (2025). Tian, Zhiyong ; Wang, Dengjia ; Wu, Jiani ; Kong, Weiqiang ; Gao, Meng ; Fan, Jianhua ; Xu, YI ; Zhan, Chenxuan. In: Energy. RePEc:eee:energy:v:319:y:2025:i:c:s0360544225005407. Full description at Econpapers || Download paper |
| 2025 | The role of US bank liquidity and regulations in Covered Interest Parity deviations. (2025). Winkelried, Diego ; Terrones, Marco ; Ortiz, Marco ; Bazn-Palomino, Walter. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:102:y:2025:i:c:s1042443125000630. Full description at Econpapers || Download paper |
| 2024 | Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. (2024). Wilfling, Bernd ; GUPTA, RANGAN ; Segnon, Mawuli. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:29-43. Full description at Econpapers || Download paper |
| 2025 | The time-varying Multivariate Autoregressive Index model. (2025). Guardabascio, Barbara ; Cubadda, Gianluca ; Grassi, Stefano. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:175-190. Full description at Econpapers || Download paper |
| 2025 | Constrained liquidity provision in currency markets. (2025). Schrimpf, Andreas ; Ranaldo, Angelo ; Somogyi, Fabricius ; Huang, Wenqian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000364. Full description at Econpapers || Download paper |
| 2025 | The role of hedge funds in the Swiss franc foreign exchange market. (2025). Gentner, Jessica. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:154:y:2025:i:c:s0261560625000464. Full description at Econpapers || Download paper |
| 2025 | Signal in the noise: Trump tweets and the currency market. (2025). Filippou, Ilias ; Gozluklu, Arie E ; Nguyen, My T ; Viswanath-Natraj, Ganesh. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:156:y:2025:i:c:s0261560625000786. Full description at Econpapers || Download paper |
| 2024 | Commodity market downturn: Systemic risk and spillovers during left tail events. (2024). Çevik, Emrah ; Kirimhan, Destan ; Gunay, Samet. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000643. Full description at Econpapers || Download paper |
| 2025 | SDR adjustment and FX liquidity. (2025). Yang, Jimmy J ; Chen, Yu-Lun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25000484. Full description at Econpapers || Download paper |
| 2025 | How to progress towards sustainable development by leveraging renewable energy sources, technological advances, and human capital. (2025). Pata, Ugur Korkut. In: Renewable Energy. RePEc:eee:renene:v:241:y:2025:i:c:s0960148125000291. Full description at Econpapers || Download paper |
| 2025 | . Full description at Econpapers || Download paper |
| 2024 | A framework of index system for gauging the sustainability of iranian provinces by fusing analytical hierarchy process (AHP) and rough set theory (RST). (2024). Izbirak, Gokhan ; Khosravi, Faramarz. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124001745. Full description at Econpapers || Download paper |
| 2025 | The Wind Parks Distorted Development in Greek Islands—Lessons Learned and Proposals Toward Rational Planning. (2025). Yfanti, Sofia ; Condaxakis, Constantinos ; Katsaprakakis, Dimitris ; Ch, Nikolaos ; Savvakis, Nikos ; Vavvos, Andreas ; Dakanali, Eirini. In: Energies. RePEc:gam:jeners:v:18:y:2025:i:13:p:3311-:d:1686363. Full description at Econpapers || Download paper |
| 2025 | Probabilistic HVAC Load Forecasting Method Based on Transformer Network Considering Multiscale and Multivariable Correlation. (2025). Meng, Zijie ; Cai, Xinlei ; Jin, Xin ; Li, Chao ; Luo, Hongxuan ; Zhu, Zean ; Pan, Tingzhe. In: Energies. RePEc:gam:jeners:v:18:y:2025:i:19:p:5073-:d:1757008. Full description at Econpapers || Download paper |
| 2025 | Wind Turbines, Shadow Flicker, and Real Estate Values. (2025). Hener, Timo ; Andersen, Carsten. In: Environmental & Resource Economics. RePEc:kap:enreec:v:88:y:2025:i:3:d:10.1007_s10640-024-00947-x. Full description at Econpapers || Download paper |
| 2025 | The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501. Full description at Econpapers || Download paper |
| 2024 | The Time-Varying Multivariate Autoregressive Index Model. (2024). Guardabascio, Barbara ; Cubadda, Gianluca ; Grassi, Stefano. In: CEIS Research Paper. RePEc:rtv:ceisrp:571. Full description at Econpapers || Download paper |
| 2024 | Point forecasts of the price of crude oil: an attempt to “beat” the end-of-month random-walk benchmark. (2024). Nonejad, Nima. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:4:d:10.1007_s00181-024-02599-8. Full description at Econpapers || Download paper |
| 2025 | Expressions for Marginal Mean Excess and Marginal Expected Shortfall Measures under Bivariate Scale Mixture of Normal Distribution. (2025). Jamalizadeh, Ahad ; Desmond, Anthony F ; Mardani-Fard, Heydar Ali ; Balakrishnan, Narayanaswamy ; Roozegar, Roohollah. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10156-8. Full description at Econpapers || Download paper |
| 2025 | Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes. (2025). Opschoor, Anne ; Lucas, Andrae ; Schoemaker, Daan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250039. Full description at Econpapers || Download paper |
Works by Paolo Santucci de Magistris:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 nother 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 nother version. Agregated cites: 7 | paper | |
| 2014 | Estimation of Long Memory in Integrated Variance.(2014) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother 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 | 13 |
| 2014 | When long memory meets the Kalman filter: A comparative study.(2014) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | 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 | 21 |
| 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 nother version. Agregated cites: 21 | 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 nother version. Agregated cites: 21 | paper | |
| 2013 | On the identification of fractionally cointegrated VAR models with the F(d) condition In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 18 |
| 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 nother version. Agregated cites: 18 | 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 nother version. Agregated cites: 18 | article | |
| 2014 | Forecasting with the Standardized Self-Perturbed Kalman Filter In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
| 2014 | Forecasting with the Standardized Self-Perturbed Kalman Filter.(2014) In: Studies in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2017 | Forecasting With the Standardized Self‐Perturbed Kalman Filter.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2014 | Volatility jumps and their economic determinants In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 33 |
| 2016 | Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | article | |
| 2014 | Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 5 |
| 2014 | Chasing Volatility. A Persistent Multiplicative Error Model With Jumps.(2014) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2014 | Indirect inference with time series observed with error In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | Indirect inference with time series observed with error.(2018) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2015 | Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 nother 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 | 3 |
| 2019 | The bank-sovereign nexus: Evidence from a non-bailout episode.(2019) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | 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 nother 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 | 2 |
| 2024 | Bayesian Flexible Local Projections In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2022 | Realized Illiquidity In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 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 |
| 2023 | Climate, wind energy, and CO2 emissions from energy production in Denmark In: Energy Economics. [Full Text][Citation analysis] | article | 4 |
| 2019 | Volatility tail risk under fractionality In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 2 |
| 2013 | On the predictability of stock prices: A case for high and low prices In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 24 |
| 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 nother version. Agregated cites: 24 | 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 nother version. Agregated cites: 24 | paper | |
| 2022 | Liquidity in the global currency market In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 9 |
| 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 | 6 |
| 2022 | Dynamic Discrete Mixtures for High-Frequency Prices.(2022) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 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 | 3 |
| 2025 | Liquidity Coverage at Risk In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Trading Volume, Illiquidity and Commonalities in FX Markets In: Working Papers on Finance. [Full Text][Citation analysis] | paper | 6 |
| 2013 | A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges In: Journal of Futures Markets. [Citation analysis] | article | 12 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team