Sfoglia per Autore  Santucci De Magistris, Paolo

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Titolo Data di pubblicazione Autore(i) File
Estimating jumps in volatility using realized-range measures 2012 Massimiliano, Caporin; Eduardo, Rossi; Santucci de Magistris, Paolo
On the evaluation of marginal expected shortfall 2012 Caporin, Massimiliano; Santucci de Magistris, Paolo
Long memory in integrated and realized variance 2013 Rossi, Eduardo; Santucci de Magistris, Paolo
Long memory and tail dependence in trading volume and volatility 2013 Rossi, Eduardo; Santucci de Magistris, Paolo
A No-Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges 2013 Rossi, Eduardo; Santucci de Magistris, Paolo
On the predictability of stock prices: a case for high and low prices 2013 Caporin, Massimiliano; Ranaldo, Angelo; Santucci de Magistris, Paolo
Estimation of long memory in integrated variance 2014 Rossi, Eduardo; Santucci de Magistris, Paolo
When long memory meets the Kalman filter: a comparative study 2014 Grassi, Stefano; Santucci de Magistris, Paolo
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model 2015 Grassi, Stefano; Santucci de Magistris, Paolo
Volatility jumps and their economic determinants 2016 Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo
Models for jumps in trading volume 2017 Rossi, Eduardo; Santucci de Magistris, Paolo
Forecasting With the Standardized Self-Perturbed Kalman Filter 2017 Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo
Chasing volatility: a persistent multiplicative error model with jumps 2017 Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo
Indirect inference with time series observed with error 2018 Rossi, Eduardo; Santucci de Magistris, Paolo
Analyzing the Risks Embedded in Option Prices with rndfittool 2018 Barletta, Andrea; Santucci de Magistris, Paolo
A Non-Structural Investigation of VIX Risk Neutral Density 2019 Barletta, Andrea; Santucci de Magistris, Paolo; Violante, Francesco
On the identification of fractionally cointegrated VAR models with the F (d) condition 2019 Carlini, Federico Carlo Eugenio; Santucci de Magistris, Paolo
It only takes a few moments to hedge options 2019 Barletta, Andrea; Santucci de Magistris, Paolo; Sloth, David
Volatility tail risk under fractionality 2019 Morelli, Giacomo; Santucci de Magistris, Paolo
The Bank-Sovereign Nexus: Evidence from a Non-Bailout Episode 2019 Caporin, Massimiliano; Natvik, Gisle J.; Ravazzolo, Francesco; Santucci de Magistris, Paolo
Mostrati risultati da 1 a 20 di 26
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