Sfoglia per Autore Santucci De Magistris, Paolo
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 and tail dependence in trading volume and volatility
2013 Rossi, Eduardo; Santucci de Magistris, Paolo
Long memory in integrated and realized variance
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
When long memory meets the Kalman filter: a comparative study
2014 Grassi, Stefano; Santucci de Magistris, Paolo
Estimation of long memory in integrated variance
2014 Rossi, Eduardo; 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
On the identification of fractionally cointegrated VAR models with the F (d) condition
2019 Carlini, Federico Carlo Eugenio; Santucci de Magistris, Paolo
A Non-Structural Investigation of VIX Risk Neutral Density
2019 Barletta, Andrea; Santucci de Magistris, Paolo; Violante, Francesco
The Bank-Sovereign Nexus: Evidence from a Non-Bailout Episode
2019 Caporin, Massimiliano; Natvik, Gisle J.; Ravazzolo, Francesco; 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
| 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 and tail dependence in trading volume and volatility | 2013 | Rossi, Eduardo; Santucci de Magistris, Paolo | |
| Long memory in integrated and realized variance | 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 | |
| When long memory meets the Kalman filter: a comparative study | 2014 | Grassi, Stefano; Santucci de Magistris, Paolo | |
| Estimation of long memory in integrated variance | 2014 | Rossi, Eduardo; 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 | |
| On the identification of fractionally cointegrated VAR models with the F (d) condition | 2019 | Carlini, Federico Carlo Eugenio; Santucci de Magistris, Paolo | |
| A Non-Structural Investigation of VIX Risk Neutral Density | 2019 | Barletta, Andrea; Santucci de Magistris, Paolo; Violante, Francesco | |
| The Bank-Sovereign Nexus: Evidence from a Non-Bailout Episode | 2019 | Caporin, Massimiliano; Natvik, Gisle J.; Ravazzolo, Francesco; 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 |
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