Santucci de Magistris, Paolo

Santucci de Magistris, Paolo  

DIPARTIMENTO DI ECONOMIA E FINANZA  

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Titolo Data di pubblicazione Autore(i) File
Analyzing the Risks Embedded in Option Prices with rndfittool 2018 Barletta, Andrea; 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
Chasing volatility: a persistent multiplicative error model with jumps 2017 Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo
Dynamic Discrete Mixtures for High-Frequency Prices 2022 Catania, Leopoldo; Di Mari, Roberto; Santucci de Magistris, Paolo
Estimating jumps in volatility using realized-range measures 2012 Massimiliano, Caporin; Eduardo, Rossi; Santucci de Magistris, Paolo
Estimation of long memory in integrated variance 2014 Rossi, Eduardo; Santucci de Magistris, Paolo
Forecasting With the Standardized Self-Perturbed Kalman Filter 2017 Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo
Indirect inference with time series observed with error 2018 Rossi, Eduardo; Santucci de Magistris, Paolo
It only takes a few moments to hedge options 2019 Barletta, Andrea; Santucci de Magistris, Paolo; Sloth, David
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model 2015 Grassi, Stefano; Santucci de Magistris, Paolo
Liquidity in the global currency market 2022 Ranaldo, Angelo; 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
The long-run relationship between the Italian day-ahead and balancing electricity prices 2022 Caporin, Massimiliano; Fontini, Fulvio; Santucci de Magistris, Paolo
Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting 2021 Jesper Christensen, Bent; Datta Gupta, Nabanita; Santucci de Magistris, Paolo
Models for jumps in trading volume 2017 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
A Non-Structural Investigation of VIX Risk Neutral Density 2019 Barletta, Andrea; Santucci de Magistris, Paolo; Violante, Francesco
On the evaluation of marginal expected shortfall 2012 Caporin, Massimiliano; Santucci de Magistris, Paolo
On the identification of fractionally cointegrated VAR models with the F (d) condition 2019 Carlini, Federico; Santucci de Magistris, Paolo