Santucci de Magistris, Paolo
Santucci de Magistris, Paolo
DIPARTIMENTO DI ECONOMIA E FINANZA
Analyzing the Risks Embedded in Option Prices with rndfittool
2018-01-01 Barletta, Andrea; Santucci de Magistris, Paolo
The Bank-Sovereign Nexus: Evidence from a Non-Bailout Episode
2019-01-01 Caporin, Massimiliano; Natvik, Gisle J.; Ravazzolo, Francesco; Santucci de Magistris, Paolo
Chasing volatility: a persistent multiplicative error model with jumps
2017-01-01 Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo
Dynamic Discrete Mixtures for High-Frequency Prices
2022-01-01 Catania, Leopoldo; Di Mari, Roberto; Santucci de Magistris, Paolo
Estimating jumps in volatility using realized-range measures
2012-01-01 Massimiliano, Caporin; Eduardo, Rossi; Santucci de Magistris, Paolo
Estimation of long memory in integrated variance
2014-01-01 Rossi, Eduardo; Santucci de Magistris, Paolo
Forecasting With the Standardized Self-Perturbed Kalman Filter
2017-01-01 Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo
Indirect inference with time series observed with error
2018-01-01 Rossi, Eduardo; Santucci de Magistris, Paolo
It only takes a few moments to hedge options
2019-01-01 Barletta, Andrea; Santucci de Magistris, Paolo; Sloth, David
It's all about volatility of volatility: evidence from a two-factor stochastic volatility model
2015-01-01 Grassi, Stefano; Santucci de Magistris, Paolo
Long memory and tail dependence in trading volume and volatility
2013-01-01 Rossi, Eduardo; Santucci de Magistris, Paolo
Long memory in integrated and realized variance
2013-01-01 Rossi, Eduardo; Santucci de Magistris, Paolo
The long-run relationship between the Italian day-ahead and balancing electricity prices
In corso di stampa 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
2021-01-01 Jesper Christensen, Bent; Datta Gupta, Nabanita; Santucci de Magistris, Paolo
Models for jumps in trading volume
2017-01-01 Rossi, Eduardo; Santucci de Magistris, Paolo
A No-Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges
2013-01-01 Rossi, Eduardo; SANTUCCI DE MAGISTRIS, Paolo
A Non-Structural Investigation of VIX Risk Neutral Density
2019-01-01 Barletta, Andrea; Santucci de Magistris, Paolo; Violante, Francesco
On the evaluation of marginal expected shortfall
2012-01-01 Caporin, Massimiliano; Santucci de Magistris, Paolo
On the identification of fractionally cointegrated VAR models with the F (d) condition
2019-01-01 Carlini, Federico; Santucci de Magistris, Paolo
On the predictability of stock prices: a case for high and low prices
2013-01-01 Caporin, Massimiliano; Ranaldo, Angelo; Santucci de Magistris, Paolo
| 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 | |
| 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 | In corso di stampa | 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 | |
| On the predictability of stock prices: a case for high and low prices | 2013 | Caporin, Massimiliano; Ranaldo, Angelo; Santucci de Magistris, Paolo |