Skip to contents Carlini, Federico [Author] ; Santucci de Magistris, Paolo [Other] Resuscitating the Co-Fractional Model of Granger Books View online Schließen > Access ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2019] Rossi, Eduardo [Author] ; Santucci de Magistris, Paolo [Other] Indirect Inference with Time Series Observed with Error Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018] Rossi, Eduardo [Author] ; Santucci de Magistris, Paolo [Other] Estimation of Long Memory in Integrated Variance Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2011] Published in: Center for Research in Econometrics Analysis of Time Series (CREATES) Working Paper ; No. 2011-11 Rossi, Eduardo [Author] ; Santucci de Magistris, Paolo [Other] A No Arbitrage Fractional Cointegration Analysis of the Range Based Volatility Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2010] Published in: CREATES Research Paper ; No. 2009-31 Caporin, Massimiliano [Author] ; Santucci de Magistris, Paolo [Other] On the Evaluation of Marginal Expected Shortfall Books View online Schließen > Access ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2010] Grassi, Stefano [Author] ; Santucci de Magistris, Paolo [Other] When Long Memory Meets the Kalman Filter : A Comparative Study Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2011] Catania, Leopoldo [Author] ; Di Mari, Roberto [Other]; Santucci de Magistris, Paolo [Other] Dynamic Discrete Mixtures for High Frequency Prices Books View online Schließen > Access ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2019] Catania, Leopoldo [Author] ; Rossi, Eduardo [Other]; Santucci de Magistris, Paolo [Other] Extreme Overdispersion and Persistence in Time-Series of Counts Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2020] Barletta, Andrea [Author] ; Santucci de Magistris, Paolo [Other]; Sloth, David [Other] It Only Takes a Few Moments to Hedge Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018] Caporin, Massimiliano [Author] ; Fontini, Fulvio [Other]; Santucci de Magistris, Paolo [Other] Price Convergence within and between the Italian Electricity Day-Ahead and Dispatching Services Markets Books View online Schließen > Access ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018] Caporin, Massimiliano [Author] ; Rossi, Eduardo [Other]; Santucci de Magistris, Paolo [Other] Chasing Volatility : A Persistent Multiplicative Error Model with Jumps Books View online Schließen > Access ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2014] Caporin, Massimiliano [Author] ; Rossi, Eduardo [Other]; Santucci de Magistris, Paolo [Other] Conditional Jumps in Volatility and Their Economic Determinants Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2011] Garlini, Federico [Author]; Santucci de Magistris, Paolo [Author] Resuscitating the co-fractional model of Granger (1986) Books View online Schließen > Access ... to E-book (Volltext ; freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Aarhus, Denmark: Department of Economics and Business Economics, Aarhus University, 2019 Published in: Aarhus Universitet: CREATES research paper ; 201902 Ranaldo, Angelo [Author]; Santucci de Magistris, Paolo [Author] Trading volume, illiquidity and commonalities in FX markets Books View online Schließen > Access ... to E-book (Volltext ; PDF document ; freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. St. Gallen: School of Finance, University of St. Gallen, November 15, 2018 Published in: Universität St. Gallen: Working papers on finance ; 20182300 Borri, Nicola [Author]; Santucci de Magistris, Paolo [Author] Crypto Premium, Higher-Order Moments and Tail Risk Books View online Schließen > Access ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2021] Barletta, Andre [Author]; Santucci de Magistris, Paolo [Author] Analyzing the risks embedded in option prices with rndfittool Articles View online Schließen > Links ... to article Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Basel: MDPI, 2018 Grassi, Stefano [Author]; Santucci de Magistris, Paolo [Author] It's all about volatility of volatility: evidence from a two-factor stochastic volatility model Books View online Schließen > Links ... to E-book Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Canterbury: University of Kent, School of Economics, 2013 Rossi, Eduardo [Author]; Santucci de Magistris, Paolo [Author] Long Memory and Tail Dependence in Trading Volume and Volatility Books View online Schließen > Access ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, 2011 Published in: CREATES Research Paper ; No. 2009-30 Christensen, Bent Jesper [Author]; Santucci de Magistris, Paolo [Author] Level Shifts in Volatility and the Implied-Realized Volatility Relation Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, 2010 Lacava, Demetrio [Author]; Ranaldo, Angelo [Author]; Santucci de Magistris, Paolo [Author] Realized Illiquidity Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, 2022 Published in: Swiss Finance Institute Research Paper ; No. 22-90
Carlini, Federico [Author] ; Santucci de Magistris, Paolo [Other] Resuscitating the Co-Fractional Model of Granger Books View online Schließen > Access ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2019]
Rossi, Eduardo [Author] ; Santucci de Magistris, Paolo [Other] Indirect Inference with Time Series Observed with Error Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018]
Rossi, Eduardo [Author] ; Santucci de Magistris, Paolo [Other] Estimation of Long Memory in Integrated Variance Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2011] Published in: Center for Research in Econometrics Analysis of Time Series (CREATES) Working Paper ; No. 2011-11
Rossi, Eduardo [Author] ; Santucci de Magistris, Paolo [Other] A No Arbitrage Fractional Cointegration Analysis of the Range Based Volatility Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2010] Published in: CREATES Research Paper ; No. 2009-31
Caporin, Massimiliano [Author] ; Santucci de Magistris, Paolo [Other] On the Evaluation of Marginal Expected Shortfall Books View online Schließen > Access ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2010]
Grassi, Stefano [Author] ; Santucci de Magistris, Paolo [Other] When Long Memory Meets the Kalman Filter : A Comparative Study Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2011]
Catania, Leopoldo [Author] ; Di Mari, Roberto [Other]; Santucci de Magistris, Paolo [Other] Dynamic Discrete Mixtures for High Frequency Prices Books View online Schließen > Access ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2019]
Catania, Leopoldo [Author] ; Rossi, Eduardo [Other]; Santucci de Magistris, Paolo [Other] Extreme Overdispersion and Persistence in Time-Series of Counts Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2020]
Barletta, Andrea [Author] ; Santucci de Magistris, Paolo [Other]; Sloth, David [Other] It Only Takes a Few Moments to Hedge Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018]
Caporin, Massimiliano [Author] ; Fontini, Fulvio [Other]; Santucci de Magistris, Paolo [Other] Price Convergence within and between the Italian Electricity Day-Ahead and Dispatching Services Markets Books View online Schließen > Access ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2018]
Caporin, Massimiliano [Author] ; Rossi, Eduardo [Other]; Santucci de Magistris, Paolo [Other] Chasing Volatility : A Persistent Multiplicative Error Model with Jumps Books View online Schließen > Access ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2014]
Caporin, Massimiliano [Author] ; Rossi, Eduardo [Other]; Santucci de Magistris, Paolo [Other] Conditional Jumps in Volatility and Their Economic Determinants Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2011]
Garlini, Federico [Author]; Santucci de Magistris, Paolo [Author] Resuscitating the co-fractional model of Granger (1986) Books View online Schließen > Access ... to E-book (Volltext ; freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Aarhus, Denmark: Department of Economics and Business Economics, Aarhus University, 2019 Published in: Aarhus Universitet: CREATES research paper ; 201902
Ranaldo, Angelo [Author]; Santucci de Magistris, Paolo [Author] Trading volume, illiquidity and commonalities in FX markets Books View online Schließen > Access ... to E-book (Volltext ; PDF document ; freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. St. Gallen: School of Finance, University of St. Gallen, November 15, 2018 Published in: Universität St. Gallen: Working papers on finance ; 20182300
Borri, Nicola [Author]; Santucci de Magistris, Paolo [Author] Crypto Premium, Higher-Order Moments and Tail Risk Books View online Schließen > Access ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2021]
Barletta, Andre [Author]; Santucci de Magistris, Paolo [Author] Analyzing the risks embedded in option prices with rndfittool Articles View online Schließen > Links ... to article Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Basel: MDPI, 2018
Grassi, Stefano [Author]; Santucci de Magistris, Paolo [Author] It's all about volatility of volatility: evidence from a two-factor stochastic volatility model Books View online Schließen > Links ... to E-book Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Canterbury: University of Kent, School of Economics, 2013
Rossi, Eduardo [Author]; Santucci de Magistris, Paolo [Author] Long Memory and Tail Dependence in Trading Volume and Volatility Books View online Schließen > Access ... to E-book (freely accessible) ... to E-book via DOI (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, 2011 Published in: CREATES Research Paper ; No. 2009-30
Christensen, Bent Jesper [Author]; Santucci de Magistris, Paolo [Author] Level Shifts in Volatility and the Implied-Realized Volatility Relation Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, 2010
Lacava, Demetrio [Author]; Ranaldo, Angelo [Author]; Santucci de Magistris, Paolo [Author] Realized Illiquidity Books View online Schließen > Access ... to E-book via DOI (freely accessible) ... to E-book (freely accessible) Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, 2022 Published in: Swiss Finance Institute Research Paper ; No. 22-90
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