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Paolo Santucci de Magistris

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This is information that was supplied by Paolo Santucci de Magistris in registering through RePEc. If you are Paolo Santucci de Magistris , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Paolo
Middle Name:
Last Name: Santucci de Magistris
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RePEc Short-ID: psa1128

Email:
Homepage: http://pure.au.dk/portal/en/persons/paolo-santucci-de-magistris%28340a3f1e-c6f8-4f75-ae8d-5e
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Affiliation

Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Location: Aarhus, Denmark
Homepage: http://www.creates.au.dk/
Email:
Phone:
Fax:
Postal: Building 1322, DK-8000 Aarhus C
Handle: RePEc:edi:creaudk (more details at EDIRC)

Works

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Working papers

  1. Federico Carlini & Paolo Santucci de Magistris, 2013. "On the identification of fractionally cointegrated VAR models with the F(d) condition," CREATES Research Papers 2013-44, School of Economics and Management, University of Aarhus.
  2. Stefano Grassi & Paolo Santucci de Magistris, 2013. "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers 2013-03, School of Economics and Management, University of Aarhus.
  3. Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011. "On the Predictability of Stock Prices: A Case for High and Low Prices," "Marco Fanno" Working Papers 0136, Dipartimento di Scienze Economiche "Marco Fanno".
  4. Stefano Grassi & Paolo Santucci de Magistris, 2011. "When Long Memory Meets the Kalman Filter: A Comparative Study," CREATES Research Papers 2011-14, School of Economics and Management, University of Aarhus.
  5. Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Estimation of long memory in integrated variance," CREATES Research Papers 2011-11, School of Economics and Management, University of Aarhus.
  6. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Conditional jumps in volatility and their economic determinants," "Marco Fanno" Working Papers 0138, Dipartimento di Scienze Economiche "Marco Fanno".
  7. Bent Jesper Christensen & Paolo Santucci de Magistris, 2010. "Level Shifts in Volatility and the Implied-Realized Volatility Relation," CREATES Research Papers 2010-60, School of Economics and Management, University of Aarhus.
  8. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, School of Economics and Management, University of Aarhus.
  9. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "Long Memory and Tail dependence in Trading Volume and Volatility," CREATES Research Papers 2009-30, School of Economics and Management, University of Aarhus.

Articles

  1. Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
  2. Eduardo Rossi & Paolo Santucci de Magistris, 2013. "A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(1), pages 77-102, 01.
  3. Rossi, Eduardo & Santucci de Magistris, Paolo, 2013. "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 94-112.
  4. Massimiliano Caporin & Paolo Santucci de Magistris, 2012. "On the evaluation of marginal expected shortfall," Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 175-179, February.

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2010-09-25
  2. NEP-CFN: Corporate Finance (1) 2011-07-13
  3. NEP-CWA: Central & Western Asia (1) 2013-03-09
  4. NEP-ECM: Econometrics (7) 2009-08-08 2009-08-16 2010-09-25 2011-04-23 2011-05-24 2013-03-09 2013-12-29. Author is listed
  5. NEP-ETS: Econometric Time Series (7) 2009-08-08 2010-09-25 2011-04-23 2011-05-24 2012-11-17 2013-03-09 2013-12-29. Author is listed
  6. NEP-FMK: Financial Markets (2) 2009-08-08 2010-09-25
  7. NEP-FOR: Forecasting (3) 2009-08-16 2010-09-25 2013-03-09. Author is listed
  8. NEP-ORE: Operations Research (1) 2013-03-09
  9. NEP-RMG: Risk Management (1) 2011-10-09

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