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Paolo Santucci de Magistris

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First Name:Paolo
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Last Name:Santucci de Magistris
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RePEc Short-ID:psa1128
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Homepage:http://pure.au.dk/portal/en/persons/paolo-santucci-de-magistris%28340a3f1e-c6f8-4f75-ae8d-5e
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Location: Aarhus, Denmark
Homepage: http://www.creates.au.dk/
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Postal: Building 1322, DK-8000 Aarhus C
Handle: RePEc:edi:creaudk (more details at EDIRC)
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  1. Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris, 2014. "Forecasting with the Standardized Self-Perturbed Kalman Filter," Studies in Economics 1405, School of Economics, University of Kent.
  2. 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.
  3. 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.
  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. 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".
  6. 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".
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  1. Grassi, Stefano & Santucci de Magistris, Paolo, 2014. "When long memory meets the Kalman filter: A comparative study," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 301-319.
  2. 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.
  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. 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.
  5. 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.
13 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 (8) 2009-08-08 2009-08-16 2010-09-25 2011-04-23 2011-05-24 2013-03-09 2013-12-29 2014-04-18. Author is listed
  5. NEP-ETS: Econometric Time Series (10) 2009-08-08 2010-09-25 2011-04-23 2011-05-24 2012-11-17 2013-03-09 2013-12-29 2014-04-18 2014-06-28 2014-06-28. Author is listed
  6. NEP-FMK: Financial Markets (2) 2009-08-08 2010-09-25
  7. NEP-FOR: Forecasting (5) 2009-08-16 2010-09-25 2013-03-09 2014-04-18 2014-06-28. Author is listed
  8. NEP-ORE: Operations Research (4) 2013-03-09 2014-04-18 2014-06-28 2014-06-28. Author is listed
  9. NEP-RMG: Risk Management (1) 2011-10-09

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