On the predictability of stock prices: A case for high and low prices M Caporin, A Ranaldo, P Santucci de Magistris Journal of Banking & Finance 37 (12), 5132-5146, 2013 | 82 | 2013 |
Long memory and tail dependence in trading volume and volatility E Rossi, P Santucci de Magistris Journal of Empirical Finance 22, 94-112, 2013 | 77 | 2013 |
Volatility jumps and their economic determinants M Caporin, E Rossi, P Santucci de Magistris Journal of Financial Econometrics 14 (1), 29-80, 2015 | 54* | 2015 |
Liquidity in the global currency market A Ranaldo, P Santucci de Magistris Journal of Financial Economics 146 (3), 859-883, 2022 | 39* | 2022 |
When long memory meets the Kalman filter: A comparative study S Grassi, P Santucci de Magistris Computational Statistics & Data Analysis 76, 301-319, 2014 | 36 | 2014 |
On the identification of fractionally cointegrated VAR models with the F(d) condition F Carlini, P Santucci de Magistris Journal of Business & Economic Statistics 37 (1), 134-146, 2019 | 33 | 2019 |
Chasing volatility: A persistent multiplicative error model with jumps M Caporin, E Rossi, P Santucci de Magistris Journal of Econometrics 198 (1), 122-145, 2017 | 29 | 2017 |
A no‐arbitrage fractional cointegration model for futures and spot daily ranges E Rossi, P Santucci de Magistris Journal of Futures Markets 33 (1), 77-102, 2013 | 29* | 2013 |
Estimation of long memory in integrated variance E Rossi, P Santucci de Magistris Econometric Reviews 33 (7), 785-814, 2014 | 21 | 2014 |
It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model S Grassi, P Santucci de Magistris Journal of Empirical Finance 30, 62-78, 2015 | 20 | 2015 |
Dynamic discrete mixtures for high-frequency prices L Catania, R Di Mari, P Santucci de Magistris Journal of Business & Economic Statistics, 2022, 1-19, 2022 | 16 | 2022 |
Forecasting with the standardized self‐perturbed Kalman filter S Grassi, N Nonejad, P Santucci de Magistris Journal of Applied Econometrics 32 (2), 318-341, 2017 | 16 | 2017 |
On the evaluation of marginal expected shortfall M Caporin, P Santucci de Magistris Applied Economics Letters 19 (2), 175-179, 2012 | 15 | 2012 |
A non-structural investigation of VIX risk neutral density A Barletta, P Santucci de Magistris, F Violante Journal of Banking & Finance 99, 1-20, 2019 | 12 | 2019 |
Volatility tail risk under fractionality G Morelli, P Santucci de Magistris Journal of Banking & Finance 108, 105654, 2019 | 8 | 2019 |
Indirect inference with time series observed with error E Rossi, P Santucci de Magistris Journal of Applied Econometrics 33 (6), 874-897, 2018 | 8 | 2018 |
Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting BJ Christensen, N Datta Gupta, P Santucci de Magistris Journal of the Royal Statistical Society Series A 184 (1), 118-149, 2021 | 7 | 2021 |
It only takes a few moments to hedge A Barletta, P Santucci de Magistris, D Sloth Journal of Economic Dynamics and Control,, 2019 | 7 | 2019 |
Beyond the co-fractional model of Granger (1986) F Carlini, P Santucci de Magistris https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3218361, 2023 | 6* | 2023 |
Level shifts in volatility and the implied-realized volatility relation BJ Christensen, P Santucci de Magistris Available at SSRN 1692844, 2010 | 6 | 2010 |