Paolo Santucci de Magistris

Aarhus University - CREATES

Department of Economics and Business Economics

Fuglesangs Allè 4

Aarhus V, 8210

Denmark

  • Aarhus University - CREATES

SCHOLARLY PAPERS

14

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33

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11

Scholarly Papers (14)

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1.

On the Predictability of Stock Prices: A Case for High and Low Prices

Journal of Banking and Finance, Forthcoming
Number of pages: 42 Posted: 18 Jun 2011 Last Revised: 15 Jun 2013
Massimiliano Caporin, Angelo Ranaldo and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, University of St. Gallen and Aarhus University - CREATES
Downloads 312 (100,641)
Citation 1

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high and low prices, predictability of asset prices, range, fractional cointegration, exit/entry trading signals, chart/technical analysis

2.

On the Evaluation of Marginal Expected Shortfall

Number of pages: 7 Posted: 17 Oct 2010
Massimiliano Caporin and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences and Aarhus University - CREATES
Downloads 311 (100,967)
Citation 3

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Marginal Expected Shortfall, Log-Returns, Systemic Risk

3.

A Non-Structural Investigation of VIX Risk Neutral Density

Journal of Banking and Finance, Forthcoming
Number of pages: 45 Posted: 01 Apr 2017 Last Revised: 16 Nov 2018
Andrea Barletta, Paolo Santucci de Magistris and Francesco Violante
Nordea Bank, Aarhus University - CREATES and Maastricht University - Department of Economics
Downloads 291 (108,580)

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VIX options, orthogonal expansions, risk-neutral moments, volatility jumps, volatility tail-risk

4.

It Only Takes a Few Moments to Hedge

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 40 Posted: 14 Dec 2017 Last Revised: 01 Dec 2018
Andrea Barletta, Paolo Santucci de Magistris and David Sloth
Nordea Bank, Aarhus University - CREATES and Danske Bank - Danske Markets
Downloads 288 (109,762)

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option Greeks, hedging, risk-neutral moments, variance-swap

5.

When Long Memory Meets the Kalman Filter: A Comparative Study

Number of pages: 42 Posted: 22 Apr 2011 Last Revised: 19 May 2011
Stefano Grassi and Paolo Santucci de Magistris
Aarhus University - CREATES and Aarhus University - CREATES
Downloads 192 (163,965)
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ARFIMA models, Kalman Filter, Missing Observations, Measurement Error, Level Shifts

6.

Trading Volume, Illiquidity and Commonalities in FX Markets

University of St.Gallen, School of Finance Research Paper No. 2018/23
Number of pages: 50 Posted: 22 Nov 2018 Last Revised: 14 Oct 2019
Angelo Ranaldo and Paolo Santucci de Magistris
University of St. Gallen and Aarhus University - CREATES
Downloads 154 (198,886)
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FX Trading Volume, Volatility, Illiquidity, Commonalities, Arbitrage

7.

Long Memory and Tail Dependence in Trading Volume and Volatility

CREATES Research Paper No. 2009-30
Number of pages: 41 Posted: 16 Jul 2009 Last Revised: 09 Apr 2011
Eduardo Rossi and Paolo Santucci de Magistris
Department of Economics and Management and Aarhus University - CREATES
Downloads 152 (201,033)
Citation 3

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Realized Volatility, Trading Volume, Fractional Cointegration, Tail dependence, Copula Modeling

8.

A No Arbitrage Fractional Cointegration Analysis of the Range Based Volatility

CREATES Research Paper No. 2009-31
Number of pages: 36 Posted: 16 Jul 2009 Last Revised: 22 Sep 2010
Eduardo Rossi and Paolo Santucci de Magistris
Department of Economics and Management and Aarhus University - CREATES
Downloads 144 (210,257)
Citation 2

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Range-based volatility estimator, Long memory, Fractional cointegration, Fractional VECM, Stock Index Futures

9.

Conditional Jumps in Volatility and Their Economic Determinants

Number of pages: 42 Posted: 09 Sep 2011
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, Department of Economics and Management and Aarhus University - CREATES
Downloads 132 (225,348)
Citation 5

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volatility, jumps in volatility, realized range, HAR

10.

Chasing Volatility: A Persistent Multiplicative Error Model with Jumps

Number of pages: 50 Posted: 30 Aug 2014
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, Department of Economics and Management and Aarhus University - CREATES
Downloads 73 (334,107)
Citation 2

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Multiplicative Error Model with Jumps, Jumps in volatility, Realized measures, Volatility-at-Risk

11.

Level Shifts in Volatility and the Implied-Realized Volatility Relation

Number of pages: 40 Posted: 17 Oct 2010
Bent Jesper Christensen and Paolo Santucci de Magistris
Aarhus University and Aarhus University - CREATES
Downloads 68 (347,361)
Citation 27

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Common level shifts, fractional cointegration, fractional VECM, implied volatility, long memory, options, realized volatility

12.

Estimation of Long Memory in Integrated Variance

Center for Research in Econometrics Analysis of Time Series (CREATES) Working Paper No. 2011-11
Number of pages: 33 Posted: 17 Apr 2011
Eduardo Rossi and Paolo Santucci de Magistris
Department of Economics and Management and Aarhus University - CREATES
Downloads 43 (428,814)

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Realized variance, Long memory, fractional Brownian Motion, Measurement error, Whittle estimator

13.

Indirect Inference with Time Series Observed with Error

Number of pages: 54 Posted: 29 Jan 2018
Eduardo Rossi and Paolo Santucci de Magistris
Department of Economics and Management and Aarhus University - CREATES
Downloads 21 (535,773)
Citation 1

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Indirect inference, measurement error, misspecification, identification, stochastic volatility models

14.

Price Convergence within and between the Italian Electricity Day-Ahead and Dispatching Services Markets

Number of pages: 48 Posted: 11 Feb 2018
Massimiliano Caporin, Fulvio Fontini and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, University of Padova - Department of Economics and Management "Marco Fanno" and Aarhus University - CREATES
Downloads 13 (585,491)

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zonal prices, convergence between zones, convergence within zones, fractional cointegration, long-run equilibrium