Paolo Santucci de Magistris

Luiss University of Rome

Viale Romania 32

Rome, 00197

Italy

SCHOLARLY PAPERS

16

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4,347

SSRN CITATIONS
Rank 12,906

SSRN RANKINGS

Top 12,906

in Total Papers Citations

112

CROSSREF CITATIONS

10

Scholarly Papers (16)

1.

Realized Illiquidity

Swiss Finance Institute Research Paper No. 22-90
Number of pages: 63 Posted: 22 Nov 2022 Last Revised: 29 Aug 2023
Demetrio Lacava, Angelo Ranaldo and Paolo Santucci de Magistris
University of Messina, University of Basel - Faculty of Business and Economics and Luiss University of Rome
Downloads 723 (68,073)

Abstract:

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Liquidity, Stochastic Volatility, Trading Volume, Amihud, Jumps

2.

Liquidity in the Global Currency Market

Journal of Financial Economics (forthcoming), University of St.Gallen, School of Finance Research Paper No. 2018/23.
Number of pages: 44 Posted: 22 Nov 2018 Last Revised: 03 Oct 2022
Angelo Ranaldo and Paolo Santucci de Magistris
University of Basel - Faculty of Business and Economics and Luiss University of Rome
Downloads 636 (80,113)
Citation 17

Abstract:

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Foreign Exchange, Global Market, Liquidity, Price Impact, Arbitrage.

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, Luiss University of Rome and Maastricht University - Department of Economics
Downloads 502 (107,678)
Citation 1

Abstract:

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

4.

Crypto Premium, Higher-Order Moments and Tail Risk

Number of pages: 39 Posted: 20 Jul 2021 Last Revised: 06 Sep 2022
Nicola Borri and Paolo Santucci de Magistris
LUISS University - Department of Economics and Finance and Luiss University of Rome
Downloads 480 (113,576)
Citation 1

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bitcoin, crypto premium, jumps, skewness, kurtosis

5.

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 Basel - Faculty of Business and Economics and Luiss University of Rome
Downloads 451 (122,311)
Citation 2

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

6.

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 Luiss University of Rome
Downloads 346 (165,086)
Citation 3

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Marginal Expected Shortfall, Log-Returns, Systemic Risk

7.

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 Luiss University of Rome
Downloads 247 (233,869)
Citation 2

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ARFIMA models, Kalman Filter, Missing Observations, Measurement Error, Level Shifts

8.

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 Luiss University of Rome
Downloads 203 (281,578)
Citation 4

Abstract:

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

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 Luiss University of Rome
Downloads 173 (324,923)
Citation 8

Abstract:

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volatility, jumps in volatility, realized range, HAR

10.

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 Luiss University of Rome
Downloads 164 (340,260)
Citation 2

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

11.

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 Luiss University of Rome
Downloads 117 (444,358)
Citation 3

Abstract:

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

12.

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 Luiss University of Rome
Downloads 100 (497,767)
Citation 79

Abstract:

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

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 Luiss University of Rome
Downloads 88 (540,167)
Citation 1

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

14.

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 Luiss University of Rome
Downloads 65 (641,008)

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

15.

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 Luiss University of Rome
Downloads 52 (713,051)

Abstract:

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

16.

It only takes a few moments to hedge options

Journal of Economic Dynamics and Control, Vol. 100, 2019
Posted: 14 Dec 2017 Last Revised: 10 Oct 2022
Andrea Barletta, Paolo Santucci de Magistris and David Sloth
Nordea, Luiss University of Rome and Danske Bank - Danske Markets

Abstract:

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option Greeks, hedging, risk-neutral moments, low VIX puzzle