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

15

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2,928

SSRN CITATIONS
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Top 15,337

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62

CROSSREF CITATIONS

11

Scholarly Papers (15)

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1.

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, Aarhus University - CREATES and Danske Bank - Danske Markets
Downloads 384 (107,979)

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

2.

Liquidity in the Global Foreign Exchange Market

University of St.Gallen, School of Finance Research Paper No. 2018/23
Number of pages: 39 Posted: 22 Nov 2018 Last Revised: 09 Nov 2021
Angelo Ranaldo and Paolo Santucci de Magistris
University of St. Gallen and Aarhus University - CREATES
Downloads 373 (111,492)
Citation 6

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

3.

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 346 (121,219)
Citation 2

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

4.

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, Aarhus University - CREATES and Maastricht University - Department of Economics
Downloads 344 (121,969)

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

5.

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 324 (130,155)
Citation 3

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Marginal Expected Shortfall, Log-Returns, Systemic Risk

6.

Crypto Premium, Higher-Order Moments and Tail Risk

Number of pages: 39 Posted: 20 Jul 2021 Last Revised: 17 Jun 2022
Nicola Borri and Paolo Santucci de Magistris
LUISS University - Department of Economics and Finance and Aarhus University - CREATES
Downloads 253 (167,693)
Citation 1

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bitcoin, crypto premium, jumps, skewness, kurtosis

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 Aarhus University - CREATES
Downloads 208 (201,895)
Citation 1

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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 Aarhus University - CREATES
Downloads 160 (253,670)
Citation 4

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

9.

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 148 (270,222)
Citation 2

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

10.

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 142 (279,207)
Citation 8

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volatility, jumps in volatility, realized range, HAR

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 Aarhus University - CREATES
Downloads 77 (420,314)
Citation 3

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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 Aarhus University - CREATES
Downloads 72 (436,179)
Citation 47

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

13.

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 (551,727)

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

14.

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 30 (623,201)
Citation 1

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

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 Aarhus University - CREATES
Downloads 24 (663,716)

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