Paolo Santucci de Magistris

Luiss Guido Carli University

Via O. Tommasini 1

Rome, Roma 00100

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

106

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Dynamic Discrete Mixtures for High Frequency Prices

Number of pages: 39 Posted: 01 Apr 2019
Leopoldo Catania, Roberto Di Mari and Paolo Santucci de Magistris
Aarhus University - School of Business and Social Sciences, University of Catania - Department of Economics and Quantitative Methods and Luiss Guido Carli University
Downloads 59 (388,577)

Abstract:

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Dynamic Mixtures, Skellam Distribution, Zero-Inflated Series, EM Algorithm, High Frequency Prices, Volatility

2.

Resuscitating the Co-Fractional Model of Granger

Number of pages: 45 Posted: 08 Aug 2018 Last Revised: 17 Jan 2019
Federico Carlini and Paolo Santucci de Magistris
Università della Svizzera italiana and Luiss Guido Carli University
Downloads 47 (430,255)

Abstract:

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Fractional cointegration, Granger representation theorem, Stability, Identification, Impulse Response Functions, Profile Maximum Likelihood