Paolo Santucci de Magistris

Luiss Guido Carli University

Via O. Tommasini 1

Rome, Roma 00100

Italy

SCHOLARLY PAPERS

4

DOWNLOADS

244

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (4)

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 84 (399,789)
Citation 2

Abstract:

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

2.

Extreme Overdispersion and Persistence in Time-Series of Counts

Number of pages: 46 Posted: 04 Sep 2020
Leopoldo Catania, Eduardo Rossi and Paolo Santucci de Magistris
Aarhus University - School of Business and Social Sciences, Department of Economics and Management and Luiss Guido Carli University
Downloads 72 (436,282)

Abstract:

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Integer number autoregressive, counts, hidden-Markov, overdispersion, high-frequency, trading volume

3.

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 57 (490,323)
Citation 2

Abstract:

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

4.

Liquidity Coverage at Risk

Number of pages: 23 Posted: 25 May 2022
Giacomo Morelli, Virginia Pugliese and Paolo Santucci de Magistris
University of Rome I, University of Rome I and Luiss Guido Carli University
Downloads 31 (617,091)

Abstract:

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Financial Regulation, Liquidity Risk