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~institution:"International Food Policy Research Institute (IFPRI)"
~institution:"School of Economics and Management, University of Aarhus"
~person:"Magistris, Paolo Santucci de"
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Fractional Cointegration
3
Identification
2
Long memory
2
realized volatility
2
ARFIMA models
1
CDS
1
Cofractional Model
1
Cofractional Models
1
Common level shifts
1
Copula Modeling
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Dynamic Model Averaging
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Dynamic Model Selection
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Forecasting
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Fractional VECM
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Fractional cointegration
1
HAR-V-J
1
Indirect inference
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Jumps in volatility
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Kalman Filter
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Lag
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Lag Selection
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Multiplicative Error Model with Jumps
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On-line Kalman Filter
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Range-based volatility estimator
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Realized Volatility
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Self-Perturbed Kalman Filter
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Simulation-based inference
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Stock Index Futures
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TVP models
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Magistris, Paolo Santucci de
Paldam, Martin
31
Podolskij, Mark
30
Meinzen-Dick, Ruth Suseela
28
Johansen, Søren
25
Svarer, Michael
25
Christoffersen, Peter
24
Nielsen, Morten Ørregaard
23
Bollerslev, Tim
22
Christiansen, Charlotte
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Teräsvirta, Timo
21
Haldrup, Niels
19
Andersen, Torben G.
18
Andersen, Torben M.
18
Pender, John
18
Rosegrant, Mark W.
17
Christensen, Bent Jesper
16
Engsted, Tom
16
Jacobs, Kris
16
Kristensen, Dennis
16
Nkonya, Ephraim
16
Place, Frank
16
Birner, Regina
15
Kruse, Robinson
15
Ringler, Claudia
15
Kock, Anders Bredahl
14
Nielsen, Helena Skyt
14
Pender, John L.
14
Gillespie, Stuart
13
Jansson, Michael
13
Kato, Edward
12
Lunde, Asger
12
Rosholm, Michael
12
Dahl, Christian M.
11
McCarthy, Nancy
11
Rahbek, Anders
11
Simonsen, Marianne
11
Smale, Melinda
11
Sørensen, Allan
11
Adato, Michelle
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International Food Policy Research Institute (IFPRI)
School of Economics and Management, University of Aarhus
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CREATES Research Papers
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RePEc
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A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility
Rossi, Eduardo
;
Magistris, Paolo Santucci de
-
School of Economics and Management, University of Aarhus
-
2009
School of Economics and
Management
Aarhus University Bartholins Allé 10, Building 1322, DK-8000 Aarhus C Denmark …
Persistent link: https://www.econbiz.de/10005037433
Saved in:
12
Long Memory and Tail dependence in Trading Volume and Volatility
Rossi, Eduardo
;
Magistris, Paolo Santucci de
-
School of Economics and Management, University of Aarhus
-
2009
School of Economics and
Management
Aarhus University Bartholins Allé 10, Building 1322, DK-8000 Aarhus C Denmark …
Persistent link: https://www.econbiz.de/10005079004
Saved in:
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