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Santucci de Magistris, Paolo
Grassi, Stefano
5
Rossi, Eduardo
5
Caporin, Massimiliano
3
Barletta, Andrea
2
Carlini, Federico
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Delle Monache, Davide
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Violante, Francesco
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Garlini, Federico
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CREATES research paper
Journal of empirical finance
4
Discussion papers / University of Kent, School of Economics
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Resuscitating the co-fractional model of Granger (1986)
Garlini, Federico
;
Santucci de Magistris, Paolo
-
2019
Persistent link: https://www.econbiz.de/10011965305
Saved in:
2
A non-structural investigation of VIX risk neutral density
Barletta, Andrea
;
Santucci de Magistris, Paolo
; …
-
2017
Persistent link: https://www.econbiz.de/10011648627
Saved in:
3
The bank-sovereign nexus : evidence from a non-bailout episode
Caporin, Massimiliano
;
Natvik, Gisle James
;
Ravazzolo, …
-
2017
Persistent link: https://www.econbiz.de/10011706155
Saved in:
4
Retrieving risk-neutral densities embedded in VIX options : a non-structural approach
Barletta, Andrea
;
Santucci de Magistris, Paolo
; …
-
2016
Persistent link: https://www.econbiz.de/10011524099
Saved in:
5
Does the ARFIMA really shift?
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2016
Persistent link: https://www.econbiz.de/10011648629
Saved in:
6
Testing for level shifts in fractionally integrated processes : a state space approach
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2015
Persistent link: https://www.econbiz.de/10011296884
Saved in:
7
Forecasting with the standardized self-perturbed kalman filter
Grassi, Stefano
;
Nonejad, Nima
;
Santucci de Magistris, Paolo
-
2014
Persistent link: https://www.econbiz.de/10010339076
Saved in:
8
Chasing volatility : a persistent multiplicative error model with jumps
Caporin, Massimiliano
;
Rossi, Eduardo
;
Santucci de …
-
2014
Persistent link: https://www.econbiz.de/10010401692
Saved in:
9
On the identification of fractionally cointegrated VAR models with the F(d) condition
Santucci de Magistris, Paolo
;
Carlini, Federico
-
2014
Persistent link: https://www.econbiz.de/10010433250
Saved in:
10
Indirect inference with time series observed with error
Rossi, Eduardo
;
Santucci de Magistris, Paolo
-
2014
Persistent link: https://www.econbiz.de/10010464716
Saved in:
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