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It's all about volatility of volatility : evidence from a two-factor stochastic volatility model

Grassi, Stefano; Santucci de Magistris, Paolo - In: Journal of empirical finance 30 (2015), pp. 62-78

Persistent link: https://www.econbiz.de/10011489216

Forecasting with the standardized self-perturbed Kalman filter

Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - In: Journal of applied econometrics 32 (2017) 2, pp. 318-341

Persistent link: https://www.econbiz.de/10011689787

It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model

Grassi, Stefano; Santucci de Magistris, Paolo - In: Journal of Empirical Finance 30 (2015) C, pp. 62-78

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as an auxiliary model a time-varying generalization of the HAR...

Persistent link: https://www.econbiz.de/10011208487

Dynamic discrete mixtures for high-frequency prices

Catania, Leopoldo; Di Mari, Roberto; Santucci de … - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 559-577

Persistent link: https://www.econbiz.de/10013533453

Volatility jumps and their economic determinants

Caporin, Massimiliano; Rossi, Eduardo; Santucci de … - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 29-80

Persistent link: https://www.econbiz.de/10011588534

Chasing volatility : a persistent multiplicative error model with jumps

Caporin, Massimiliano; Rossi, Eduardo; Santucci de … - In: Journal of econometrics 198 (2017) 1, pp. 122-145

Persistent link: https://www.econbiz.de/10011818372

The bank-sovereign nexus : evidence from a non-bailout episode

Caporin, Massimiliano; Natvik, Gisle James; Ravazzolo, … - In: Journal of empirical finance 53 (2019), pp. 181-196

Persistent link: https://www.econbiz.de/10012171688

It only takes a few moments to hedge options

Barletta, Andrea; Santucci de Magistris, Paolo; Sloth, David - In: Journal of economic dynamics & control 100 (2019), pp. 251-269

Persistent link: https://www.econbiz.de/10012130971

On the identification of fractionally cointegrated VAR models with the F(d) condition

Carlini, Federico; Santucci de Magistris, Paolo - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 134-146

Persistent link: https://www.econbiz.de/10012176555

A non-structural investigation of VIX risk neutral density

Barletta, Andrea; Santucci de Magistris, Paolo; … - In: Journal of banking & finance 99 (2019), pp. 1-20

Persistent link: https://www.econbiz.de/10012162287