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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
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Bayesian flexible local projections
Brugnolini, Luca; Catania, Leopoldo; Hansen, Pernille; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 2, pp. 435-462
Persistent link: https://www.econbiz.de/10014632013
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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
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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
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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
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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
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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
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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
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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
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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