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When long memory meets the Kalman Filter : a comparative study
Grassi, Stefano; Santucci de Magistris, Paolo - 2011
Persistent link: https://www.econbiz.de/10009006828
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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
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Does the ARFIMA really shift?
Delle Monache, Davide; Grassi, Stefano; Santucci de … - 2016
Persistent link: https://www.econbiz.de/10011648629
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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 - 2013
Persistent link: https://www.econbiz.de/10009712566
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Forecasting with the standardized self-perturbed kalman filter
Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - 2014
Persistent link: https://www.econbiz.de/10010339076
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On the identification of fractionally cointegrated VAR models with the F(d) condition
Carlini, Federico; Santucci de Magistris, Paolo - 2013
Persistent link: https://www.econbiz.de/10010226857
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Volatility jumps and their economic determinants
Caporin, Massimiliano; Rossi, Edward; Santucci de … - 2014
Persistent link: https://www.econbiz.de/10010394556
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Chasing volatility : a persistent multiplicative error model with jumps
Caporin, Massimiliano; Rossi, Eduardo; Santucci de … - 2014
Persistent link: https://www.econbiz.de/10010401692
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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
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Estimation of long memory in integrated variance
Rossi, Eduardo; Santucci de Magistris, Paolo - 2011
Persistent link: https://www.econbiz.de/10008986693