Research

Main Publications:

2018: Rossi, E. and Santucci de Magistris, P. Indirect Inference with Time Series Observed with Error, Forthcoming on Journal of Applied Econometrics.

2017: Carlini, F. and Santucci de Magistris, P., On the Identification of Fractionally Cointegrated VAR Models with the F(d) Condition, Journal of Business & Economic Statistics.

2017: Caporin, M., Rossi, E. and Santucci de Magistris, P., Chasing Volatility: A Persistent Multiplicative Error Model with Jumps, Journal of Econometrics, 198, p. 122-145.

2017: Grassi, S., Nonejad N. and Santucci de Magistris, P., Forecasting with the Standardized Self-Perturbed Kalman Filter, Journal of Applied Econometrics, 32, p. 318-341.

2016: Caporin, M., Rossi, E. & Santucci de Magistris, P., Volatility Jumps and Their Economic Determinants, Journal of Financial Econometrics, 14, p. 29-80.

2015: Grassi, S. and Santucci de Magistris, P., It’s all about volatility (of volatility): Evidence from a two-factor stochastic volatility model, Journal of Empirical Finance, 30-1, p. 62-78.

2014: Grassi, S. and Santucci de Magistris, P., When long memory meets the Kalman filter: A comparative study, Computational Statistics and Data Analysis, 76, 2, p. 301-319.

2014: Rossi, E. and Santucci de Magistris, P., Estimation of Long Memory in Integrated Variance, Econometric Reviews, 33, p. 785-814.

2013: Caporin M., Ranaldo A. and Santucci de Magistris, P., On the Predictability of StockPrices: a Case for High and Low Prices, Journal of Banking and Finance, 37, 12, p. 5132-5146.

2013: Rossi, E. and Santucci de Magistris, P., Long Memory and Tail dependence in Trading Volume and Volatility, Journal of Empirical Finance, Vol. 22, p. 94-112.

2013: Rossi, E. and Santucci de Magistris, P., A no-arbitrage fractional cointegration model for futures and spot daily ranges, Journal of Futures Markets, Vol. 33, No. 1, p. 77-102.

Other Publications:

2018: Barletta, A. and Santucci de Magistris, P., Analyzin the risks embedded in option prices with rndfittool, Risks ,Vol. 6(28), pages 1-15.

2013: Rossi, E. and Santucci de Magistris, P., Long memory in integrated and realized Variance, in Advances in Theoretical and Applied Statistics, Studies in Theoretical and Applied Statistics, Springer-Verlag Berlin Heidelberg, pages 521-530.

2012: Caporin, M. and Santucci de Magistris, P., On the evaluation of marginal expected shortfall, Applied Economics Letters ,Vol. 19-2, pages 175-179.