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Santucci de Magistris, Paolo
11
Rossi, Eduardo
5
Grassi, Stefano
3
Caporin, Massimiliano
2
Delle Monache, Davide
2
Barletta, Andrea
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CREATES research paper
CREATES Research Paper
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
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1
Center for Research in Econometrics Analysis of Time Series (CREATES) Working Paper
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ECONIS (ZBW)
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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:
2
Does the ARFIMA really shift?
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2016
Persistent link: https://www.econbiz.de/10011648629
Saved in:
3
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:
4
Indirect inference with time series observed with error
Rossi, Eduardo
;
Santucci de Magistris, Paolo
-
2014
Persistent link: https://www.econbiz.de/10010464716
Saved in:
5
Volatility jumps and their economic determinants
Caporin, Massimiliano
;
Rossi, Edward
;
Santucci de …
-
2014
Persistent link: https://www.econbiz.de/10010394556
Saved in:
6
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:
7
When long memory meets the Kalman Filter : a comparative study
Grassi, Stefano
;
Santucci de Magistris, Paolo
-
2011
Persistent link: https://www.econbiz.de/10009006828
Saved in:
8
Estimation of long memory in integrated variance
Rossi, Eduardo
;
Santucci de Magistris, Paolo
-
2011
Persistent link: https://www.econbiz.de/10008986693
Saved in:
9
Level shifts in volatility and the implied-realized volatility relation
Christensen, Bent Jesper
;
Santucci de Magistris, Paolo
-
2010
Persistent link: https://www.econbiz.de/10008651637
Saved in:
10
A no arbitrage fractional cointegration analysis of the range based volatility
Rossi, Eduardo
;
Santucci de Magistris, Paolo
-
2009
Persistent link: https://www.econbiz.de/10003863181
Saved in:
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