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~subject:"2004-2010"
~subject:"Cointegration"
~subject:"Statistical distribution"
~type_genre:"Aufsatz in Zeitschrift"
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Search: "Santucci de Magistris, Paolo"
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2004-2010
Cointegration
Statistical distribution
Volatility
8
Volatilität
8
Theorie
7
Theory
7
Estimation
5
Kointegration
5
Schätzung
5
Börsenkurs
4
Share price
4
Time series analysis
4
Zeitreihenanalyse
4
Forecasting model
3
Fractional cointegration
3
Option pricing theory
3
Option trading
3
Optionsgeschäft
3
Optionspreistheorie
3
Prognoseverfahren
3
Statistische Verteilung
3
ARCH model
2
ARCH-Modell
2
CDS
2
Credit derivative
2
Kreditderivat
2
Portfolio selection
2
Portfolio-Management
2
Risikomaß
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Risk measure
2
Risk-neutral moments
2
State space model
2
Stochastic process
2
Stochastischer Prozess
2
Volatility jumps
2
Zustandsraummodell
2
Air pollution
1
Bailout
1
Bailout expectation
1
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9
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Aufsatz in Zeitschrift
Arbeitspapier
9
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Graue Literatur
9
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9
Working Paper
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English
9
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Santucci de Magistris, Paolo
9
Caporin, Massimiliano
3
Rossi, Eduardo
3
Carlini, Federico
2
Barletta, Andrea
1
Catania, Leopoldo
1
Christensen, Bent Jesper
1
Di Mari, Roberto
1
Gupta, Nabanita Datta
1
Ranaldo, Angelo
1
Violante, Francesco
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Journal of banking & finance
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Applied economics letters
1
Energy economics
1
Journal of econometrics
1
Journal of empirical finance
1
The journal of futures markets
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ECONIS (ZBW)
9
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1
Climate, wind energy, and CO2 emissions from energy production in Denmark
Carlini, Federico
;
Christensen, Bent Jesper
;
Gupta, …
- In:
Energy economics
125
(
2023
),
pp. 1-25
Persistent link: https://www.econbiz.de/10014484367
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
Long memory and tail dependence in trading volume and volatility
Rossi, Eduardo
;
Santucci de Magistris, Paolo
- In:
Journal of empirical finance
22
(
2013
),
pp. 94-112
Persistent link: https://www.econbiz.de/10009768422
Saved in:
7
A no-arbitrage fractional cointegration model for futures and spot daily ranges
Rossi, Eduardo
;
Santucci de Magistris, Paolo
- In:
The journal of futures markets
33
(
2013
)
1
,
pp. 77-102
Persistent link: https://www.econbiz.de/10009699456
Saved in:
8
On the predictability of stock prices : a case for high and low prices
Caporin, Massimiliano
;
Ranaldo, Angelo
;
Santucci de …
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 5132-5146
Persistent link: https://www.econbiz.de/10010342761
Saved in:
9
On the evaluation of marginal expected shortfall
Caporin, Massimiliano
;
Santucci de Magistris, Paolo
- In:
Applied economics letters
19
(
2012
)
1/3
,
pp. 175-179
Persistent link: https://www.econbiz.de/10009412621
Saved in:
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