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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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Volatility jumps and their economic determinants
Caporin, Massimiliano; Rossi, Edward; Santucci de … - 2014
Persistent link: https://www.econbiz.de/10010394556
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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
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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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Long memory and tail dependence in trading volume and volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863172
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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
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Does the ARFIMA really shift?
Delle Monache, Davide; Grassi, Stefano; Santucci de … - 2016
Persistent link: https://www.econbiz.de/10011648629