Narrow search
Showing 1 - 10 of 18
Cover Image
Estimation of long memory in integrated variance
Rossi, Eduardo; Santucci de Magistris, Paolo - 2011
Persistent link: https://www.econbiz.de/10008986693
Cover Image
Chasing volatility : a persistent multiplicative error model with jumps
Caporin, Massimiliano; Rossi, Eduardo; Santucci de … - 2014
Persistent link: https://www.econbiz.de/10010401692
Cover Image
Indirect inference with time series observed with error
Rossi, Eduardo; Santucci de Magistris, Paolo - 2014
Persistent link: https://www.econbiz.de/10010464716
Cover Image
Long memory and tail dependence in trading volume and volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863172
Cover Image
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
Cover Image
When long memory meets the Kalman Filter : a comparative study
Grassi, Stefano; Santucci de Magistris, Paolo - 2011
Persistent link: https://www.econbiz.de/10009006828
Cover Image
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
Cover Image
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
Cover Image
Forecasting with the standardized self-perturbed kalman filter
Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - 2014
Persistent link: https://www.econbiz.de/10010339076
Cover Image
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