← All authors Paolo Santucci de Magistris Swiss Finance Institute (per OpenAlex) · ORCID · OpenAlex
16 papers in scope · 16 published · 1 on the econ.EM arXiv · 232 citations · h-index 10 (over the papers listed here)
Papers SWITCHING REGIME INTEGER AUTOREGRESSIONS
published 2025 · Econometric Theory
Bayesian Flexible Local Projections
published 2024 · Studies in Nonlinear Dynamics and Econometrics · first circulated 2023
Climate, wind energy, and CO 2 emissions from energy production in Denmark
published 2023 · Energy Economics · 21 citations
Measuring the Impact of Clean Energy Production on CO2 Abatement in Denmark: Upper Bound Estimation and Forecasting
published 2020 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 8 citations
Dynamic Discrete Mixtures for High-Frequency Prices
published 2020 · Journal of Business and Economic Statistics · 21 citations · first circulated 2019
The bank-sovereign nexus: Evidence from a non-bailout episode
published 2019 · Journal of Empirical Finance · 4 citations · first circulated 2017
Indirect inference with time series observed with error
published 2018 · Journal of Applied Econometrics · 7 citations
Chasing volatility
published 2017 · Journal of Econometrics · 26 citations
Does the ARFIMA really shift
published 2017 · CREATES Research Papers
no link
Forecasting With the Standardized Self‐Perturbed Kalman Filter
published 2016 · Journal of Applied Econometrics · 16 citations · first circulated 2014
It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model
published 2014 · Journal of Empirical Finance · 18 citations · first circulated 2013
Volatility Jumps and Their Economic Determinants
published 2014 · Journal of Financial Econometrics · 34 citations · first circulated 2011
Estimation of Long Memory in Integrated Variance
published 2013 · Econometric Reviews · 20 citations · first circulated 2011
Long memory and tail dependence in trading volume and volatility
published 2013 · Journal of Empirical Finance · 11 citations · first circulated 2010
When long memory meets the Kalman filter: A comparative study
published 2012 · Computational Statistics & Data Analysis · 26 citations · first circulated 2011
A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges
published 2011 · Journal of Futures Markets · 20 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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