Paolo Santucci de Magistris
Paolo Santucci de Magistris is Associate Professor at the Department of Economics and Business Economics, Aarhus University. He is also research fellow of CREATES. He completed his PhD studies at the Department of Economics at the University of Pavia, Italy (February 2010). During his PhD programme he was visiting scholar at CREATES. After the PhD, he completed a post doctoral research period at the Department of Economics of the University of Padova (2010-2011). He has also been granted an FSE Post-Doc fellowship for two years (2011-2013), which he spent at CREATES.
His main research interests lie within the field of financial econometrics and time series analysis of long memory processes.
Catania, L., Di Mari, R. & Santucci de Magistris, P. (2022). Dynamic Discrete Mixtures for High Frequency Prices. Journal of Business and Economic Statistics, 40(2), 559-577. https://doi.org/10.1080/07350015.2020.1840994
Ranaldo, A. & de Magistris, P. S. (2022). Liquidity in the global currency market. Journal of Financial Economics, 146(3), 859-883. https://doi.org/10.1016/j.jfineco.2022.09.004
Caporin, M., Fontini, F. & Santucci de Magistris, P. (2022). The long-run relationship between the Italian day-ahead and balancing electricity prices. Energy Systems: Optimization, Modeling, Simulation, and Economic Aspects, 13(1), 111-136. https://doi.org/10.1007/s12667-020-00392-x
Christensen, B. J., Datta Gupta, N. & Santucci de Magistris, P. (2021). Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting*. Journal of the Royal Statistical Society. Series A: Statistics in Society, 184(1), 118-149. https://doi.org/10.1111/rssa.12616
Barletta, A., de Magistris, P. S. & Violante, F. (2019). A Non-Structural Investigation of VIX Risk Neutral Density. Journal of Banking & Finance, 99, 1-20. https://doi.org/10.1016/j.jbankfin.2018.11.012
Barletta, A., Santucci de Magistris, P. & Sloth, D. (2019). It only takes a few moments to hedge options. Journal of Economic Dynamics and Control, 100, 251-269. https://doi.org/10.1016/j.jedc.2018.11.008
Carlini, F. & Santucci de Magistris, P. (2019). On the identification of fractionally cointegrated VAR models with the F(d) condition. Journal of Business and Economic Statistics, 37(1), 134-146. https://doi.org/10.1080/07350015.2017.1294077
Carlini, F. & Santucci de Magistris, P. (2019). Resuscitating the co-fractional model of Granger (1986). Institut for Økonomi, Aarhus Universitet. CREATES Research Paper No. 2019-02
Caporin, M., Natvik, G. J., Ravazzolo, F. & Santucci de Magistris, P. (2019). The bank-sovereign nexus: Evidence from a non-bailout episode. Journal of Empirical Finance, 53, 181-196. https://doi.org/10.1016/j.jempfin.2019.07.001
Morelli, G. & Santucci de Magistris, P. (2019). Volatility tail risk under fractionality. Journal of Banking and Finance, 108, [105654]. https://doi.org/10.1016/j.jbankfin.2019.105654
