Paolo Santucci de Magistris
Biographic Data
| ID | 8920404 |
|---|---|
| NAME | Paolo Santucci de Magistris |
| GIVEN NAMES | Paolo Santucci |
| FAMILY NAME | de Magistris |
| SIGNATURE | DE MAGISTRIS P S |
| AFFILIATIONS | Aarhus University |
| ORCID | 0000-0002-6526-4803 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2019 |
| LATEST PUBLICATION YEAR | 2022 |
| H-INDEX | 0 |
Dynamic Discrete Mixtures for High-Frequency Prices
The tick structure of the financial markets entails discreteness of stock price changes. Based on this empirical evidence, we develop a multivariate model for discrete price changes featuring a mechanism to account for the large share of zero returns at high frequency. We assume that the observed price changes are independent conditional on the realization of two hidden Markov chains determining the dynamics and the distribution of the multivaria…
On the Identification of Fractionally Cointegrated VAR Models With the F(d) Condition
This article discusses identification problems in the fractionally cointegrated system of Johansen and Johansen and Nielsen. It is shown that several equivalent reparametrizations of the model associated with different fractional integration and cointegration parameters may exist for any choice of the lag-length when the true cointegration rank is known. The properties of these multiple nonidentified models are studied and a necessary and suffici…
No prominent works on this page.
On the Identification of Fractionally Cointegrated VAR Models With the F(d) Condition
This article discusses identification problems in the fractionally cointegrated system of Johansen and Johansen and Nielsen. It is shown that several equivalent reparametrizations of the model associated with different fractional integration and cointegration parameters may exist for any choice of the lag-length when the true cointegration rank is known. The properties of these multiple nonidentified models are studied and a necessary and suffici…
Dynamic Discrete Mixtures for High-Frequency Prices
The tick structure of the financial markets entails discreteness of stock price changes. Based on this empirical evidence, we develop a multivariate model for discrete price changes featuring a mechanism to account for the large share of zero returns at high frequency. We assume that the observed price changes are independent conditional on the realization of two hidden Markov chains determining the dynamics and the distribution of the multivaria…
Econometrics (2 works) · Mathematics (2 works) · Applied Mathematics (1 work) · Cointegration (1 work) · Combinatorics (1 work) · Complex Systems and Time Series Analysis (1 work) · Computer Science (1 work) · Economics (1 work) · Financial Risk and Volatility Modeling (1 work) · Generalization (1 work)