Giacomo Toscano
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List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes Applied Stochastic Models in Business and Industry | 2024-07-29 | Paper |
| Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data Annals of Operations Research | 2024-06-04 | Paper |
| From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution Quantitative Finance | 2023-06-20 | Paper |
| Bias-optimal vol-of-vol estimation: the role of window overlapping Decisions in Economics and Finance | 2022-06-17 | Paper |
| Rate-efficient asymptotic normality for the Fourier estimator of the leverage process Statistics and Its Interface | 2022-02-02 | Paper |
| Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data Applied Mathematical Finance | 2021-06-17 | Paper |
Research outcomes over time
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