Giacomo Toscano

Available identifiers

zbMath Open toscano.giacomoMaRDI QIDQ2073566

List of research outcomes

Publication	Date of Publication	Type
The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes	2024-07-29	Paper
Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data	2024-06-04	Paper
From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution	2023-06-20	Paper
Bias-optimal vol-of-vol estimation: the role of window overlapping	2022-06-17	Paper
Rate-efficient asymptotic normality for the Fourier estimator of the leverage process	2022-02-02	Paper
Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data	2021-06-17	Paper

Research outcomes over time

This page was built for person: Giacomo Toscano