| Publication | Date of Publication | Type |
|---|
Bumvu estimators
Journal of Econometrics | 2026-02-24 | Paper |
Realized drift
Journal of Econometrics | 2026-02-24 | Paper |
Fifty years at the interface between financial modeling and operations research
European Journal of Operational Research | 2025-12-02 | Paper |
Taking advantage of biased proxies for forecast evaluation
Journal of Econometrics | 2025-09-12 | Paper |
The liquidity uncertainty premium puzzle
Journal of Time Series Analysis | 2025-02-19 | Paper |
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Jumps or Staleness?
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
| Detecting states of distress in financial markets: the case of the Italian sovereign debt | 2024-10-08 | Paper |
Systematic staleness
Journal of Econometrics | 2024-02-13 | Paper |
in the tails
Journal of Econometrics | 2022-03-16 | Paper |
The drift burst hypothesis
Journal of Econometrics | 2022-03-16 | Paper |
Excess idle time
Econometrica | 2019-02-01 | Paper |
Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
Journal of Economic Dynamics and Control | 2018-11-16 | Paper |
NONPARAMETRIC STOCHASTIC VOLATILITY
Econometric Theory | 2018-11-09 | Paper |
Time-varying leverage effects
Journal of Econometrics | 2017-05-12 | Paper |
Threshold bipower variation and the impact of jumps on volatility forecasting
Journal of Econometrics | 2016-08-10 | Paper |
Threshold estimation of Markov models with jumps and interest rate modeling
Journal of Econometrics | 2016-08-10 | Paper |
Spot volatility estimation using delta sequences
Finance and Stochastics | 2015-03-30 | Paper |
Nonparametric estimation of stochastic volatility models
Economics Letters | 2013-01-07 | Paper |
ELECTRICITY PRICES: A NONPARAMETRIC APPROACH
International Journal of Theoretical and Applied Finance | 2010-05-27 | Paper |
NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
Econometric Theory | 2009-06-11 | Paper |
Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution
Applied Mathematical Finance | 2007-02-15 | Paper |
A CLOSER LOOK AT THE EPPS EFFECT
International Journal of Theoretical and Applied Finance | 2005-10-19 | Paper |
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
Applied Mathematical Finance | 2005-09-01 | Paper |
Credit risk analysis of mortgage loans: An application to the Italian market
European Journal of Operational Research | 2005-01-12 | Paper |
Asset price anomalies under bounded rationality
Computational Economics | 2004-08-06 | Paper |
Is volatility lognormal? Evidence from Italian futures
Physica A | 2003-04-23 | Paper |
The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
Mathematical Finance | 2003-01-01 | Paper |
On measuring volatility of diffusion processes with high frequency data
Economics Letters | 2002-03-03 | Paper |
