Roberto Renò

From MaRDI portal
Person:236253

Available identifiers

zbMath Open reno.robertoWikidataQ94442829 ScholiaQ94442829MaRDI QIDQ236253

List of research outcomes





PublicationDate of PublicationType
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling2025-01-20Paper
Jumps or Staleness?2024-10-28Paper
Detecting states of distress in financial markets: the case of the Italian sovereign debt2024-10-08Paper
Systematic staleness2024-02-13Paper
\(\beta\) in the tails2022-03-16Paper
The drift burst hypothesis2022-03-16Paper
EXcess Idle Time2019-02-01Paper
Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like2018-11-16Paper
NONPARAMETRIC STOCHASTIC VOLATILITY2018-11-09Paper
Time-varying leverage effects2017-05-12Paper
Threshold bipower variation and the impact of jumps on volatility forecasting2016-08-10Paper
Threshold estimation of Markov models with jumps and interest rate modeling2016-08-10Paper
Spot volatility estimation using delta sequences2015-03-30Paper
Nonparametric estimation of stochastic volatility models2013-01-07Paper
ELECTRICITY PRICES: A NONPARAMETRIC APPROACH2010-05-27Paper
NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS2009-06-11Paper
Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution2007-02-15Paper
A CLOSER LOOK AT THE EPPS EFFECT2005-10-19Paper
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis2005-09-01Paper
Credit risk analysis of mortgage loans: An application to the Italian market2005-01-12Paper
Asset price anomalies under bounded rationality2004-08-06Paper
Is volatility lognormal? Evidence from Italian futures2003-04-23Paper
The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability2003-01-01Paper
On measuring volatility of diffusion processes with high frequency data2002-03-03Paper

Research outcomes over time

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