Roberto Renò

Available identifiers

zbMath Open reno.robertoWikidataQ94442829 ScholiaQ94442829MaRDI QIDQ236253

List of research outcomes

Publication	Date of Publication	Type
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling	2025-01-20	Paper
Jumps or Staleness?	2024-10-28	Paper
Detecting states of distress in financial markets: the case of the Italian sovereign debt	2024-10-08	Paper
Systematic staleness	2024-02-13	Paper
\(\beta\) in the tails	2022-03-16	Paper
The drift burst hypothesis	2022-03-16	Paper
EXcess Idle Time	2019-02-01	Paper
Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like	2018-11-16	Paper
NONPARAMETRIC STOCHASTIC VOLATILITY	2018-11-09	Paper
Time-varying leverage effects	2017-05-12	Paper
Threshold bipower variation and the impact of jumps on volatility forecasting	2016-08-10	Paper
Threshold estimation of Markov models with jumps and interest rate modeling	2016-08-10	Paper
Spot volatility estimation using delta sequences	2015-03-30	Paper
Nonparametric estimation of stochastic volatility models	2013-01-07	Paper
ELECTRICITY PRICES: A NONPARAMETRIC APPROACH	2010-05-27	Paper
NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS	2009-06-11	Paper
Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution	2007-02-15	Paper
A CLOSER LOOK AT THE EPPS EFFECT	2005-10-19	Paper
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis	2005-09-01	Paper
Credit risk analysis of mortgage loans: An application to the Italian market	2005-01-12	Paper
Asset price anomalies under bounded rationality	2004-08-06	Paper
Is volatility lognormal? Evidence from Italian futures	2003-04-23	Paper
The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability	2003-01-01	Paper
On measuring volatility of diffusion processes with high frequency data	2002-03-03	Paper

Research outcomes over time

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