Details about Roberto Renò

Access statistics for papers by Roberto Renò.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pre256

Working Papers

2014

1. Multi-jumps
   "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
   Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (1)

2012

2. Spot Volatility Estimation Using Delta Sequences
   Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa View citations (5)
   See also Journal Article Spot volatility estimation using delta sequences, Finance and Stochastics, Springer (2015) View citations (15) (2015)

2010

3. Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting
   LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy View citations (318)
   Also in Post-Print, HAL (2010) View citations (290)
   See also Journal Article Threshold bipower variation and the impact of jumps on volatility forecasting, Journal of Econometrics, Elsevier (2010) View citations (286) (2010)

2009

4. Nonparametric Stochastic Volatility
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (16)
5. Volatility Forecasting: The Jumps Do Matter
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (4)
   Also in Department of Economics University of Siena, Department of Economics, University of Siena (2008) View citations (17)

2008

6. Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect
   Papers, arXiv.org

2007

7. Unbiased covariance estimation with interpolated data
   Department of Economics University of Siena, Department of Economics, University of Siena View citations (1)

2006

8. Trading strategies in the Italian interbank market
   Papers, arXiv.org View citations (3)
   See also Journal Article Trading strategies in the Italian interbank market, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) View citations (35) (2007)

2005

9. Nonparametric estimation in models with Lévy type jumps and stochastic volatility
   Department of Economics University of Siena, Department of Economics, University of Siena
10. Production of a New Drug: A Sequential Investment ProcessUnder Uncertainty
    Department of Economics University of Siena, Department of Economics, University of Siena

2004

11. A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient
    Department of Economics University of Siena, Department of Economics, University of Siena
12. Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling
    Department of Economics University of Siena, Department of Economics, University of Siena

2003

13. Asset Price Anomalies Under Bounded Rationality
    CEIS Research Paper, Tor Vergata University, CEIS
    See also Journal Article Asset Price Anomalies under Bounded Rationality, Computational Economics, Springer (2004) View citations (5) (2004)
14. The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System
    CEIS Research Paper, Tor Vergata University, CEIS View citations (3)
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2003)

2002

15. Which Model for the Italian Interest Rates?
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy View citations (1)

Journal Articles

2016

1. Price and volatility co-jumps
   Journal of Financial Economics, 2016, 119, (1), 107-146 View citations (72)

2015

2. Spot volatility estimation using delta sequences
   Finance and Stochastics, 2015, 19, (2), 261-293 View citations (15)
   See also Working Paper Spot Volatility Estimation Using Delta Sequences, Working Papers - Mathematical Economics (2012) View citations (5) (2012)

2012

3. Time-varying leverage effects
   Journal of Econometrics, 2012, 169, (1), 94-113 View citations (53)

2011

4. Threshold estimation of Markov models with jumps and interest rate modeling
   Journal of Econometrics, 2011, 160, (1), 77-92 View citations (20)

2010

5. Threshold bipower variation and the impact of jumps on volatility forecasting
   Journal of Econometrics, 2010, 159, (2), 276-288 View citations (286)
   See also Working Paper Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting, LEM Papers Series (2010) View citations (318) (2010)

2009

6. Unexpected volatility and intraday serial correlation
   Quantitative Finance, 2009, 9, (4), 465-475 View citations (5)

2008

7. NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
   Econometric Theory, 2008, 24, (5), 1174-1206 View citations (19)

2007

8. Integration of international bond markets: did anything change with EMU?
   Applied Economics Letters, 2007, 14, (11), 829-832 View citations (6)
9. Trading strategies in the Italian interbank market
   Physica A: Statistical Mechanics and its Applications, 2007, 376, (C), 467-479 View citations (35)
   See also Working Paper Trading strategies in the Italian interbank market, Papers (2006) View citations (3) (2006)

2006

10. Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution
    Applied Mathematical Finance, 2006, 13, (2), 143-153 View citations (1)
11. Dynamics of intraday serial correlation in the Italian futures market
    Journal of Futures Markets, 2006, 26, (1), 61-84 View citations (12)
12. Nonparametric estimation of stochastic volatility models
    Economics Letters, 2006, 90, (3), 390-395 View citations (16)

2005

13. Credit risk analysis of mortgage loans: An application to the Italian market
    European Journal of Operational Research, 2005, 163, (1), 83-93 View citations (5)
14. Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
    Applied Mathematical Finance, 2005, 12, (2), 187-199 View citations (2)
15. Statistical properties of trading volume depending on size
    Physica A: Statistical Mechanics and its Applications, 2005, 346, (3), 518-528 View citations (1)

2004

16. Asset Price Anomalies under Bounded Rationality
    Computational Economics, 2004, 23, (3), 255-269 View citations (5)
    See also Working Paper Asset Price Anomalies Under Bounded Rationality, CEIS Research Paper (2003) (2003)

2003

17. Is volatility lognormal? Evidence from Italian futures
    Physica A: Statistical Mechanics and its Applications, 2003, 322, (C), 620-628 View citations (4)

2002

18. Kenneth D. Garbade (2001) Pricing Corporate Securities as Contingent Claims
    Economic Notes, 2002, 31, (3), 565-568
19. On measuring volatility and the GARCH forecasting performance
    Journal of International Financial Markets, Institutions and Money, 2002, 12, (3), 183-200 View citations (44)
20. On measuring volatility of diffusion processes with high frequency data
    Economics Letters, 2002, 74, (3), 371-378 View citations (24)