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Details about Roberto Renò

Homepage:http://www.dse.univr.it/?ent=persona&id=33025
Workplace:Dipartimento di Scienze Economiche (Department of Economics), Facoltà di Economia (Faculty of Economics), Università degli Studi di Verona (University of Verona), (more information at EDIRC)

Access statistics for papers by Roberto Renò.

Last updated 2018-05-28. Update your information in the RePEc Author Service.

Short-id: pre256


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Working Papers

2014

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

2012

  1. Spot Volatility Estimation Using Delta Sequences
    Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads View citations (4)
    See also Journal Article in Finance and Stochastics (2015)

2010

  1. 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 Downloads View citations (182)
    Also in Post-Print, HAL (2010) Downloads View citations (174)

    See also Journal Article in Journal of Econometrics (2010)

2009

  1. Nonparametric Stochastic Volatility
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (13)
  2. Volatility Forecasting: The Jumps Do Matter
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (3)
    Also in Department of Economics University of Siena, Department of Economics, University of Siena (2008) Downloads View citations (12)

2008

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

2007

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

2006

  1. Trading strategies in the Italian interbank market
    Working Papers, Department of Economics, City University London Downloads View citations (4)
    Also in Papers, arXiv.org (2006) Downloads View citations (2)

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)

2005

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

2004

  1. A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient
    Department of Economics University of Siena, Department of Economics, University of Siena Downloads
  2. 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 Downloads

2003

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

2002

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

Journal Articles

2016

  1. Price and volatility co-jumps
    Journal of Financial Economics, 2016, 119, (1), 107-146 Downloads View citations (36)

2015

  1. Spot volatility estimation using delta sequences
    Finance and Stochastics, 2015, 19, (2), 261-293 Downloads View citations (9)
    See also Working Paper (2012)

2012

  1. Time-varying leverage effects
    Journal of Econometrics, 2012, 169, (1), 94-113 Downloads View citations (42)

2011

  1. Threshold estimation of Markov models with jumps and interest rate modeling
    Journal of Econometrics, 2011, 160, (1), 77-92 Downloads View citations (15)

2010

  1. Threshold bipower variation and the impact of jumps on volatility forecasting
    Journal of Econometrics, 2010, 159, (2), 276-288 Downloads View citations (163)
    See also Working Paper (2010)

2009

  1. Unexpected volatility and intraday serial correlation
    Quantitative Finance, 2009, 9, (4), 465-475 Downloads View citations (3)

2008

  1. NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
    Econometric Theory, 2008, 24, (5), 1174-1206 Downloads View citations (12)

2007

  1. Integration of international bond markets: did anything change with EMU?
    Applied Economics Letters, 2007, 14, (11), 829-832 Downloads View citations (5)
  2. Trading strategies in the Italian interbank market
    Physica A: Statistical Mechanics and its Applications, 2007, 376, (C), 467-479 Downloads View citations (22)
    See also Working Paper (2006)

2006

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

2005

  1. Credit risk analysis of mortgage loans: An application to the Italian market
    European Journal of Operational Research, 2005, 163, (1), 83-93 Downloads View citations (4)
  2. Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
    Applied Mathematical Finance, 2005, 12, (2), 187-199 Downloads View citations (2)
  3. Statistical properties of trading volume depending on size
    Physica A: Statistical Mechanics and its Applications, 2005, 346, (3), 518-528 Downloads View citations (1)

2004

  1. Asset Price Anomalies under Bounded Rationality
    Computational Economics, 2004, 23, (3), 255-269 Downloads View citations (3)
    See also Working Paper (2003)

2003

  1. Is volatility lognormal? Evidence from Italian futures
    Physica A: Statistical Mechanics and its Applications, 2003, 322, (C), 620-628 Downloads View citations (2)

2002

  1. Kenneth D. Garbade (2001) Pricing Corporate Securities as Contingent Claims
    Economic Notes, 2002, 31, (3), 565-568 Downloads
  2. On measuring volatility and the GARCH forecasting performance
    Journal of International Financial Markets, Institutions and Money, 2002, 12, (3), 183-200 Downloads View citations (38)
  3. On measuring volatility of diffusion processes with high frequency data
    Economics Letters, 2002, 74, (3), 371-378 Downloads View citations (24)
 
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