Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling von Corsi, Fulvio, Renò, Roberto

Volltext

Threshold bipower variation and the impact of jumps on volatility forecasting von Corsi, Fulvio, Pirino, Davide, Renò, Roberto

Volltext

Systemic co-jumps von Caporin, Massimiliano, Kolokolov, Aleksey, Renò, Roberto

Volltext

EXCESS IDLE TIME von Bandi, Federico M., Pirino, Davide, Renó, Roberto

Volltext

The drift burst hypothesis von Christensen, Kim, Oomen, Roel, Renò, Roberto

Volltext

Smiling twice: The Heston++ model von Pacati, Claudio, Pompa, Gabriele, Renò, Roberto

Volltext

β in the tails von Bandi, Federico M., Renò, Roberto

Volltext

Zeros von Bandi, Federico M., Kolokolov, Aleksey, Pirino, Davide, Renò, Roberto

Volltext

Systematic staleness von Bandi, Federico M., Pirino, Davide, Renò, Roberto

Volltext

NONPARAMETRIC STOCHASTIC VOLATILITY von Bandi, Federico M., Renò, Roberto

Volltext

Time-varying leverage effects von Bandi, Federico M., Renò, Roberto

Volltext

Efficient Multipowers von Kolokolov, Aleksey, Renò, Roberto

Volltext

NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS von Renò, Roberto

Volltext

Spot volatility estimation using delta sequences von Mancini, Cecilia, Mattiussi, Vanessa, Renò, Roberto

Volltext

Threshold estimation of Markov models with jumps and interest rate modeling von Mancini, Cecilia, Renò, Roberto

Volltext

Jumps or staleness? von Kolokolov, Aleksey, Renò, Roberto

Volltext

Intraday LeBaron effects von Bianco, Simone, Corsi, Fulvio, Renò, Roberto

Volltext

Realized drift von Laurent, Sébastien, Renò, Roberto, Shi, Shuping

Volltext

Trading strategies in the Italian interbank market von Iori, Giulia, Renò, Roberto, De Masi, Giulia, Caldarelli, Guido

Volltext

Unexpected volatility and intraday serial correlation von Bianco, Simone, Renò, Roberto

Volltext