Roberto Renò
Roberto Renò
Department of Economics
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Threshold bipower variation and the impact of jumps on volatility forecasting
F Corsi, D Pirino, R Reno
Journal of Econometrics 159 (2), 276-288, 2010
Search for νμ→ νe oscillations in the NOMAD experiment
P Astier, D Autiero, A Baldisseri, M Baldo-Ceolin, M Banner, ...
Physics Letters B 570 (1-2), 19-31, 2003
Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling
F Corsi, R Renò
Journal of Business & Economic Statistics 30 (3), 368-380, 2012
On measuring volatility and the GARCH forecasting performance
E Barucci, R Reno
Journal of International Financial Markets, Institutions and Money 12 (3 …, 2002
A closer look at the Epps effect
R Renò
International Journal of theoretical and applied finance 6 (01), 87-102, 2003
Monetary integration, markets and regulation
E Barucci, C Impenna, R Renò
Research in Banking and Finance,(4), 2003
Price and volatility co-jumps
FM Bandi, R Renò
Journal of Financial Economics 119 (1), 107-146, 2016
Time-varying leverage effects
FM Bandi, R Renò
Journal of Econometrics 169 (1), 94-113, 2012
Threshold estimation of Markov models with jumps and interest rate modeling
C Mancini, R Renò
Journal of Econometrics 160 (1), 77-92, 2011
On measuring volatility of diffusion processes with high frequency data
E Barucci, R Reno
Economics Letters 74 (3), 371-378, 2002
A more sensitive search for νμ→ ντ oscillations in NOMAD
P Astier, D Autiero, A Baldisseri, M Baldo-Ceolin, G Ballocchi, M Banner, ...
Physics Letters B 453 (1-2), 169-186, 1999
Nonparametric stochastic volatility
FM Bandi, R Renò
Econometric Theory 34 (6), 1207-1255, 2018
HAR modeling for realized volatility forecasting
F Corsi, F Audrino, R Renó
John Wiley & Sons, Inc, 2012
Nonparametric estimation of the diffusion coefficient of stochastic volatility models
R Reno
Econometric Theory, 1174-1206, 2008
Trading strategies in the Italian interbank market
G Iori, R Reno, G De Masi, G Caldarelli
Physica A: Statistical Mechanics and its Applications 376, 467-479, 2007
HAR volatility modelling with heterogeneous leverage and jumps
F Corsi, R Reno
Available at SSRN 1316953, 2009
Dynamics of intraday serial correlation in the Italian futures market
S Bianco, R Reno
Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2006
The drift burst hypothesis
K Christensen, RCA Oomen, R Renò
Available at SSRN 2842535, 2018
Spot volatility estimation using delta sequences
C Mancini, V Mattiussi, R Renò
Finance and Stochastics 19 (2), 261-293, 2015
Nonparametric estimation of stochastic volatility models
R Renò
Economics Letters 90 (3), 390-395, 2006
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