Access Statistics for Roberto Renò

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient 0 0 0 77 1 2 5 256
Asset Price Anomalies Under Bounded Rationality 0 0 0 42 0 0 1 159
Multi-jumps 0 0 0 58 1 1 2 144
Multi-jumps 0 0 0 20 1 1 1 181
Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling 0 0 0 190 1 1 1 626
Nonparametric Stochastic Volatility 0 1 1 178 0 2 4 389
Nonparametric estimation in models with Lévy type jumps and stochastic volatility 0 0 0 62 2 2 2 180
Production of a New Drug: A Sequential Investment ProcessUnder Uncertainty 0 0 0 381 0 0 0 968
Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect 0 0 0 32 1 2 3 153
Spot Volatility Estimation Using Delta Sequences 0 0 1 61 2 2 4 181
The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System 0 0 0 66 1 1 3 307
The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system 0 0 0 54 1 1 3 267
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting 0 0 0 161 12 14 17 476
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 0 18 0 1 3 92
Trading strategies in the Italian interbank market 0 0 0 28 0 0 0 114
Unbiased covariance estimation with interpolated data 0 0 0 159 1 2 2 806
Volatility Forecasting: The Jumps Do Matter 1 2 5 164 4 6 16 467
Volatility forecasting: the jumps do matter 0 0 1 191 1 2 6 565
Which Model for the Italian Interest Rates? 0 0 0 195 0 0 0 752
Total Working Papers 1 3 8 2,137 29 40 73 7,083

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution 0 0 0 75 0 0 0 298
Asset Price Anomalies under Bounded Rationality 0 0 0 17 0 0 1 102
Credit risk analysis of mortgage loans: An application to the Italian market 0 0 0 50 1 1 3 168
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis 0 0 1 35 0 0 2 107
Dynamics of intraday serial correlation in the Italian futures market 0 0 0 1 0 0 0 12
Integration of international bond markets: did anything change with EMU? 0 0 1 47 1 1 6 282
Is volatility lognormal? Evidence from Italian futures 0 0 0 2 0 0 0 22
Kenneth D. Garbade (2001) Pricing Corporate Securities as Contingent Claims 0 0 0 3 0 0 0 16
NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS 0 0 0 34 2 3 3 116
Nonparametric estimation of stochastic volatility models 0 0 0 80 2 2 3 182
On measuring volatility and the GARCH forecasting performance 0 0 1 313 0 1 2 685
On measuring volatility of diffusion processes with high frequency data 0 0 0 80 0 1 2 222
Price and volatility co-jumps 1 1 4 147 2 4 19 475
Spot volatility estimation using delta sequences 0 0 0 12 1 1 3 61
Statistical properties of trading volume depending on size 0 0 0 1 0 1 3 16
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 4 115 5 9 26 386
Threshold estimation of Markov models with jumps and interest rate modeling 1 1 4 72 2 3 6 215
Time-varying leverage effects 0 0 0 58 0 1 8 259
Trading strategies in the Italian interbank market 0 0 1 8 1 2 3 46
Unexpected volatility and intraday serial correlation 0 0 0 26 2 2 3 102
Total Journal Articles 2 2 16 1,176 19 32 93 3,772

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Statistics updated 2025-11-08