Access Statistics for Roberto Renò

Author contact details at EconPapers.

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 73 3 4 5 245
Asset Price Anomalies Under Bounded Rationality 0 0 0 42 0 3 7 154
Multi-jumps 0 0 1 58 2 7 21 125
Multi-jumps 0 1 2 19 4 8 17 94
Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling 0 0 0 188 1 2 7 617
Nonparametric Stochastic Volatility 0 0 4 162 2 5 18 339
Nonparametric estimation in models with Lévy type jumps and stochastic volatility 0 0 0 59 0 1 1 173
Production of a New Drug: A Sequential Investment ProcessUnder Uncertainty 0 0 1 377 0 3 12 962
Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect 0 0 1 29 0 0 1 144
Spot Volatility Estimation Using Delta Sequences 0 1 2 52 0 2 8 149
The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System 0 0 0 66 0 1 2 296
The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system 0 0 0 53 0 0 5 254
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting 0 0 6 147 1 7 35 408
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 2 10 0 0 9 58
Trading strategies in the Italian interbank market 0 0 0 28 0 0 2 108
Trading strategies in the Italian interbank market 0 0 0 16 0 0 6 72
Unbiased covariance estimation with interpolated data 0 0 0 154 3 3 6 791
Volatility Forecasting: The Jumps Do Matter 0 0 4 144 1 7 30 388
Volatility forecasting: the jumps do matter 0 0 0 179 1 3 12 523
Which Model for the Italian Interest Rates? 0 1 2 195 0 2 5 747
Total Working Papers 0 3 25 2,051 18 58 209 6,647


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 74 0 0 1 295
Asset Price Anomalies under Bounded Rationality 0 0 0 15 0 1 2 97
Credit risk analysis of mortgage loans: An application to the Italian market 0 0 1 50 0 1 6 163
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis 0 2 3 30 0 3 7 97
Dynamics of intraday serial correlation in the Italian futures market 0 0 1 1 0 0 3 9
Integration of international bond markets: did anything change with EMU? 0 0 1 46 1 2 5 248
Is volatility lognormal? Evidence from Italian futures 0 0 0 2 0 1 2 20
Kenneth D. Garbade (2001) Pricing Corporate Securities as Contingent Claims 0 0 0 3 0 0 2 14
NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS 0 1 1 33 0 2 3 102
Nonparametric estimation of stochastic volatility models 0 1 1 77 0 1 1 169
On measuring volatility and the GARCH forecasting performance 1 1 3 304 2 2 11 664
On measuring volatility of diffusion processes with high frequency data 0 0 0 77 0 0 3 211
Price and volatility co-jumps 0 6 11 77 4 15 38 246
Spot volatility estimation using delta sequences 0 0 1 10 1 1 5 43
Statistical properties of trading volume depending on size 0 0 0 1 0 0 1 11
Threshold bipower variation and the impact of jumps on volatility forecasting 1 3 9 81 1 4 24 271
Threshold estimation of Markov models with jumps and interest rate modeling 2 2 2 55 2 3 6 180
Time-varying leverage effects 0 0 2 44 2 4 14 202
Trading strategies in the Italian interbank market 0 0 0 6 0 0 2 35
Unexpected volatility and intraday serial correlation 0 0 0 26 0 0 3 92
Total Journal Articles 4 16 36 1,012 13 40 139 3,169


Statistics updated 2020-11-03