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 0 2 5 256
Asset Price Anomalies Under Bounded Rationality 0 0 0 42 0 0 1 159
Multi-jumps 0 0 0 58 0 1 2 144
Multi-jumps 0 0 0 20 0 1 1 181
Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling 0 0 0 190 1 2 2 627
Nonparametric Stochastic Volatility 0 0 1 178 0 0 4 389
Nonparametric estimation in models with Lévy type jumps and stochastic volatility 0 0 0 62 0 2 2 180
Production of a New Drug: A Sequential Investment ProcessUnder Uncertainty 0 0 0 381 1 1 1 969
Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect 0 0 0 32 0 1 3 153
Spot Volatility Estimation Using Delta Sequences 0 0 1 61 1 3 5 182
The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System 0 0 0 66 1 2 4 308
The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system 0 0 0 54 2 3 5 269
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting 0 0 0 161 5 17 22 481
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 0 18 0 0 2 92
Trading strategies in the Italian interbank market 0 0 0 28 1 1 1 115
Unbiased covariance estimation with interpolated data 0 0 0 159 1 3 3 807
Volatility Forecasting: The Jumps Do Matter 0 2 5 164 0 6 16 467
Volatility forecasting: the jumps do matter 0 0 1 191 2 4 7 567
Which Model for the Italian Interest Rates? 0 0 0 195 1 1 1 753
Total Working Papers 0 2 8 2,137 16 50 87 7,099

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 1 1 2 103
Credit risk analysis of mortgage loans: An application to the Italian market 0 0 0 50 0 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 0 47 1 2 6 283
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 1 1 1 17
NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS 0 0 0 34 1 4 4 117
Nonparametric estimation of stochastic volatility models 0 0 0 80 5 7 8 187
On measuring volatility and the GARCH forecasting performance 1 1 2 314 3 4 5 688
On measuring volatility of diffusion processes with high frequency data 0 0 0 80 0 1 2 222
Price and volatility co-jumps 1 2 5 148 3 5 21 478
Spot volatility estimation using delta sequences 0 0 0 12 2 3 5 63
Statistical properties of trading volume depending on size 0 0 0 1 0 0 3 16
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 4 115 1 7 27 387
Threshold estimation of Markov models with jumps and interest rate modeling 0 1 4 72 1 3 7 216
Time-varying leverage effects 0 0 0 58 1 2 8 260
Trading strategies in the Italian interbank market 0 0 1 8 3 4 6 49
Unexpected volatility and intraday serial correlation 0 0 0 26 0 2 3 102
Total Journal Articles 2 4 17 1,178 23 47 113 3,795

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Statistics updated 2025-12-06