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 1 77 1 2 3 253
Asset Price Anomalies Under Bounded Rationality 0 0 0 42 0 0 0 158
Multi-jumps 0 0 0 58 0 0 0 142
Multi-jumps 0 0 1 20 0 0 3 180
Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling 0 0 0 190 0 0 0 625
Nonparametric Stochastic Volatility 0 0 2 177 0 0 5 385
Nonparametric estimation in models with Lévy type jumps and stochastic volatility 0 0 1 62 0 0 1 178
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 1 32 0 0 1 150
Spot Volatility Estimation Using Delta Sequences 0 0 1 60 0 0 3 177
The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System 0 0 0 66 1 1 1 305
The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system 0 0 0 54 0 1 1 265
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting 0 0 0 161 0 0 2 459
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 0 18 0 1 8 91
Trading strategies in the Italian interbank market 0 0 0 28 0 0 0 114
Unbiased covariance estimation with interpolated data 0 0 1 159 0 0 1 804
Volatility Forecasting: The Jumps Do Matter 0 1 4 160 0 4 15 455
Volatility forecasting: the jumps do matter 0 0 1 190 0 0 8 560
Which Model for the Italian Interest Rates? 0 0 0 195 0 0 0 752
Total Working Papers 0 1 13 2,130 2 9 52 7,021

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 1 75 0 0 2 298
Asset Price Anomalies under Bounded Rationality 0 0 0 17 0 0 0 101
Credit risk analysis of mortgage loans: An application to the Italian market 0 0 0 50 0 1 1 166
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis 1 1 2 35 1 2 3 107
Dynamics of intraday serial correlation in the Italian futures market 0 0 0 1 0 0 1 12
Integration of international bond markets: did anything change with EMU? 0 0 1 47 2 2 7 279
Is volatility lognormal? Evidence from Italian futures 0 0 0 2 0 0 1 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 0 0 0 113
Nonparametric estimation of stochastic volatility models 0 0 0 80 0 1 2 180
On measuring volatility and the GARCH forecasting performance 0 1 2 313 0 1 3 684
On measuring volatility of diffusion processes with high frequency data 0 0 1 80 1 1 3 221
Price and volatility co-jumps 1 1 5 144 2 5 20 462
Spot volatility estimation using delta sequences 0 0 0 12 0 1 3 59
Statistical properties of trading volume depending on size 0 0 0 1 0 1 2 14
Threshold bipower variation and the impact of jumps on volatility forecasting 1 1 5 112 3 5 17 365
Threshold estimation of Markov models with jumps and interest rate modeling 0 0 0 68 0 0 3 209
Time-varying leverage effects 0 0 3 58 0 2 12 254
Trading strategies in the Italian interbank market 0 0 0 7 0 0 2 43
Unexpected volatility and intraday serial correlation 0 0 0 26 0 0 1 99
Total Journal Articles 3 4 20 1,165 9 22 83 3,704

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Statistics updated 2025-03-03