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 6 257
Asset Price Anomalies Under Bounded Rationality 0 0 0 42 1 1 2 160
Multi-jumps 0 0 0 58 2 3 4 146
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 2 4 4 629
Nonparametric Stochastic Volatility 0 0 1 178 4 4 8 393
Nonparametric estimation in models with Lévy type jumps and stochastic volatility 0 0 0 62 1 3 3 181
Production of a New Drug: A Sequential Investment ProcessUnder Uncertainty 0 0 0 381 0 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 4 6 183
The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System 0 0 0 66 0 2 4 308
The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system 0 0 0 54 1 4 5 270
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting 0 0 0 161 1 18 23 482
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 0 18 4 4 6 96
Trading strategies in the Italian interbank market 0 0 0 28 3 4 4 118
Unbiased covariance estimation with interpolated data 0 0 0 159 3 5 6 810
Volatility Forecasting: The Jumps Do Matter 0 1 5 164 0 4 16 467
Volatility forecasting: the jumps do matter 0 0 1 191 3 6 10 570
Which Model for the Italian Interest Rates? 0 0 0 195 0 1 1 753
Total Working Papers 0 1 8 2,137 27 72 113 7,126

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 2 3 4 105
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 1 1 2 108
Dynamics of intraday serial correlation in the Italian futures market 0 0 0 1 3 3 3 15
Integration of international bond markets: did anything change with EMU? 0 0 0 47 1 3 7 284
Is volatility lognormal? Evidence from Italian futures 0 0 0 2 3 3 3 25
Kenneth D. Garbade (2001) Pricing Corporate Securities as Contingent Claims 0 0 0 3 0 1 1 17
NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS 0 0 0 34 0 3 4 117
Nonparametric estimation of stochastic volatility models 0 0 0 80 0 7 8 187
On measuring volatility and the GARCH forecasting performance 0 1 2 314 0 3 5 688
On measuring volatility of diffusion processes with high frequency data 0 0 0 80 0 0 2 222
Price and volatility co-jumps 0 2 5 148 2 7 20 480
Spot volatility estimation using delta sequences 0 0 0 12 0 3 5 63
Statistical properties of trading volume depending on size 0 0 0 1 3 3 5 19
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 4 115 2 8 29 389
Threshold estimation of Markov models with jumps and interest rate modeling 0 1 4 72 2 5 9 218
Time-varying leverage effects 0 0 0 58 0 1 7 260
Trading strategies in the Italian interbank market 0 0 1 8 3 7 9 52
Unexpected volatility and intraday serial correlation 0 0 0 26 3 5 6 105
Total Journal Articles 0 4 17 1,178 25 67 132 3,820

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Statistics updated 2026-01-09