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 77 0 0 11 265
Asset Price Anomalies Under Bounded Rationality 0 0 0 42 1 2 17 176
Multi-jumps 0 0 0 20 1 1 15 195
Multi-jumps 0 0 0 58 0 2 15 158
Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling 0 0 0 190 0 1 8 633
Nonparametric Stochastic Volatility 0 0 0 178 0 0 17 406
Nonparametric estimation in models with Lévy type jumps and stochastic volatility 0 0 0 62 0 0 12 190
Production of a New Drug: A Sequential Investment ProcessUnder Uncertainty 0 0 0 381 0 0 9 977
Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect 0 0 1 33 1 1 6 158
Spot Volatility Estimation Using Delta Sequences 0 0 0 61 1 3 13 192
The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System 0 0 0 66 1 2 15 321
The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system 0 0 0 54 0 0 8 274
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting 0 0 2 163 1 2 36 500
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 0 18 1 7 18 110
Trading strategies in the Italian interbank market 1 1 1 29 2 3 15 129
Unbiased covariance estimation with interpolated data 0 0 1 160 1 1 15 819
Volatility Forecasting: The Jumps Do Matter 1 1 5 167 2 3 23 484
Volatility forecasting: the jumps do matter 0 0 1 192 0 1 29 592
Which Model for the Italian Interest Rates? 0 0 0 195 1 1 10 762
Total Working Papers 2 2 11 2,146 13 30 292 7,341

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 1 1 8 306
Asset Price Anomalies under Bounded Rationality 0 0 0 17 0 0 7 109
Credit risk analysis of mortgage loans: An application to the Italian market 0 0 1 51 0 1 6 173
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis 0 0 0 35 1 1 6 113
Dynamics of intraday serial correlation in the Italian futures market 0 0 0 1 0 2 12 24
Integration of international bond markets: did anything change with EMU? 0 0 0 47 1 2 14 295
Is volatility lognormal? Evidence from Italian futures 0 0 0 2 0 1 9 31
Kenneth D. Garbade (2001) Pricing Corporate Securities as Contingent Claims 0 0 0 3 1 1 4 20
NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS 0 0 0 34 0 0 15 128
Nonparametric estimation of stochastic volatility models 0 0 0 80 0 1 13 193
On measuring volatility and the GARCH forecasting performance 0 0 1 314 0 2 7 691
On measuring volatility of diffusion processes with high frequency data 0 0 0 80 0 0 9 230
Price and volatility co-jumps 0 0 4 150 1 3 20 493
Spot volatility estimation using delta sequences 0 0 1 13 0 1 11 71
Statistical properties of trading volume depending on size 0 0 0 1 1 1 11 27
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 2 117 7 19 56 436
Threshold estimation of Markov models with jumps and interest rate modeling 0 0 1 72 1 1 10 223
Time-varying leverage effects 0 3 4 62 0 4 13 271
Trading strategies in the Italian interbank market 0 0 0 8 0 1 9 54
Unexpected volatility and intraday serial correlation 0 0 0 26 0 2 10 110
Total Journal Articles 0 3 14 1,188 14 44 250 3,998

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Statistics updated 2026-09-10