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 4 254
Asset Price Anomalies Under Bounded Rationality 0 0 0 42 1 1 1 159
Multi-jumps 0 0 0 58 0 1 1 143
Multi-jumps 0 0 0 20 0 0 2 180
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 1 177 0 0 3 385
Nonparametric estimation in models with Lévy type jumps and stochastic volatility 0 0 0 62 0 0 0 178
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 0 32 0 1 1 151
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 2 2 306
The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system 0 0 0 54 0 0 1 265
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting 0 0 0 161 0 1 2 460
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 0 18 0 0 7 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 1 1 5 161 2 4 19 459
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 1 1 10 2,131 5 12 55 7,031

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 1 298
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 0 1 166
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis 0 1 2 35 0 1 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 0 2 6 279
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 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 0 2 180
On measuring volatility and the GARCH forecasting performance 0 0 1 313 0 0 1 684
On measuring volatility of diffusion processes with high frequency data 0 0 1 80 0 1 3 221
Price and volatility co-jumps 1 2 4 145 3 7 18 467
Spot volatility estimation using delta sequences 0 0 0 12 0 0 3 59
Statistical properties of trading volume depending on size 0 0 0 1 0 0 2 14
Threshold bipower variation and the impact of jumps on volatility forecasting 0 2 6 113 2 6 18 368
Threshold estimation of Markov models with jumps and interest rate modeling 1 1 1 69 1 1 3 210
Time-varying leverage effects 0 0 1 58 0 0 9 254
Trading strategies in the Italian interbank market 1 1 1 8 1 1 2 44
Unexpected volatility and intraday serial correlation 0 0 0 26 0 0 1 99
Total Journal Articles 3 7 19 1,169 7 19 74 3,714

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Statistics updated 2025-05-12