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 4 5 11 265
Asset Price Anomalies Under Bounded Rationality 0 0 0 42 2 8 15 174
Multi-jumps 0 0 0 58 1 4 13 156
Multi-jumps 0 0 0 20 3 7 11 191
Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling 0 0 0 190 2 2 7 632
Nonparametric Stochastic Volatility 0 0 1 178 5 7 20 405
Nonparametric estimation in models with Lévy type jumps and stochastic volatility 0 0 0 62 3 3 12 190
Production of a New Drug: A Sequential Investment ProcessUnder Uncertainty 0 0 0 381 5 6 9 977
Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect 0 1 1 33 3 4 6 157
Spot Volatility Estimation Using Delta Sequences 0 0 1 61 0 3 12 189
The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System 0 0 0 66 3 5 11 317
The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system 0 0 0 54 1 2 8 273
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting 0 1 2 163 6 12 38 498
Threshold bipower variation and the impact of jumps on volatility forecasting 0 0 0 18 5 6 12 103
Trading strategies in the Italian interbank market 0 0 0 28 4 6 11 125
Unbiased covariance estimation with interpolated data 0 0 1 160 4 4 14 818
Volatility Forecasting: The Jumps Do Matter 0 0 5 166 3 4 18 477
Volatility forecasting: the jumps do matter 0 1 2 192 1 7 31 591
Which Model for the Italian Interest Rates? 0 0 0 195 4 5 8 760
Total Working Papers 0 3 13 2,144 59 100 267 7,298

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 2 4 7 305
Asset Price Anomalies under Bounded Rationality 0 0 0 17 2 3 8 109
Credit risk analysis of mortgage loans: An application to the Italian market 0 1 1 51 1 3 6 172
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis 0 0 0 35 0 2 5 112
Dynamics of intraday serial correlation in the Italian futures market 0 0 0 1 5 5 10 22
Integration of international bond markets: did anything change with EMU? 0 0 0 47 5 7 12 291
Is volatility lognormal? Evidence from Italian futures 0 0 0 2 0 0 7 29
Kenneth D. Garbade (2001) Pricing Corporate Securities as Contingent Claims 0 0 0 3 0 1 3 19
NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS 0 0 0 34 2 5 14 127
Nonparametric estimation of stochastic volatility models 0 0 0 80 1 3 12 192
On measuring volatility and the GARCH forecasting performance 0 0 1 314 0 0 5 689
On measuring volatility of diffusion processes with high frequency data 0 0 0 80 2 3 8 229
Price and volatility co-jumps 0 2 5 150 2 6 23 490
Spot volatility estimation using delta sequences 0 1 1 13 2 4 10 69
Statistical properties of trading volume depending on size 0 0 0 1 3 4 12 26
Threshold bipower variation and the impact of jumps on volatility forecasting 1 1 3 116 9 19 45 413
Threshold estimation of Markov models with jumps and interest rate modeling 0 0 3 72 2 2 11 221
Time-varying leverage effects 0 0 1 59 2 2 12 266
Trading strategies in the Italian interbank market 0 0 0 8 0 0 9 53
Unexpected volatility and intraday serial correlation 0 0 0 26 0 1 9 108
Total Journal Articles 1 5 15 1,184 40 74 228 3,942

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Statistics updated 2026-05-06