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 1 1 1 76 1 1 1 250
Asset Price Anomalies Under Bounded Rationality 0 0 0 42 0 0 0 158
Multi-jumps 0 0 0 58 0 0 3 140
Multi-jumps 0 0 0 19 10 13 62 174
Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling 0 0 1 190 0 0 4 625
Nonparametric Stochastic Volatility 2 3 5 168 4 5 13 365
Nonparametric estimation in models with Lévy type jumps and stochastic volatility 0 0 0 60 0 0 0 175
Production of a New Drug: A Sequential Investment ProcessUnder Uncertainty 0 0 1 380 0 0 1 966
Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect 0 1 1 31 0 1 2 149
Spot Volatility Estimation Using Delta Sequences 0 0 4 58 1 3 9 169
The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System 0 0 0 66 0 0 3 303
The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system 0 0 1 54 0 0 4 260
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting 0 0 3 157 0 3 18 447
Threshold bipower variation and the impact of jumps on volatility forecasting 0 2 6 16 0 4 11 74
Trading strategies in the Italian interbank market 0 0 0 28 0 0 1 113
Unbiased covariance estimation with interpolated data 0 0 0 158 0 0 1 800
Volatility Forecasting: The Jumps Do Matter 0 1 4 152 1 4 11 425
Volatility forecasting: the jumps do matter 0 1 3 186 1 2 11 543
Which Model for the Italian Interest Rates? 0 0 0 195 0 0 4 752
Total Working Papers 3 9 30 2,094 18 36 159 6,888
1 registered items for which data could not be found


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 74 0 0 0 296
Asset Price Anomalies under Bounded Rationality 0 0 0 17 0 0 1 101
Credit risk analysis of mortgage loans: An application to the Italian market 0 0 0 50 0 0 0 165
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis 0 0 2 32 0 0 2 103
Dynamics of intraday serial correlation in the Italian futures market 0 0 0 1 0 0 0 11
Integration of international bond markets: did anything change with EMU? 0 0 0 46 3 3 6 262
Is volatility lognormal? Evidence from Italian futures 0 0 0 2 0 0 0 21
Kenneth D. Garbade (2001) Pricing Corporate Securities as Contingent Claims 0 0 0 3 0 0 0 15
NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS 0 0 0 34 0 0 5 112
Nonparametric estimation of stochastic volatility models 1 1 1 78 2 2 4 175
On measuring volatility and the GARCH forecasting performance 0 0 2 308 0 0 3 677
On measuring volatility of diffusion processes with high frequency data 0 0 1 78 0 0 2 216
Price and volatility co-jumps 2 4 20 119 3 16 73 376
Spot volatility estimation using delta sequences 0 0 0 11 0 0 4 52
Statistical properties of trading volume depending on size 0 0 0 1 0 0 0 12
Threshold bipower variation and the impact of jumps on volatility forecasting 0 1 9 95 1 5 28 317
Threshold estimation of Markov models with jumps and interest rate modeling 0 0 2 60 0 1 5 194
Time-varying leverage effects 0 0 3 50 0 0 15 230
Trading strategies in the Italian interbank market 1 1 1 7 1 1 3 41
Unexpected volatility and intraday serial correlation 0 0 0 26 0 0 0 97
Total Journal Articles 4 7 41 1,092 10 28 151 3,473


Statistics updated 2022-11-05