Roberto Renò : Citation Profile


Are you Roberto Renò?

Università degli Studi di Verona

8

H index

8

i10 index

337

Citations

RESEARCH PRODUCTION:

20

Articles

20

Papers

RESEARCH ACTIVITY:

   14 years (2002 - 2016). See details.
   Cites by year: 24
   Journals where Roberto Renò has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 15 (4.26 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pre256
   Updated: 2019-04-20    RAS profile: 2018-05-28    
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Relations with other researchers


Works with:

Caporin, Massimiliano (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Roberto Renò.

Is cited by:

Caporin, Massimiliano (10)

Iori, Giulia (9)

Barndorff-Nielsen, Ole (8)

Swanson, Norman (8)

Shephard, Neil (8)

Nielsen, Morten (7)

McAleer, Michael (6)

Mancino, Maria Elvira (6)

Bollerslev, Tim (6)

Corsi, Fulvio (6)

GUPTA, RANGAN (6)

Cites to:

Andersen, Torben (41)

Bollerslev, Tim (38)

Diebold, Francis (23)

Shephard, Neil (22)

Barndorff-Nielsen, Ole (21)

Tauchen, George (20)

Corsi, Fulvio (13)

Chapman, David (13)

Chen, Zhiwu (12)

Cao, Charles (12)

Ait-Sahalia, Yacine (12)

Main data


Where Roberto Renò has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications3
Journal of Econometrics3
Economics Letters2
Applied Mathematical Finance2

Working Papers Series with more than one paper published# docs
LEM Papers Series / Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy2
Papers / arXiv.org2
CEIS Research Paper / Tor Vergata University, CEIS2

Recent works citing Roberto Renò (2018 and 2017)


YearTitle of citing document
2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2017Optimum thresholding using mean and conditional mean square error. (2017). , ; Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339.

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2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2017Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2019A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894.

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2018Using Deep Learning for price prediction by exploiting stationary limit order book features. (2018). Tsantekidis, Avraam ; Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Tefas, Anastasios ; Passalis, Nikolaos. In: Papers. RePEc:arx:papers:1810.09965.

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2018Option market (in)efficiency and implied volatility dynamics after return jumps. (2018). Kanniainen, Juho ; Magris, Martin. In: Papers. RePEc:arx:papers:1810.12200.

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2018Optimal Iterative Threshold-Kernel Estimation of Jump Diffusion Processes. (2018). Jos'e E. Figueroa-L'opez, ; Nisen, Jeffrey ; Li, Cheng. In: Papers. RePEc:arx:papers:1811.07499.

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2019The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Kanniainen, Juho ; Yue, YE. In: Papers. RePEc:arx:papers:1901.02691.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2017Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Ciarreta, Aitor ; Muniainy, Peru . In: ISER Discussion Paper. RePEc:dpr:wpaper:0991.

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2017Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89.

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2018Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. (2018). Oliva, I ; Reno, R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:242-256.

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2019Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017Forecasting the oil futures price volatility: A new approach. (2017). Ma, Feng ; Chen, Wang ; Huang, Dengshi ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:560-566.

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2018Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals. (2018). Omura, Akihiro ; Todorova, Neda ; Chung, Richard ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:496-510.

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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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2018Estimation of spot volatility with superposed noisy data. (2018). Liu, Qiang ; Wang, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:62-79.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2017Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

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2017Testing for non-correlation between price and volatility jumps. (2017). Jacod, Jean ; Muller, Gernot ; Kluppelberg, Claudia. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:284-297.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017Mixed-scale jump regressions with bootstrap inference. (2017). Tauchen, George ; Li, Jia ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:417-432.

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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2018Asymptotic inference about predictive accuracy using high frequency data. (2018). Li, Jia ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:223-240.

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2018Testing for jumps and jump intensity path dependence. (2018). Corradi, Valentina ; Swanson, Norman R ; Silvapulle, Mervyn J. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:248-267.

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2019Optimum thresholding using mean and conditional mean squared error. (2019). Figueroa-Lopez, Jose E ; Mancini, Cecilia . In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:179-210.

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2018Spot volatility estimation using the Laplace transform. (2018). Mancino, Maria Elvira ; Recchioni, Maria Cristina ; Curato, Imma Valentina . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:22-43.

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2018Volatility in equity markets and monetary policy rate uncertainty. (2018). Roberts-Sklar, Matt ; Kaminska, Iryna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:68-83.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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2018Forecasting the oil futures price volatility: Large jumps and small jumps. (2018). Liu, Jing ; Zhang, Yaojie ; Yang, KE ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330.

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2018The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

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2018Estimating stochastic volatility with jumps and asymmetry in Asian markets. (2018). Saranya, K ; Prasanna, Krishna P. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:145-153.

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2018Forecasting realized volatility based on the truncated two-scales realized volatility estimator (TTSRV): Evidence from Chinas stock market. (2018). Ping, Yuan ; Li, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:222-229.

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2018Volatility jumps: The role of geopolitical risks. (2018). Gkillas, Konstantinos ; Wohar, Mark E ; Gupta, Rangan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2017Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742.

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2017Equity index variance: Evidence from flexible parametric jump–diffusion models. (2017). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:85-103.

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2018Smiling twice: The Heston++ model. (2018). Pacati, Claudio ; Reno, Roberto ; Pompa, Gabriele . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:185-206.

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2017Explaining the negative returns to volatility claims: An equilibrium approach. (2017). Eraker, Bjorn ; Wu, Yue. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:1:p:72-98.

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2017Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591.

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2017Simple agent-based dynamical system models for efficient financial markets: Theory and examples. (2017). Immonen, Eero . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:69:y:2017:i:c:p:38-53.

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2018Leverage effect, economic policy uncertainty and realized volatility with regime switching. (2018). Duan, Yinying ; Liu, Zhicao ; Zeng, Qing ; Chen, Wang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:148-154.

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2018Spectral analysis of time-dependent market-adjusted return correlation matrix. (2018). Bommarito, Michael J ; Duran, Ahmet. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:273-282.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2018Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis. (2018). Tao, Qizhi ; Zhang, Ting ; Liu, Jiapeng ; Wei, YU. In: International Review of Economics & Finance. RePEc:eee:reveco:v:54:y:2018:i:c:p:143-153.

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2017The effect of volatility persistence on excess returns. (2017). Jain, Ajeet ; Strobl, Sascha . In: Review of Financial Economics. RePEc:eee:revfin:v:32:y:2017:i:c:p:58-63.

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2018Estimating spot volatility in the presence of infinite variation jumps. (2018). Liu, Qiang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:6:p:1958-1987.

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2019The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:115614.

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2017Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2017). Neely, Christopher ; Winkelmann, Lars ; Bibinger, Markus. In: Working Papers. RePEc:fip:fedlwp:2017-012.

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2017Building News Measures from Textual Data and an Application to Volatility Forecasting. (2017). Caporin, Massimiliano ; Poli, Francesco. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:35-:d:108901.

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2019Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence. (2019). Swanson, Norman ; Cheng, Mingmian. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:13-:d:213518.

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2018Volatility Is Log-Normal—But Not for the Reason You Think. (2018). Tegner, Martin ; Poulsen, Rolf. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:46-:d:143022.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2018LARGE DEVIATIONS OF THE THRESHOLD ESTIMATOR OF INTEGRATED (CO-)VOLATILITY VECTOR IN THE PRESENCE OF JUMPS. (2018). Djellout, Hacene ; Jiang, Hui. In: Post-Print. RePEc:hal:journl:hal-01147189.

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2017Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options. (2017). Goutte, Stéphane ; Pham, Huyen ; Ismail, Amine . In: Working Papers. RePEc:hal:wpaper:hal-01212018.

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2018The Bias of Realized Volatility. (2018). Leschinski, Christian ; Becker, Janis. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-642.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Chorro, Christophe ; Guegan, Dominique. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14022r.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2017Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-14.

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2018Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-17.

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2018Approximate Bayesian forecasting. (2018). McCabe, Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-2.

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2018Testing for Co-jumps in Financial Markets. (2018). Novotn, Jan ; Urga, Giovanni. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:118-128..

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2018Cojumps and Asset Allocation in International Equity Markets. (2018). Nguyen, Duc Khuong ; M'SADDEK, Oussama ; Pukthuanthong, Kuntara ; Msaddek, Oussama ; el Hedi, Mohamed. In: MPRA Paper. RePEc:pra:mprapa:89938.

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2018Volatility Jumps: The Role of Geopolitical Risks. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201805.

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2018Oil Shocks and Volatility Jumps. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201825.

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2018Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements. (2018). GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Suleman, Tahir ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201871.

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2018Time-Varying Risk Aversion and Realized Gold Volatility. (2018). GUPTA, RANGAN ; Demirer, Riza ; Pierdzioch, Christian. In: Working Papers. RePEc:pre:wpaper:201881.

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2017Variance Risk Premia on Stocks and Bonds. (2017). Sabtchevsky, Petar ; Mueller, Philippe ; Vedolin, Andrea ; Whelan, Paul. In: 2017 Meeting Papers. RePEc:red:sed017:1161.

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2017Forecast comparison of volatility models on Russian stock market. (2017). Aganin, Artem. In: Applied Econometrics. RePEc:ris:apltrx:0331.

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2018Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility. (2011). Yu, Jun ; Fulop, Andras ; Li, Junye . In: Working Papers. RePEc:skb:wpaper:cofie-10-2011.

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2018S&P500 volatility analysis using high-frequency multipower variation volatility proxies. (2018). chin, wencheong ; Lee, Min Cherng. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1345-z.

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2018Forecasting the volatility of crude oil futures using high-frequency data: further evidence. (2018). Ma, Feng ; He, Feng ; Chen, Wang ; Wei, YU. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1294-6.

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2017Value at risk forecasting for volatility index. (2017). Park, Seul-Ki ; Shin, Dong Wan ; Choi, Ji-Eun. In: Applied Economics Letters. RePEc:taf:apeclt:v:24:y:2017:i:21:p:1613-1620.

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2017Forecasting REIT volatility with high-frequency data: a comparison of alternative methods. (2017). Zhou, Jian. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:26:p:2590-2605.

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2017Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency. (2017). Kalnina, Ilze ; Xiu, Dacheng. In: Journal of the American Statistical Association. RePEc:taf:jnlasa:v:112:y:2017:i:517:p:384-396.

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2017Estimation of the Continuous and Discontinuous Leverage Effects. (2017). Fan, Jianqing ; Ait-Sahalia, Yacine ; Yang, Xiye ; Wang, Christina Dan. In: Journal of the American Statistical Association. RePEc:taf:jnlasa:v:112:y:2017:i:520:p:1744-1758.

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2019Forecasting the Realized Variance in the Presence of Intraday Periodicity. (2019). DUMITRU, ANA-MARIA ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: EconStor Preprints. RePEc:zbw:esprep:193631.

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Works by Roberto Renò:


YearTitleTypeCited
2008Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect In: Papers.
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2006Trading strategies in the Italian interbank market In: Papers.
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2006Trading strategies in the Italian interbank market.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 23
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2007Trading strategies in the Italian interbank market.(2007) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 23
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2003The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system In: Temi di discussione (Economic working papers).
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2003The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System.(2003) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 0
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2002Kenneth D. Garbade (2001) Pricing Corporate Securities as Contingent Claims In: Economic Notes.
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article0
2008NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS In: Econometric Theory.
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article8
2002On measuring volatility of diffusion processes with high frequency data In: Economics Letters.
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article19
2006Nonparametric estimation of stochastic volatility models In: Economics Letters.
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article7
2010Threshold bipower variation and the impact of jumps on volatility forecasting In: Journal of Econometrics.
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article128
2010Threshold bipower variation and the impact of jumps on volatility forecasting.(2010) In: Post-Print.
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2010Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting.(2010) In: LEM Papers Series.
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2011Threshold estimation of Markov models with jumps and interest rate modeling In: Journal of Econometrics.
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2012Time-varying leverage effects In: Journal of Econometrics.
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article28
2005Credit risk analysis of mortgage loans: An application to the Italian market In: European Journal of Operational Research.
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article3
2002On measuring volatility and the GARCH forecasting performance In: Journal of International Financial Markets, Institutions and Money.
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article30
2016Price and volatility co-jumps In: Journal of Financial Economics.
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article24
2003Is volatility lognormal? Evidence from Italian futures In: Physica A: Statistical Mechanics and its Applications.
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2005Statistical properties of trading volume depending on size In: Physica A: Statistical Mechanics and its Applications.
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2015Spot volatility estimation using delta sequences.(2015) In: Finance and Stochastics.
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2009Nonparametric Stochastic Volatility In: Global COE Hi-Stat Discussion Paper Series.
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2009Volatility Forecasting: The Jumps Do Matter In: Global COE Hi-Stat Discussion Paper Series.
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2008Volatility forecasting: the jumps do matter.(2008) In: Department of Economics University of Siena.
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2004Asset Price Anomalies under Bounded Rationality In: Computational Economics.
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2003Asset Price Anomalies Under Bounded Rationality.(2003) In: CEIS Research Paper.
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2014Multi-jumps In: Marco Fanno Working Papers.
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2002Which Model for the Italian Interest Rates? In: LEM Papers Series.
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2007Integration of international bond markets: did anything change with EMU? In: Applied Economics Letters.
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2005Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis In: Applied Mathematical Finance.
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2006Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution In: Applied Mathematical Finance.
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2009Unexpected volatility and intraday serial correlation In: Quantitative Finance.
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2004Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling In: Department of Economics University of Siena.
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2004A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient In: Department of Economics University of Siena.
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2005Nonparametric estimation in models with Lévy type jumps and stochastic volatility In: Department of Economics University of Siena.
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2005Production of a New Drug: A Sequential Investment ProcessUnder Uncertainty In: Department of Economics University of Siena.
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2007Unbiased covariance estimation with interpolated data In: Department of Economics University of Siena.
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2006Dynamics of intraday serial correlation in the Italian futures market In: Journal of Futures Markets.
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