Roberto Renò : Citation Profile

Are you Roberto Renò?

Università degli Studi di Verona

12

H index

13

i10 index

674

Citations

RESEARCH PRODUCTION:

20

Articles

19

Papers

RESEARCH ACTIVITY:

   14 years (2002 - 2016). See details.
   Cites by year: 48
   Journals where Roberto Renò has often published
   Relations with other researchers
   Recent citing documents: 55.    Total self citations: 16 (2.32 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pre256
   Updated: 2024-12-03    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

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

Is cited by:

GUPTA, RANGAN (21)

Zhang, Yaojie (20)

Mancino, Maria Elvira (13)

Caporin, Massimiliano (12)

Iori, Giulia (12)

Swanson, Norman (10)

Wang, Yudong (10)

Forbes, Catherine (10)

Kristensen, Dennis (9)

Asai, Manabu (9)

VORTELINOS, DIMITRIOS (8)

Cites to:

Andersen, Torben (52)

Bollerslev, Tim (47)

Shephard, Neil (27)

Diebold, Francis (26)

Tauchen, George (23)

Corsi, Fulvio (16)

Ait-Sahalia, Yacine (15)

Chen, Zhiwu (12)

Cao, Charles (12)

Rossi, Peter (10)

Drost, Feike C. (10)

Main data

Where Roberto Renò has published?

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

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
CEIS Research Paper / Tor Vergata University, CEIS2
Papers / arXiv.org2

Recent works citing Roberto Renò (2024 and 2023)

YearTitle of citing document
2024Statistical inference for rough volatility: Central limit theorems. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216.

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2023Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511.

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2024Data-Driven Fixed-Point Tuning for Truncated Realized Variations. (2023). Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B ; Han, Yuchen. In: Papers. RePEc:arx:papers:2311.00905.

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2024Crypto Inverse-Power Options and Fractional Stochastic Volatility. (2024). Xia, Weixuan ; Li, Boyi. In: Papers. RePEc:arx:papers:2403.16006.

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2024Exploring the impact of oil security attention on oil volatility: A new perspective. (2024). Liang, Chao ; Wang, LU. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:61-80.

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2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

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2023Data cloning for a threshold asymmetric stochastic volatility model. (2023). Lopes, Maria Helena ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36569.

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2024A stochastic volatility model for volatility asymmetry and propagation. (2024). Lopes, Maria Helena ; Romero, Eva ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43887.

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2024Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Xu, Yang ; Zhang, Qichao ; Huang, Jiefei ; Song, Yuping. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001019.

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2024Systemic risk monitoring model from the perspective of public information arrival. (2024). Zhu, Xingting ; Liu, Bin ; Yan, Han ; Wu, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664.

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2023? in the tails. (2022). Reno, Roberto ; Bandi, Federico M. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:134-150.

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2023Bias reduction in spot volatility estimation from options. (2023). Zhang, Yang ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:53-81.

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2023Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications. (2023). Wang, Bin ; Kim, Jihyun ; Bu, Ruijun. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1934-1954.

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2023A GMM approach to estimate the roughness of stochastic volatility. (2023). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:745-778.

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2023Adaptive robust large volatility matrix estimation based on high-frequency financial data. (2023). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002300.

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2023Volatility measurement with pockets of extreme return persistence. (2023). Todorov, Viktor ; Li, Yingying ; Andersen, Torben G ; Zhou, BO. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407620303924.

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2023Uniform predictive inference for factor models with instrumental and idiosyncratic betas. (2023). Yang, Xiye ; Liao, Yuan ; Cheng, Mingmian. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002123.

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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023Higher-order moments and co-moments contribution to spillover analysis and portfolio risk management. (2023). Bouri, Elie ; Nekhili, Ramzi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000944.

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2023Forecasting global stock market volatilities in an uncertain world. (2023). Zhang, Ting ; Wang, Gang-Jin ; Zeng, Zhi-Jian ; Xie, Chi ; Li, Zhao-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004136.

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2023Correlation versus co-fractality: Evidence from foreign-exchange-rate variances. (2023). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000479.

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2023Jump-diffusion volatility models for variance swaps: An empirical performance analysis. (2023). Hong, YI ; Jin, Xing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001229.

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2023How do stock prices respond to the leading economic indicators? Analysis of large and small shocks. (2023). Chen, Zhonglu ; Liu, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006079.

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2023Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures. (2023). Haugom, Erik ; Hadina, Jelena ; Ewald, Christian ; Yahya, Muhammad ; Stordal, Stle ; Lien, Gudbrand. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300288x.

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2024A note on the Gumbel convergence for the Lee and Mykland jump tests. (2024). Ruas, Joo Pedro ; Vidal, Joo Pedro. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011868.

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2023Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility. (2023). Liang, Chao ; Wang, Yudong ; He, Mengxi ; Zhang, Yaojie. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1318-1332.

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2023Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data. (2023). Hao, Hong-Xia ; Lin, Jin-Guan ; Fu, Jin-Yu. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1698-1712.

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2023The impact of bank competition on contagion risk: The case of Mexico. (2023). Bátiz-Zuk, Enrique ; Lara-Sanchez, Jose Luis ; Batiz-Zuk, Enrique. In: Journal of Economics and Business. RePEc:eee:jebusi:v:127:y:2023:i:c:s0148619523000280.

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2023The jump leverage risk premium. (2023). Todorov, Viktor ; Bollerslev, Tim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001630.

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2023The volatility of natural resources implications for sustainable development: Crude oil volatility prediction based on the multivariate structural regime switching. (2023). Ma, Feng ; Tang, Yusui. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003239.

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2023Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market. (2023). Liao, Xiaosai ; Ma, Huan ; Zhang, Chuanhai. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x23000161.

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2023Does climate policy uncertainty affect Chinese stock market volatility?. (2023). Weng, Chen ; Zhang, LI ; Chen, Zhonglu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:369-381.

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2024Crude oil volatility index forecasting: New evidence based on positive and negative jumps from Chinese stock market. (2024). Wang, LU ; Jiang, Gongyue ; Ma, Xuekun ; Qiao, Gaoxiu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:415-437.

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2024Dynamic spillover and connectedness in higher moments of European stock sector markets. (2024). Vo, Xuan Vinh ; Mensi, Walid ; Nekhili, Ramzi ; Kang, Sang Hoon. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923002908.

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2023Drift burst test statistic in the presence of infinite variation jumps. (2023). Mancini, Cecilia. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:163:y:2023:i:c:p:535-591.

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2023Shot-noise cojumps: exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111537.

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2023Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2023.

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2023High-frequency realized stochastic volatility model. (2023). Nakajima, Jouchi ; Watanabe, Toshiaki. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-127.

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2023Co-jumps and recursive preferences in portfolio choices. (2023). Stefani, Ilaria ; Oliva, Immacolata. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-023-00425-2.

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2023Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets. (2023). Kang, Sang Hoon ; Pham, Linh ; Ko, Hee-Un ; Hanif, Waqas. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00474-6.

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2023Impact of futures’ trader types on stock market quality: evidence from Taiwan. (2023). Lai, Ya-Wen. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-022-09612-9.

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2023The effect of intraday periodicity on realized volatility measures. (2023). Kellermann, Janosch ; Golosnoy, Vasyl ; Dette, Holger. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:3:d:10.1007_s00184-022-00875-0.

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2023Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia. (2023). Khan, Muhammad Zeb ; Ahmed, Shakeel ; Maqsood, Huma ; Zada, Hassan. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00417-w.

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2023Shot-noise cojumps: Exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: Journal of the Operational Research Society. RePEc:taf:tjorxx:v:74:y:2023:i:3:p:647-665.

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2023Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions. (2023). Huang, Chuangxia ; Yang, Xiaoguang ; Liu, Hong ; Chen, Shan. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1201-1213.

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2023.

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2023A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information. (2023). Li, Ziyang ; Chevallier, Julien ; M. I. M. Wahab, ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:60-75.

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2023Impact of crude oil volatility jumps on sustainable investments: Evidence from India. (2023). Uddin, Gazi Salah ; Park, Donghyun ; Ghosh, Sajal ; Kanjilal, Kakali ; Dutta, Anupam. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1450-1468.

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Works by Roberto Renò:

YearTitleTypeCited
2008Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect In: Papers.
[Full Text][Citation analysis]		paper0
2006Trading strategies in the Italian interbank market In: Papers.
[Full Text][Citation analysis]		paper38
2007Trading strategies in the Italian interbank market.(2007) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		article
2003The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper2
2003The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System.(2003) In: CEIS Research Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2002Kenneth D. Garbade (2001) Pricing Corporate Securities as Contingent Claims In: Economic Notes.
[Full Text][Citation analysis]		article0
2008NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article16
2002On measuring volatility of diffusion processes with high frequency data In: Economics Letters.
[Full Text][Citation analysis]		article19
2006Nonparametric estimation of stochastic volatility models In: Economics Letters.
[Full Text][Citation analysis]		article13
2010Threshold bipower variation and the impact of jumps on volatility forecasting In: Journal of Econometrics.
[Full Text][Citation analysis]		article317
2010Threshold bipower variation and the impact of jumps on volatility forecasting.(2010) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 317		paper
2010Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting.(2010) In: LEM Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 317		paper
2011Threshold estimation of Markov models with jumps and interest rate modeling In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
2012Time-varying leverage effects In: Journal of Econometrics.
[Full Text][Citation analysis]		article52
2005Credit risk analysis of mortgage loans: An application to the Italian market In: European Journal of Operational Research.
[Full Text][Citation analysis]		article5
2002On measuring volatility and the GARCH forecasting performance In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article40
2016Price and volatility co-jumps In: Journal of Financial Economics.
[Full Text][Citation analysis]		article69
2003Is volatility lognormal? Evidence from Italian futures In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article3
2005Statistical properties of trading volume depending on size In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article1
2012Spot Volatility Estimation Using Delta Sequences In: Working Papers - Mathematical Economics.
[Full Text][Citation analysis]		paper20
2015Spot volatility estimation using delta sequences.(2015) In: Finance and Stochastics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		article
2009Nonparametric Stochastic Volatility In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]		paper13
2009Volatility Forecasting: The Jumps Do Matter In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]		paper18
2008Volatility forecasting: the jumps do matter.(2008) In: Department of Economics University of Siena.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		paper
2004Asset Price Anomalies under Bounded Rationality In: Computational Economics.
[Full Text][Citation analysis]		article5
2003Asset Price Anomalies Under Bounded Rationality.(2003) In: CEIS Research Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2014Multi-jumps In: Marco Fanno Working Papers.
[Full Text][Citation analysis]		paper1
2014Multi-jumps.(2014) In: MPRA Paper.
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This paper has nother version. Agregated cites: 1		paper
2002Which Model for the Italian Interest Rates? In: LEM Papers Series.
[Full Text][Citation analysis]		paper0
2007Integration of international bond markets: did anything change with EMU? In: Applied Economics Letters.
[Full Text][Citation analysis]		article6
2005Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article2
2006Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article1
2009Unexpected volatility and intraday serial correlation In: Quantitative Finance.
[Full Text][Citation analysis]		article5
2004Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling In: Department of Economics University of Siena.
[Full Text][Citation analysis]		paper0
2004A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient In: Department of Economics University of Siena.
[Full Text][Citation analysis]		paper0
2005Nonparametric estimation in models with Lévy type jumps and stochastic volatility In: Department of Economics University of Siena.
[Full Text][Citation analysis]		paper0
2005Production of a New Drug: A Sequential Investment ProcessUnder Uncertainty In: Department of Economics University of Siena.
[Full Text][Citation analysis]		paper0
2007Unbiased covariance estimation with interpolated data In: Department of Economics University of Siena.
[Full Text][Citation analysis]		paper1
2006Dynamics of intraday serial correlation in the Italian futures market In: Journal of Futures Markets.
[Full Text][Citation analysis]		article12

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