Roberto Renò : Citation Profile

Università degli Studi di Verona

12

H index

13

i10 index

719

Citations

RESEARCH PRODUCTION:

20

Articles

19

Papers

RESEARCH ACTIVITY:

   14 years (2002 - 2016). See details.
   Cites by year: 51
   Journals where Roberto Renò has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 15 (2.04 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pre256
   Updated: 2025-12-27    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:

Zhang, Yaojie (24)

GUPTA, RANGAN (21)

Mancino, Maria Elvira (14)

Iori, Giulia (12)

Wang, Yudong (12)

Caporin, Massimiliano (12)

Bollerslev, Tim (11)

Swanson, Norman (10)

Forbes, Catherine (10)

Asai, Manabu (9)

Kristensen, Dennis (9)

Cites to:

Andersen, Torben (51)

Bollerslev, Tim (46)

Shephard, Neil (27)

Diebold, Francis (26)

Tauchen, George (22)

Corsi, Fulvio (16)

Ait-Sahalia, Yacine (15)

Chapman, David (13)

Cao, Charles (12)

Chen, Zhiwu (12)

Drost, Feike C. (10)

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
Applied Mathematical Finance2
Economics Letters2

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

Recent works citing Roberto Renò (2025 and 2024)

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

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2024Data-driven fixed-point tuning for truncated realized variations. (2024). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2311.00905.

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2025Crypto Inverse-Power Options and Fractional Stochastic Volatility. (2024). Xia, Weixuan ; Li, Boyi. In: Papers. RePEc:arx:papers:2403.16006.

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2024A nonparametric test for rough volatility. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2407.10659.

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2025Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone. In: Papers. RePEc:arx:papers:2501.17490.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025On Bitcoin Price Prediction. (2025). Bournassenko, Gr'Egory. In: Papers. RePEc:arx:papers:2504.18982.

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2025An Efficient Multi-scale Leverage Effect Estimator under Dependent Microstructure Noise. (2025). Xiong, Ziyang ; Chen, Zhao ; Wang, Christina Dan. In: Papers. RePEc:arx:papers:2505.08654.

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2025Jump detection in financial asset prices that exhibit U-shape volatility. (2025). Mancini, Cecilia. In: Papers. RePEc:arx:papers:2508.18876.

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2025On the estimation of leverage effect and volatility of volatility in the presence of jumps. (2025). Liu, Qiang ; Zhou, Wang. In: Papers. RePEc:arx:papers:2511.00944.

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2024COVID‐19, Mobility Restriction Policies and Stock Market Volatility: A Cross‐Country Empirical Study. (2024). Vespignani, Joaquin ; Ahadzie, Richard Mawulawoe ; Kangogo, Moses ; Khan, Faisal ; Daugaard, Dan. In: Economic Papers. RePEc:bla:econpa:v:43:y:2024:i:2:p:184-203.

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

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2024Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets. (2024). Qiu, Jiawei ; Zhu, Min ; Song, Yuping. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:558-583.

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2024Testing for jumps with robust spot volatility estimators. (2024). Sun, Yucheng. In: Statistica Neerlandica. RePEc:bla:stanee:v:78:y:2024:i:1:p:79-104.

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2025Heterogeneity, Jumps and Co-Movements in Transmission of Volatility Spillovers Among Cryptocurrencies. (2025). Maria, Tantoula ; Manolis, Tzagarakis ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:29:y:2025:i:5:p:621-649:n:1002.

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

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2025Bitcoin price volatility: Effects of retail traders, illegal users, and sentiment. (2025). Li, Jingrui ; John, Kose. In: Journal of Corporate Finance. RePEc:eee:corfin:v:94:y:2025:i:c:s0929119925001051.

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2024Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Song, Yuping ; Xu, Yang ; Zhang, Qichao ; Huang, Jiefei. 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). Wu, Yan ; Zhu, Xingting ; Yan, Han ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664.

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2025Forecasting volatility of China’s crude oil futures based on hybrid ML-HAR-RV models. (2025). Zhu, Tingting ; Ma, Xiaoqing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000683.

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2025Conditional spectral methods. (2025). Bandi, Federico M ; Su, Yinan. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002082.

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2025Identifying the volatility risk price through the leverage effect. (2025). Renault, Eric ; Sangrey, Paul ; Cheng, XU. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400294x.

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2025Cross-sectional dependence in idiosyncratic volatility. (2025). Kalnina, Ilze ; Tewou, Kokouvi. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000570.

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2025Realized candlestick wicks. (2025). Nolte, Ingmar ; Li, Yifan ; Yu, Shifan. In: Journal of Econometrics. RePEc:eee:econom:v:250:y:2025:i:c:s0304407625000685.

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2025Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21.

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2024High-frequency realized stochastic volatility model. (2024). Watanabe, Toshiaki ; Nakajima, Jouchi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000938.

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2024Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model. (2024). Xu, Zijian ; Li, Pan ; Cao, Jiawei ; Wu, Hanlin. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002962.

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2024Can the sentiment of the official media predict the return volatility of the Chinese crude oil futures?. (2024). Gan, Shiqi ; Xu, Zhiwei ; Xiong, Yujie ; Hua, Xia. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006753.

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2024Dynamic connectedness in the higher moments between clean energy and oil prices. (2024). Pham, Linh ; Hao, Wei. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006959.

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2025Model specification for volatility forecasting benchmark. (2025). Zhang, Yaojie ; He, Mengxi ; Wen, Danyan ; Wang, Yudong. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007828.

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

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2024Benefit volatility-targeting strategies in lifetime pension pools. (2024). Begin, Jean-Franois ; Sanders, Barbara. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:72-94.

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2025Forecasting the realized variance in the presence of intraday periodicity. (2025). Hizmeri, Rodrigo ; Izzeldin, Marwan ; Maria, Ana. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002565.

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2025Warp speed price moves: Jumps after earnings announcements. (2025). Veliyev, Bezirgen ; Timmermann, Allan ; Christensen, Kim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000182.

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2024Crude oil volatility index forecasting: New evidence based on positive and negative jumps from Chinese stock market. (2024). Ma, Xuekun ; Wang, LU ; Jiang, Gongyue ; 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). NEKHILI, Ramzi ; Vo, Xuan Vinh ; Mensi, Walid ; Kang, Sang Hoon. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923002908.

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2025Fed-Driven Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2025). Yang, Xiye ; Neely, Christopher ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2024Science or scientism? On the momentum illusion. (2024). Grobys, Klaus. In: Annals of Finance. RePEc:kap:annfin:v:20:y:2024:i:4:d:10.1007_s10436-024-00446-5.

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2024Comparative Analysis of Root Finding Algorithms for Implied Volatility Estimation of Ethereum Options. (2024). Sapna, S ; Mohan, Biju R. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:1:d:10.1007_s10614-023-10446-8.

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2025Volatility Dynamics and Mixed Jump-GARCH Model Based Jump Detection in Financial Markets. (2025). Song, Yuping ; Zhu, Min ; Zheng, Xin. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10633-1.

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2025Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10674-6.

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2024Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process*. (2024). Urquhart, Andrew ; Clements, Michael ; Chen, Jian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:22:y:2024:i:3:p:743-772..

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2025Forecasting portfolio variance: a new decomposition approach. (2025). Zhang, Dayong ; Yu, BO ; Ji, Qiang. In: Annals of Operations Research. RePEc:spr:annopr:v:348:y:2025:i:1:d:10.1007_s10479-023-05546-5.

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2025Achieving economic sustainability: operations research for risk analysis and optimization problems in the blockchain era. (2025). Choi, Tsan-Ming. In: Annals of Operations Research. RePEc:spr:annopr:v:349:y:2025:i:2:d:10.1007_s10479-021-04394-5.

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2025Assessing the Risk of Bitcoin Futures Market: New Evidence. (2025). Dutta, Anupam. In: Annals of Data Science. RePEc:spr:aodasc:v:12:y:2025:i:2:d:10.1007_s40745-024-00517-4.

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2025Identifying the number of latent factors of stochastic volatility models. (2025). Mancino, Maria Elvira ; Allaj, Erindi ; Sanfelici, Simona. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-024-00479-5.

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2024Forecasting the equity premium using weighted regressions: Does the jump variation help?. (2024). Zhang, Yaojie ; Wang, Yudong. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:5:d:10.1007_s00181-023-02521-8.

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2024Intraday spillovers in high-order moments among main cryptocurrency markets: the role of uncertainty indexes. (2024). Kang, Sang Hoon ; Ko, Hee-Un ; Kumar, Anoop S ; Mensi, Walid. In: Eurasian Economic Review. RePEc:spr:eurase:v:14:y:2024:i:2:d:10.1007_s40822-024-00263-1.

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2024Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths. (2024). Ella-Mintsa, Eddy. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:27:y:2024:i:3:d:10.1007_s11203-024-09310-9.

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2025Non parametric estimation of the jump coefficient of a diffusion with jumps. (2025). Schmisser, Meline. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:28:y:2025:i:1:d:10.1007_s11203-025-09324-x.

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2025Observations concerning the estimation of Heston’s stochastic volatility model using HF data. (2025). Schmid, Manuel ; Rockinger, Michael ; Okhrin, Ostap. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:4:d:10.1007_s00362-025-01710-0.

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2024Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data. (2024). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen. In: Working Papers. RePEc:ucr:wpaper:202415.

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2024Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data. (2024). Fan, Jianqing ; Shin, Minseok ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202419.

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2024Dynamic Realized Minimum Variance Portfolio Models. (2024). Oh, Minseog ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202421.

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2025The implications of non‐synchronous trading in G‐7 financial markets. (2025). Kenourgios, Dimitris ; Dimitriou, Dimitrios ; Tsioutsios, Alexandros ; Simos, Theodore. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:1:p:689-709.

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2024Forecasting the volatility of crude oil futures: A time‐dependent weighted least squares with regularization constraint. (2024). Wang, Yudong ; Hao, Xianfeng ; Geng, Qianjie. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:2:p:309-325.

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2024Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?. (2024). Zhang, Yaojie ; Wang, Yudong ; Feng, Yuqing. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:567-582.

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2024Hybrid forecasting of crude oil volatility index: The cross‐market effects of stock market jumps. (2024). Wang, LU ; Jiang, Gongyue ; Qiao, Gaoxiu ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2378-2398.

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2025Forecasting Chinese Stock Market Volatility With Volatilities in Bond Markets. (2025). Zhang, Yaojie ; He, Mengxi ; Lei, Likun. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:547-555.

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2025Forecasting Realized Volatility: The Choice of Window Size. (2025). Zhang, Yaojie ; Feng, Yuqing. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:692-705.

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2024Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity. (2024). Wang, Tianyang ; Shangguan, Peng ; He, Mengying ; Qu, Hui. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:2:p:218-251.

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2025Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps. (2025). Jiang, Gongyue ; Qiao, Gaoxiu ; Liang, Chao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1717-1739.

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2025Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility. (2025). Qiao, Gaoxiu ; Cui, Wanmei ; Zhou, Yijie ; Liang, Chao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:1:p:23-46.

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2025Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?. (2025). Zhang, Xueer ; Chiu, Chienliang ; Hung, Juicheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:4:p:326-342.

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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]		article15
2010Threshold bipower variation and the impact of jumps on volatility forecasting In: Journal of Econometrics.
[Full Text][Citation analysis]		article343
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: 343		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: 343		paper
2011Threshold estimation of Markov models with jumps and interest rate modeling In: Journal of Econometrics.
[Full Text][Citation analysis]		article18
2012Time-varying leverage effects In: Journal of Econometrics.
[Full Text][Citation analysis]		article55
2005Credit risk analysis of mortgage loans: An application to the Italian market In: European Journal of Operational Research.
[Full Text][Citation analysis]		article7
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]		article77
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]		paper21
2015Spot volatility estimation using delta sequences.(2015) In: Finance and Stochastics.
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This paper has nother version. Agregated cites: 21		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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