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Nonparametric stochastic volatility
Bandi, Federico M.; Renò, Roberto - In: Econometric theory 34 (2018) 6, pp. 1207-1255
Persistent link: https://www.econbiz.de/10012038046
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Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
Oliva, Immacolata; Renò, Roberto - In: Journal of economic dynamics & control 94 (2018), pp. 242-256
Persistent link: https://www.econbiz.de/10012004394
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Price and volatility co-jumps
Bandi, F. M.; Renò, Roberto - In: Journal of financial economics 119 (2016) 1, pp. 107-146
Persistent link: https://www.econbiz.de/10011589735
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Smiling twice : the Heston++ model
Pacati, Claudio; Pompa, Gabriele; Renò, Roberto - In: Journal of banking & finance 96 (2018), pp. 185-206
Persistent link: https://www.econbiz.de/10011967200
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Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling
Corsi, Fulvio; Renò, Roberto - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 3, pp. 368-380
Persistent link: https://www.econbiz.de/10009657273
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Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio; Pirino, Davide; Renò, Roberto - In: Journal of econometrics 159 (2010) 2, pp. 276-288
Persistent link: https://www.econbiz.de/10008840480
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Electricity prices : a nonparametric approach
Pirino, Davide; Renò, Roberto - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 285-299
Persistent link: https://www.econbiz.de/10008860393
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ß in the tails
Bandi, Federico M.; Renò, Roberto - In: Journal of econometrics 227 (2022) 1, pp. 134-150
Persistent link: https://www.econbiz.de/10013441641