Roberto Renò

University of Verona - Department of Economics

Professor

Via dell'Artigliere, 8

37129 Verona

Italy

SCHOLARLY PAPERS

34

DOWNLOADS
Rank 3,207

SSRN RANKINGS

Top 3,207

in Total Papers Downloads

15,336

SSRN CITATIONS
Rank 6,822

SSRN RANKINGS

Top 6,822

in Total Papers Citations

136

CROSSREF CITATIONS

57

Scholarly Papers (34)

1.
Downloads 3,935 ( 3,277)

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 21 Jan 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Prokopczuk Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, affiliation not provided to SSRN, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, Vrije Universiteit Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of Sydney Business School, Université Paris Dauphine, Hong Kong Institute for Monetary and Financial Research, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, Justus Liebig University Giessen, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), Vrije Universiteit Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF), Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, Vrije Universiteit Amsterdam, Auburn University, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Vrije Universiteit Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, Leibniz University Hannover, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 3,935 (7,015)

Abstract:

Loading...

non-standard errors, multi-analyst approach, liquidity

2.

A Quantitative Approach to Faber's Tactical Asset Allocation

Number of pages: 13 Posted: 22 Sep 2009 Last Revised: 11 Jul 2012
Scuola Normale Superiore, University of Siena - Department of Economics and Statistics, University of Siena - Department of Economics and University of Verona - Department of Economics
Downloads 2,899 (5,611)
Citation 1

Abstract:

Loading...

market efficiency, portfolio selection, bootstrap

3.

The Drift Burst Hypothesis

Number of pages: 58 Posted: 24 Sep 2016 Last Revised: 08 Aug 2018
Kim Christensen, Roel C. A. Oomen and Roberto Renò
Aarhus University - CREATES, Deutsche Bank AG (London) and University of Verona - Department of Economics
Downloads 667 (51,357)
Citation 10

Abstract:

Loading...

flash crashes; gradual jumps; volatility bursts; liquidity; nonparametric statistics; microstructure noise

4.

Nonparametric Stochastic Volatility

Number of pages: 43 Posted: 12 Jul 2008 Last Revised: 19 Jul 2018
Federico M. Bandi and Roberto Renò
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 579 (61,517)
Citation 4

Abstract:

Loading...

Spot variance, stochastic volatility, jump, microstructure

5.

V-shapes

Number of pages: 48 Posted: 24 Mar 2020 Last Revised: 05 May 2021
Maria Flora and Roberto Renò
CREST, CNRS, Institut Polytechnique de Paris and University of Verona - Department of Economics
Downloads 529 (68,990)

Abstract:

Loading...

Market inefficiency, mini-flash crashes, financial fragility, price drift.

6.

High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?

SAFE Working Paper No. 270
Number of pages: 68 Posted: 24 Mar 2020 Last Revised: 08 Sep 2020
European Union - JRC-Ispra, European Commision, Aarhus University - CREATES, University of Manchester - Manchester Business School, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Verona - Department of Economics
Downloads 516 (71,138)
Citation 6

Abstract:

Loading...

flash crashes; high-frequency traders (HFTs); liquidity provision; market making

7.

Credit Risk Analysis of Mortgage Loans: An Application to the Italian Market

University of Siena, Department of Economics WP No. 331
Number of pages: 18 Posted: 14 Mar 2002
Carlo Mari and Roberto Renò
University of Siena - Department of Economics and University of Verona - Department of Economics
Downloads 479 (77,870)
Citation 2

Abstract:

Loading...

8.

Price and Volatility Co-Jumps

Number of pages: 75 Posted: 03 Mar 2012 Last Revised: 09 Feb 2014
Federico M. Bandi and Roberto Renò
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 459 (82,055)
Citation 22

Abstract:

Loading...

Stochastic volatility, jumps in prices, jumps in volatility, co-jumps, infinitesimal cross-moments, return risk premia, variance risk premia

9.

Discrete-time Volatility Forecasting with Persistent Leverage Effect and the Link with Continuous-time Volatility Modeling

Number of pages: 34 Posted: 17 Dec 2008 Last Revised: 06 Apr 2010
Fulvio Corsi and Roberto Renò
University of Pisa - Department of Economics and University of Verona - Department of Economics
Downloads 457 (82,460)
Citation 23

Abstract:

Loading...

Volatility Forecasting, High Frequency Data, Leverage Effect, Jumps, Fractional Brownian Motion, Multifactor Models

10.

Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation

Number of pages: 63 Posted: 18 Mar 2011
University of Lugano - Institute of Finance, University of Verona - Department of Economics, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Swiss Finance Institute
Downloads 421 (90,675)
Citation 5

Abstract:

Loading...

Option Pricing, Stochastic Volatility, Stochastic Leverage, Short and Long Run Volatility Risk, Matrix Affine Jump Diffusions

11.

Smiling Twice: The Heston++ Model

Number of pages: 37 Posted: 02 Dec 2015 Last Revised: 20 Jul 2018
Claudio Pacati, Gabriele Pompa and Roberto Renò
University of Siena - Department of Economics and Statistics, IMT School for Advanced Studies Lucca and University of Verona - Department of Economics
Downloads 415 (92,175)
Citation 9

Abstract:

Loading...

VIX options, VIX futures, Heston model, stochastic volatility, jump-diffusion, displacement

12.

Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting

Number of pages: 32 Posted: 02 Apr 2008 Last Revised: 06 Jul 2009
Fulvio Corsi, Davide Pirino and Roberto Renò
University of Pisa - Department of Economics, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 381 (101,801)
Citation 37

Abstract:

Loading...

volatility, forecasting, jumps, HAR

13.

Systemic Co-Jumps

SAFE Working Paper No. 149
Number of pages: 49 Posted: 15 Oct 2016
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 343 (114,843)
Citation 3

Abstract:

Loading...

Jumps, Return predictability, Systemic events, Variance Risk Premium

14.

Spot Volatility Estimation Using Delta Sequences

Number of pages: 40 Posted: 09 Jul 2009 Last Revised: 12 Jul 2012
Cecilia Mancini, Vanessa Mattiussi and Roberto Renò
University of Verona - Department of Economics, City University London - Department of Economics and University of Verona - Department of Economics
Downloads 337 (116,783)
Citation 6

Abstract:

Loading...

spot volatility, microstructure noise, jumps, delta sequences, high frequency data, Fourier estimator

15.

Arbitrary Initial Term Structure within the Cir Model: A Perturbative Solution

University of Siena Economics Working Paper No. 380
Number of pages: 15 Posted: 04 Oct 2003
Carlo Mari and Roberto Renò
University of Siena - Department of Economics and University of Verona - Department of Economics
Downloads 322 (122,645)
Citation 1

Abstract:

Loading...

Interest Rates, Arbitrary Term, Structure, Extended CIR

16.

EXcess Idle Time

Number of pages: 64 Posted: 12 Jan 2013 Last Revised: 25 Apr 2017
Federico M. Bandi, Davide Pirino and Roberto Renò
Johns Hopkins University - Carey Business School, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 320 (123,521)
Citation 10

Abstract:

Loading...

Liquidity, asymmetric information, transaction cost, liquidity premium

17.

A Closer Look at the Epps Effect

U of Siena Dept. of Economics Working Paper No. 335
Number of pages: 18 Posted: 16 Oct 2002
Roberto Renò
University of Verona - Department of Economics
Downloads 286 (139,036)
Citation 12

Abstract:

Loading...

18.

Asset Price Anomalies Under Bounded Rationality

Number of pages: 22 Posted: 06 Jun 2003
Emilio Barucci, Roberto Monte and Roberto Renò
University of Pisa - Department of Economics, University of Rome Tor Vergata - Dipartimento di Studi Economici, Finanziari e Metodi quantitativi (SEFEMEQ) and University of Verona - Department of Economics
Downloads 283 (140,596)
Citation 1

Abstract:

Loading...

Asset Prices, Returns correlation, Bounded Rationality, Dividends, Diffusion Processes

19.

Threshold Estimation of Jump-Diffusion Models and Interest Rate Modeling

Number of pages: 30 Posted: 14 Jul 2008 Last Revised: 09 Jul 2009
Cecilia Mancini and Roberto Renò
University of Verona - Department of Economics and University of Verona - Department of Economics
Downloads 278 (143,255)
Citation 9

Abstract:

Loading...

20.

Beta in the Tails

Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 12 Jun 2020
Federico M. Bandi and Roberto Renò
Johns Hopkins University and University of Verona - Department of Economics
Downloads 205 (192,441)

Abstract:

Loading...

hedge funds, diffusive risk, jump risk, beta

21.

The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System

Number of pages: 52 Posted: 23 Jun 2003
Emilio Barucci, Claudio Impenna and Roberto Renò
University of Pisa - Department of Economics, Bank of Italy and University of Verona - Department of Economics
Downloads 190 (206,175)
Citation 7

Abstract:

Loading...

Overnight market, Interest rate, Payment system

Electricity Prices: A Nonparametric Approach

Number of pages: 16 Posted: 22 Dec 2008
Davide Pirino and Roberto Renò
Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 153 (248,583)

Abstract:

Loading...

Electricity Prices: A Nonparametric Approach

International Journal of Theoretical and Applied Finance (IJTAF), 2010
Posted: 08 Jun 2010 Last Revised: 09 Jun 2010
Davide Pirino and Roberto Renò
Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics

Abstract:

Loading...

23.

Systematic Staleness

Number of pages: 39 Posted: 25 Jul 2018 Last Revised: 17 Jul 2020
Federico M. Bandi, Davide Pirino and Roberto Renò
Johns Hopkins University - Carey Business School, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 152 (249,410)
Citation 4

Abstract:

Loading...

market liquidity, funding liquidity, staleness, joint asymptotics

24.

Time-Varying Leverage Effects

Number of pages: 37 Posted: 02 Jun 2010
Federico M. Bandi and Roberto Renò
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 135 (274,030)
Citation 19

Abstract:

Loading...

25.

Multi-Jumps

Number of pages: 63 Posted: 30 Aug 2014
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 130 (285,169)

Abstract:

Loading...

multi-jumps, co-jumps, price jumps, multivariate jumps, jumps testing

26.

Structural Stochastic Volatility

Number of pages: 52 Posted: 19 Nov 2020 Last Revised: 01 Sep 2021
Federico M. Bandi, Nicola Fusari and Roberto Renò
Johns Hopkins University, Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 126 (288,656)

Abstract:

Loading...

short-maturity options, equity characteristics, Merton's model, nancial leverage, credit spreads.

27.

Zeros

Number of pages: 22 Posted: 02 Jan 2020
Johns Hopkins University - Carey Business School, University of Manchester - Manchester Business School, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 123 (293,843)
Citation 2

Abstract:

Loading...

Volume, Liquidity, Short-Term Options

28.

Efficient Multipowers

Number of pages: 43 Posted: 08 Feb 2016
Aleksey Kolokolov and Roberto Renò
University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 72 (412,904)
Citation 2

Abstract:

Loading...

Efficiency, Volatility, Jumps, Quarticity, Multipower, Threshold

29.

Jumps or Staleness?

Number of pages: 31 Posted: 12 Jul 2021
Aleksey Kolokolov and Roberto Renò
University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 48 (501,157)

Abstract:

Loading...

Staleness, Zeros, Jumps, Multipower variation, Jump Activity Index,

30.

Specification Analysis of Diffusion Models for the Italian Short Rate

Economic Notes, Vol. 34, No. 1, pp. 51-83, February 2005
Number of pages: 34 Posted: 09 Jul 2005
Monica Gentile and Roberto Renò
Sant'Anna School of Advanced Studies and University of Verona - Department of Economics
Downloads 29 (597,671)
  • Add to Cart

Abstract:

Loading...

31.

The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability

Number of pages: 19 Posted: 24 Mar 2003
University of Pisa - Department of Economics, Academie des Sciences, University of Florence - Department of Economics and Management, University of Verona - Department of Economics and Universitaet Bonn - Institut fuer Angewandte Mathematik
Downloads 29 (597,671)
Citation 2
  • Add to Cart

Abstract:

Loading...

Volatility Matrix, Market Stability, Liquidity, Greeks, Fourier Series, Stochastic Calculus of Variations, Moving Frame

32.

Kenneth D. Garbade (2001)

Number of pages: 4 Posted: 02 May 2003
Roberto Renò
University of Verona - Department of Economics
Downloads 24 (630,384)
  • Add to Cart

Abstract:

Loading...

33.

A Comparison of Alternative Non-Parametric Estimators of the Short Rate Diffusion Coefficient

Economic Notes, Vol. 35, No. 3, pp. 227-252, November 2006
Number of pages: 26 Posted: 21 Mar 2007
Roberto Renò, Antonio Roma and Stephen M. Schaefer
University of Verona - Department of Economics, Universita di Siena and London Business School - Institute of Finance and Accounting
Downloads 14 (703,094)
  • Add to Cart

Abstract:

Loading...

34.

Does it Take Volume to Move European Electricity Spot Prices?

(with F. Fontana) Anales de Estudios Economicos y Empresariales, Vol. XVII, 59-85, 2012
Posted: 12 Dec 2012
Angelica Gianfreda and Roberto Renò
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Dipartimento di Economia Marco Biagi di Modena and University of Verona - Department of Economics

Abstract:

Loading...