Renò, Roberto

Associate Professor of Mathematics, faculty of Economics
 
Research interests: financial mathematics
Telephone: 0577 232649   (int. 2649)
Homepage: http://www.econ-pol.unisi.it/~reno/
Office hours: Wednesday h. 11.00-13.00

Short profile:

Not available

Main publications:
  • "Time-varying leverage effects" (with F. Bandi), Journal of Econometrics, forthcoming
  • "Threshold Bipower Variation and the Impact of Jumps on Volatility
    Forecasting" (with F. Corsi, D. Pirino), Journal of Econometrics (2010), 159 (2), 276-288

  • "Threshold estimation of Markov models with jumps and interest rate modeling" (with C. Mancini)Journal of Econometrics (2010), 160(1): 77-92.
  • "Intraday LeBaron effects" (with S. Bianco, F. Corsi) Proceedings of the National Academy of Science of the USA (2009), 106: 11439-11443.
  • "Nonparametric estimation of the diffusion coefficient of stochastic volatility models" Econometric Theory (2008), 24(5), 1174-1206
  • "Nonparametric estimation of stochastic volatility models" Economics Letters (2006), 90(3), 390-395
  • "The price-volatility feedback rate: an implementable mathematical indicator of market stability" (with E. Barucci, P. Malliavin, M. Mancino, A. Thalmaier)
    Mathematical Finance (2003), 13(1), 17-35

  • "On Measuring Volatility and the GARCH Forecasting Performance" (with E.Barucci) Journal of International Financial Markets, Institutions and Money (2002), 12(3), 183-200