Prof. Roberto Renò, Ph. D.
Associate Professor
Dipartimento di Economia Politica e Statistica
Università di Siena
Piazza S. Francesco 7, 53100, Siena, Italy
Telephone: + 39 0577 232649
Facsimile: +39 0577 232661
E-mail: reno ((o)) unisi.it
Latest publications:
- "Discrete-time
volatility forecasting with persistent leverage effect and the link
with continuous-time volatility modeling"
, with F. Corsi, Journal of Business
and Economic Statistics, forthcoming. Working paper,Web Appendix
- "Threshold
Bipower Variation and the Impact of Jumps on Volatility Forecasting"
, with F. Corsi, D. Pirino, Journal of
Econometrics (2010),159 (2), 276-288 (wp version)
- "Time-varying
leverage effects"
, with F. Bandi, Journal
of
Econometrics, forthcoming, download
- "Threshold estimation of Markov models with jumps and interest rate modeling" , with C. Mancini, Journal of Econometrics (2011), 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.
"Price
and volatility co-jumps"
, with F. Bandi, Working Paper, 2011
- "Nonparametric
stochastic volatility"
, with F. Bandi, Working Paper, 2011
- "Spot volatility estimation using delta sequences" , with V. Mattiussi, Working Paper, 2009, link to SSRN page
