Prof. Roberto Renò, Ph. D.
Associate Professor
Dipartimento di Economia Politica
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:
- "Threshold estimation of Markov models with jumps and interest rate modeling" , with C. Mancini, Journal of Econometrics, forthcoming.
- "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 leverage effects" , with F. Bandi, Working Paper, 2009, download
- "Nonparametric stochastic volatility" , with F. Bandi, Working Paper, 2008, link to SSRN page
- "HAR volatility modelling with heterogeneous leverage and jumps" , with F. Corsi, Working Paper, 2009, download
- "Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting" , with F. Corsi, D. Pirino, Working Paper, 2009, download
- "Spot volatility estimation using delta sequences" , with V. Mattiussi, Working Paper, 2009, link to SSRN page
