Roberto Renò
Publications full list
(inverse chronological order)

Publications in academic journals
  1. "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
  2. "Time-varying leverage effects"  (with F. Bandi)
    Journal of Econometrics, forthcoming
  3. "Threshold estimation of Markov models with jumps and interest rate modeling"  (with C. Mancini)
    Journal of Econometrics (2011),      160(1): 77-92.
  4. "Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting"  (with F. Corsi, D. Pirino), Journal of Econometrics (2010), 159 (2), 276-288.
  5. "Electricity prices: a nonparametric approach"  (with D. Pirino)
     International Journal of Theoretical and Applied Finance (2010), 13 (2), 285-299.
  6. "Intraday LeBaron effects" (with S.  Bianco, F. Corsi)
    Proceedings of the National Academy of Science of the USA (2009), 106: 11439-11443. 
  7. "Unexpected volatility and intraday serial correlation" (with S.  Bianco)
    Quantitative Finance (2009), 9(4), 466-475.
  8. "Nonparametric estimation of the diffusion coefficient of stochastic volatility models"
    Econometric Theory (2008), 24(5), 1174-1206  
  9. "Pricing Caps and Floors with the Extended CIR model" (with A. Mannolini, C. Mari)
    International Journal of Finance and Economics, 13(4), 386-400
  10. "Asset prices and multiple reference points"  (with M. Basili, C. Zappia)
     Journal of Financial Decision Making (2008), 4(1), 71-81.
  11. "Integration of international bond markets: did anything change with EMU?"  (with N. Lamedica)
    Applied Economics Letters (2007), 14(11), 829-832.
  12. "Trading strategies in the Italian interbank market"  (with G.Iori, G. De Masi, G. Caldarelli)
    Physica A (2007), 376, 467-479 
  13. "Does it take volume to move European electricity spot prices?" (with A. Gianfreda, F. Fontana)
    Anales de Estudios Economico y Empresariales (2007), XVII, 59-85.
  14. "Nonparametric estimation of stochastic volatility models"
    Economics Letters (2006), 90, 390-395  
  15. "A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient" (with A. Roma, S. Schaefer)
    Economic Notes (2006), 35(3), 227-252 
  16. "Arbitrary initial term structure within the CIR model: a perturbative solution" (with C. Mari)
    Applied Mathematical Finance (2006), 13(2), 143-153
  17. "Dynamics of intraday serial correlation in the Italian futures market" (with S. Bianco)
    Journal of Futures Markets (2006), 26(1), 61-84.
  18. "Credit risk analysis of mortgage loans: an application to the Italian market" (with C. Mari)
    European Journal of Operational Research (2005), 163, 83-93
  19. "Dynamic principal component analysis of multivariate volatilites via Fourier analysis"  (with M. Mancino)
     Applied Mathematical Finance (2005), 12 (2), 187-199.
  20. "Specification analysis of diffusion models for the Italian short rate"  (with M. Gentile)
    Economic Notes (2005), Vol. 34, No. 1, pp. 51-83
  21. "On the presence of unspanned volatilty in European interest rate options" (with A. Uboldi)
    Applied Financial Economics Letters (2005), 1 (1), 15-18
  22. "Statistical properties of trading volume depending on size" (with M.Pasquale)
    Physica A (2005), 346, 518-528  pdf file.
  23. "Asset prices under bounded rationality" (with E. Barucci, R. Monte)
    Computational Economics (2004), 23(3): 255-269 ps file.
  24. "A closer look at the Epps effect"
    International Journal of Theoretical and Applied Finance (2003) 6 (1), 87-102  pdf file.
  25. "The Italian Overnight Market: microstructure effects, the martingale hyphothesis and the payment system" (with E. Barucci, C.Impenna)
    Temi di Discussione (2003), N.475
    reprinted in Research in Banking and Finance (2004), 4, 321-362  pdf file.
  26. "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, 17-35 pdf file
  27. "Is volatility lognormal? Evidence from Italian futures" (with R.Rizza)
    Physica A (2003), 322: 620-628 pdf file
  28. "On Measuring Volatility and the GARCH Forecasting Performance" (with E.Barucci)
    Journal of International Financial Markets, Institutions and Money (2002), 12, 183-200 pdf file.
  29. "On measuring volatility of diffusion processes with high frequency data" (with E.Barucci)
    Economics Letters (2002), 74, 371-378 pdf file.. 
  30. "A More Sensitive Search for Nu_mu -> Nu_tau Oscillations in NOMAD"
    Phys. Lett. B, 453(1999) 169, published with the Nomad Collaboration, ps file
Book Chapters and refereed conference proceedings.
  1. "The Black and Litterman framework with higher moments" (with G. Gabbi, A. Limone), in Stock Market Volatility (2009), Ed. G. Gregorious, pp. 255-273.
  2. "Volatility and serial correlation: revisiting the LeBaron effect" (with S.Bianco) Proceedings of SPIE vol. 6601 (2007), 6610Y
  3. "Serial correlation in the Italian futures market" (with S.Bianco)
    Noise and Fluctuations in Econophysics and Finance, Proceedings of SPIE vol. 5848 (2005), D. Abbot, J.P. Bouchoud, X. Gabaix, L. McCauley (eds), pp. 318-329.
  4. "Modeling international correlations with high frequency data" (with C. Genovese)
    In Correlated data modelling 2004. Scientific Meeting in Honour of Diego de Castro, D. Gregori, G. MacKenzie, H. Fried and R. Corradetti (eds.)
    Franco Angeli Editore, Milano, Italy, 2008, pp. 99-113.
  5. "Pricing Caps & Floors with a consistent HJM model" (with A.Uboldi)
    Atti del Workshop Didattico in Finanza Quantitativa (2004), Venezia, M. Corazza e M. Nardon (eds.), pp. 211-228.
  6. "Value at Risk with High Frequency Data" (with E. Barucci)
    in New Trends in Banking Management (2002), ed. Physica-Verlag, pp. 223-232
  7. "Volatility Estimate Via Fourier Analysis" (with E.Barucci and M.Mancino)
    Atti della Scuola Estiva di Finanza Computazionale (2000), Universita' Ca' Foscari, Venezia, pp.273-291
    ps file.
Miscellanea
  1. "Unbiased covariance estimation with interpolated data", with T. Kanatani
    Quaderni del Dipartimento di Economia Politica, Universita' di Siena, N. 502 (2007).
  2. "Volatility estimate via Fourier analysis"
    Tesi di Perfezionamento, Scuola Normale Superiore, 7 maggio 2005 
  3. "Production of a new drug: a sequential investment process under uncertainty" , with M.Basili and C.Zappia
    Quaderni del Dipartimento di Economia Politica, Universita' di Siena, N. 453 (2005).
  4. "Interest rate dynamics and market activity in the Italian interbank overnight market" , with E.Barucci and C. Impenna, Rapporto interno, Dipartimento di Statistica e Matematica applicata all'Economia, Universita' di Pisa (2004).
  5. "Kenneth D. Garbade (2001) Pricing Corporate Securities as Contingent Claims" (book review)
    Economic Notes (2002), 31(3): 565-568.
  6. "Il ruolo della misura della volatilita' nella gestione del rischio dei mercati finanziari" , with E. Barucci
    Atti del workshop "Rischio di Credito", fondazione CUOA, Altavilla Vicentina, 12 dicembre 2001 (in Italian), pdf file.
  7. "Asset substitution and executive stock option evaluation" , with E.Barucci and E.Vannucci
    Rapporto interno, Dipartimento di Statistica e Matematica applicata all'Economia, Universita' di Pisa (2001),
  8. "Nu_e and Anti-Nu_e CC sample selection with an Artificial Neural Network"
    NOMAD Memo 99-003, ps file
  9. "Electron identification efficiency from delta-rays"
    NOMAD Memo 98-014, ps file
  10. "Ricerca delle oscillazioni Nu_mu -> Nu_e nell'esperimento NOMAD"
    Degree Thesis, Università di Pisa, Giugno 1998