Roberto
Renò
Selected 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
- "Time-varying
leverage effects" (with F. Bandi), Journal of
Econometrics, forthcoming
- "Threshold
estimation of Markov models with jumps and interest rate modeling" (with
C. Mancini)
Journal of
Econometrics (2011), 160(1): 77-92.
- "Threshold
Bipower Variation and the Impact of Jumps on Volatility Forecasting" (with F. Corsi, D. Pirino), Journal of
Econometrics (2010), 159 (2), 276-288
- "Intraday LeBaron effects" (with S. Bianco, F. Corsi)
Proceedings of the National Academy of Science of the USA (2009), 106:
11439-11443. - "Unexpected volatility and intraday serial correlation" (with S. Bianco)
Quantitative Finance (2009), 9(4), 466-475. 
- "Nonparametric
estimation of the diffusion coefficient of stochastic volatility models"
Econometric Theory (2008), 24(5), 1174-1206
- "A
Comparison of Alternative Nonparametric Estimators of the Short Rate
Diffusion Coefficient" (with A. Roma, S. Schaefer)
Economic Notes
(2006), 35(3), 227-252
- "Nonparametric
estimation
of stochastic volatility models"
Economics Letters
(2006), 90(3), 390-395
- "A
closer look at the
Epps effect"
International
Journal of Theoretical and Applied Finance (2003) 6 (1),
87-102
- "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
- "On
measuring volatility
of diffusion processes with high frequency data" (with
E.Barucci)
Economics Letters
(2002), 74(3), 371-378