Roberto Renò's workpage

Working papers:

• "Nonparametric Stochastic Volatility"
  with Federico Bandi, working paper (2011)
  
  
• "Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting" 
  with Fulvio Corsi, Davide Pirino
  Journal of Econometrics, 159 (2), 276-288
  (previously circulated with the title "Volatility forecasting: the jumps do matter")
  Working paper version, July 2009
  Web Appendix, with supplementary material
  
  To implement the TMPV estimators and the C-Tz test on your favourite time series, download the Matlab functions. Run example.m to learn how.
  
  For other routines or newer and faster code, write me a line.
  
  
• "Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling"
  with Fulvio Corsi, 2010, pdf file
  
  We are ready to share the data (realized quantities) used in this paper for research purposes. If you are interested, write me or Fulvio a line. 
  A reduced form of this paper was previously circulating with the title
  "HAR volatility modelling with heterogeneous leverage and jumps"
  and if you are interesting to the older stuff, you might download it here
  
  
• "Spot volatility estimation with delta sequences" , with V. Mattiussi,  2009
  Check my SSRN page
  

• Testing and measuring contemporaneous jumps (with Federico Bandi)
• Is volatility really long memory? (with Fulvio Corsi)
• Spot volatility estimation (with Cecilia Mancini and Vanessa Mattiussi)
• Option pricing with the Wishart model (with F. Trojani and P. Gruber)
• Realized illiquidity (with Davide Pirino)
  

• "Threshold estimation of jump-diffusion models and interest rate modelling", Lugano, November 2007

• "On measuring correlations of financial time series with high-frequency data", talk held at the WCDM04, Torino, January 2004, 
  

• "Arbitrary term structure within the CIR model: a perturbative solution", talk held at the IV Finance Workshop, Torino, January 2003, 
  

• "On Measuring Volatility and the GARCH forecasting performance", talk held at the conference Market Microstructure and High Frequency Data in Finance, Sandbjerg Castle, August 10, 2001

• "Multivariate Volatility Estimate via Fourier Analysis", the poster presented  at ISAM 2000, Siena, March 2000, with E. Barucci and M.Mancino, ps file