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Roberto Renò · Study
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Author
Roberto Renò
19 works
· latest 2020
· 4 institutions
cluster: provisional
ORCID 0000-0002-1470-2420
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Citations
2,068
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Most cited in this library
Threshold bipower variation and the impact of jumps on volatility forecasting
2010 · 561 citations
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
2012 · 337 citations
Price and volatility co-jumps
2015 · 169 citations
Time-varying leverage effects
2012 · 105 citations
HAR Modeling for Realized Volatility Forecasting
2012 · 96 citations
Works
19 shown
Zeros
Management Science
·
2020
·
4 authors
·
Open access
45
citations
Smiling twice: The Heston++ model
Journal of Banking & Finance
·
2018
·
3 authors
·
Open access
47
citations
Systemic co-jumps
Journal of Financial Economics
·
2017
·
3 authors
·
Open access
79
citations
The Drift Burst Hypothesis
Journal of Econometrics
·
2016
·
3 authors
·
Open access
73
citations
Price and volatility co-jumps
Journal of Financial Economics
·
2015
·
2 authors
·
Open access
169
citations
Spot volatility estimation using delta sequences
Finance and Stochastics
·
2015
·
3 authors
55
citations
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
Journal of Business and Economic Statistics
·
2012
·
2 authors
·
Open access
337
citations
HAR Modeling for Realized Volatility Forecasting
·
2012
·
3 authors
·
other
·
Open access
96
citations
Time-varying leverage effects
Journal of Econometrics
·
2012
·
2 authors
·
Open access
105
citations
Threshold bipower variation and the impact of jumps on volatility forecasting
Journal of Econometrics
·
2010
·
3 authors
·
Open access
561
citations
Threshold estimation of Markov models with jumps and interest rate modeling
Journal of Econometrics
·
2010
·
2 authors
67
citations
NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
Econometric Theory
·
2008
·
1 author
48
citations
Nonparametric Stochastic Volatility
SSRN Electronic Journal
·
2008
·
2 authors
·
preprint
·
Open access
40
citations
2009): “Nonparametric Stochastic Volatility
RePEc: Research Papers in Economics
·
2008
·
4 authors
·
preprint
·
Open access
32
citations
Nonparametric estimation of stochastic volatility models
Economics Letters
·
2005
·
1 author
36
citations
Dynamics of intraday serial correlation in the Italian futures market
Journal of Futures Markets
·
2005
·
2 authors
34
citations
A CLOSER LOOK AT THE EPPS EFFECT
International Journal of Theoretical and Applied Finance
·
2003
·
1 author
·
Open access
91
citations
On measuring volatility and the GARCH forecasting performance
Journal of International Financial Markets Institutions and Money
·
2002
·
2 authors
89
citations
On measuring volatility of diffusion processes with high frequency data
Economics Letters
·
2002
·
2 authors
64
citations