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Giacomo Toscano

Scuola Normale Superiore (from arXiv:2004.04013, 2020) · ORCID · OpenAlex

12 papers in scope · 12 published · 2 on the econ.EM arXiv · 55 citations · h-index 4 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Stefano Marmi
  2. Maria Elvira Mancino
  3. Giulia Livieri
  4. Simona Sanfelici
  5. Carsten Chong
  6. Viktor Todorov
  7. Zhao Chen
  8. Christina Dan Wang
  9. Ilze Kalnina
  10. Kokouvi Tewou
  11. Qiang Liu
  12. Zhi Liu
  13. Zhou Wang
  14. Jun Yu
  15. Tetsuya Takabatake
  16. Chen Zhang
  17. Yang Zu
  18. José E. Figueroa-López
  19. H. Peter Boswijk
  20. Bei Wu

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(3 of 12)

Spot beta estimation with asynchronous noisy prices
published2025 · Quantitative Finance · 1 citations
with Maria Elvira Mancino, Tommaso Mariotti
Quantitative Finance
SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks
published2024 · International Journal of Forecasting · 3 citations
with Alessio Brini
International Journal of Forecasting
Asymptotic Normality and Finite-Sample Robustness of the Fourier Spot Volatility Estimator in the Presence of Microstructure Noise
published2024 · Journal of Business and Economic Statistics · 4 citations · first circulated 2022
with Maria Elvira Mancino, Tommaso Mariotti
Journal of Business and Economic Statistics
The Fourier–Malliavin Volatility (FMVol) MATLAB® library
published2024 · Mathematics and Computers in Simulation · 4 citations
with Simona Sanfelici
Paper profile Mathematics and Computers in Simulation arXiv:2402.00172
From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
published2023 · Quantitative Finance · 4 citations · first circulated 2022
with Tommaso Mariotti, Fabrizio Lillo
Quantitative Finance
Volatility of Volatility Estimation: Central Limit Theorems for the Fourier Transform Estimator and Empirical Study of the Daily Time Series Stylized Facts
published2022 · Journal of Financial Econometrics · 12 citations · first circulated 2021
with Giulia Livieri, Maria Elvira Mancino, Stefano Marmi
Paper profile Journal of Financial Econometrics arXiv:2112.14529
Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data
published2022 · Annals of Operations Research · 2 citations · first circulated 2021
with Iacopo Raffaelli, Simone Scotti
Annals of Operations Research
The price‐leverage covariation as a measure of the response of the leverage effect to price and volatility changes
published2022 · Applied Stochastic Models in Business and Industry · 3 citations · first circulated 2021
Applied Stochastic Models in Business and Industry
Rate-efficient asymptotic normality for the Fourier estimator of the leverage process
published2021 · Statistics and Its Interface · 9 citations · first circulated 2020
with Maria Elvira Mancino
Statistics and Its Interface
Bias-optimal vol-of-vol estimation: the role of window overlapping
published2021 · Decisions in Economics and Finance · 5 citations
with Maria Cristina Recchioni
Paper profile Decisions in Economics and Finance arXiv:2004.04013
The foreign exchange market in Barcelona at the beginning of the fifteenth century
published2021 · Financial History Review · 3 citations
with Angela Orlandi
Financial History Review
Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data
published2020 · Applied Mathematical Finance · 5 citations
with Maria Elvira Mancino, Simone Scotti
Applied Mathematical Finance

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.