← All authors Roberto Renò École Supérieure des Sciences Économiques et Commerciales (per OpenAlex) · ORCID · OpenAlex
53 papers in scope · 53 published · 1 on the econ.EM arXiv · 2,246 citations · h-index 21 (over the papers listed here)
Papers (1 of 53)
V-shapes
published 2025 · Journal of Banking & Finance · 3 citations · first circulated 2022
with Maria Flora
Taking advantage of biased proxies for forecast evaluation
published 2025 · Journal of Econometrics · first circulated 2023
published 2025 · Journal of Financial Markets · 7 citations · first circulated 2024
The Impact of COVID-19 on Italian Sovereign Bond Market Quality
published 2025 · Journal of Financial Services Research · 1 citations
with Gerardo Ferrara, Maria Flora
BUMVU estimators
published 2025 · Journal of Econometrics · 3 citations · first circulated 2023
Fifty years at the interface between financial modeling and operations research
published 2025 · European Journal of Operational Research · 6 citations
The Liquidity Uncertainty Premium Puzzle
published 2024 · Journal of Time Series Analysis
with Maria Flora, Ilaria Gianstefani
Realized drift
published 2024 · Journal of Econometrics · 6 citations · first circulated 2022
Systematic staleness
published 2023 · Journal of Econometrics · 9 citations · first circulated 2018
with Federico M. Bandi, Davide Pirino
Jumps or Staleness?
published 2023 · Journal of Business and Economic Statistics · 18 citations · first circulated 2021
Detecting States of Distress in Financial Markets: The Case of the Italian Sovereign Debt
published 2022 · Springer proceedings in mathematics & statistics
with Maria Flora
β in the tails
published 2020 · Journal of Econometrics · 4 citations
with Federico M. Bandi
Zeros
published 2020 · Management Science · 47 citations · first circulated 2019
Smiling twice: The Heston++ model
published 2018 · Journal of Banking & Finance · 48 citations
with Claudio Pacati, Gabriele Pompa
NONPARAMETRIC STOCHASTIC VOLATILITY
published 2018 · Econometric Theory · 36 citations · first circulated 2008
with Federico M. Bandi
Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
published 2018 · Journal of Economic Dynamics and Control · 24 citations
with Immacolata Oliva
Systemic co-jumps
published 2017 · Journal of Financial Economics · 81 citations · first circulated 2016
Efficient Multipowers*
published 2017 · Journal of Financial Econometrics · 4 citations · first circulated 2016
EXcess Idle Time
published 2017 · Econometrica · 55 citations · first circulated 2013
with Federico M. Bandi, Davide Pirino
The Drift Burst Hypothesis
published 2016 · Journal of Econometrics · 2 citations
Price and volatility co-jumps
published 2015 · Journal of Financial Economics · 167 citations · first circulated 2011
with Federico M. Bandi
Spot volatility estimation using delta sequences
published 2015 · Finance and Stochastics · 56 citations · first circulated 2010
with Cecilia Mancini, Vanessa Mattiussi
A quantitative approach to Faber's tactical asset allocation
published 2013 · International Journal of Computational Economics and Econometrics · 2 citations · first circulated 2011
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
published 2012 · Journal of Business and Economic Statistics · 340 citations · first circulated 2010
Time-varying leverage effects
published 2012 · Journal of Econometrics · 111 citations · first circulated 2010
with Federico M. Bandi
Threshold bipower variation and the impact of jumps on volatility forecasting
published 2010 · Journal of Econometrics · 548 citations · first circulated 2008
Threshold estimation of Markov models with jumps and interest rate modeling
published 2010 · Journal of Econometrics · 71 citations · first circulated 2008
with Cecilia Mancini
ELECTRICITY PRICES: A NONPARAMETRIC APPROACH
published 2010 · International Journal of Theoretical and Applied Finance · 5 citations · first circulated 2008
with Davide Pirino
Introduction to the Special Issue: Financial Mathematics and Econometrics
published 2010 · Economic Notes
with Cecilia Mancini
Intraday LeBaron effects
published 2009 · Proceedings of the National Academy of Sciences · 17 citations
Unexpected volatility and intraday serial correlation
published 2009 · Quantitative Finance · 10 citations · first circulated 2006
with Simone Bianco
Pricing caps and floors with the extended CIR model
published 2008 · International Journal of Finance & Economics · 5 citations
with Antonio Mannolini, Carlo Mari
NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
published 2008 · Econometric Theory · 56 citations
Integration of international bond markets: did anything change with EMU?
published 2007 · Applied Economics Letters · 9 citations
with Nicola Lamedica
Volatility and serial correlation: revisiting the LeBaron effect
published 2007 · Proceedings of SPIE, the International Society for Optical Engineering/Proceedings of SPIE
with Simone Bianco
Trading strategies in the Italian interbank market
published 2006 · Physica A Statistical Mechanics and its Applications · 52 citations
with Giulia Iori, G. Masi, Guido Caldarelli
A Comparison of Alternative Non‐parametric Estimators of the Short Rate Diffusion Coefficient
published 2006 · Economic Notes · 10 citations
with Antonio Roma, Stephen M. Schaefer
Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution
published 2006 · Applied Mathematical Finance · 1 citations · first circulated 2003
with Carlo Mari
Nonparametric estimation of stochastic volatility models
published 2005 · Economics Letters · 41 citations
with Cecilia Mancini
Dynamics of intraday serial correlation in the Italian futures market
published 2005 · Journal of Futures Markets · 38 citations
with Simone Bianco
Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
published 2005 · Applied Mathematical Finance · 8 citations
Serial correlation in the Italian futures market
published 2005 · Proceedings of SPIE, the International Society for Optical Engineering/Proceedings of SPIE
with Simone Bianco
Specification Analysis of Diffusion Models for the Italian Short Rate
published 2005 · Economic Notes · 1 citations
with Monica Gentile
On the presence of unspanned volatility in European interest rate options
published 2005 · Applied Financial Economics Letters · 3 citations
with Adamo Uboldi
Statistical properties of trading volume depending on size
published 2004 · Physica A Statistical Mechanics and its Applications · 4 citations
with Maria Pasquale
Credit risk analysis of mortgage loans: An application to the Italian market
published 2004 · European Journal of Operational Research · 18 citations · first circulated 2002
with Carlo Mari
Is volatility lognormal? Evidence from Italian futures
published 2003 · Physica A Statistical Mechanics and its Applications · 25 citations
with Rosario Rizza
A CLOSER LOOK AT THE EPPS EFFECT
published 2003 · International Journal of Theoretical and Applied Finance · 93 citations · first circulated 2002
The Price‐Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
published 2003 · Mathematical Finance · 26 citations
The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System
published 2003 · CEIS Research Paper · 12 citations
with Emilio Barucci, Claudio Impenna
Asset Price Anomalies Under Bounded Rationality
published 2003 · Computational Economics · 1 citations
with Emilio Barucci, Roberto Monte
On measuring volatility and the GARCH forecasting performance
published 2002 · Journal of International Financial Markets Institutions and Money · 93 citations
with Emilio Barucci
On measuring volatility of diffusion processes with high frequency data
published 2002 · Economics Letters · 69 citations
with Emilio Barucci
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