← All authors Giuseppe Buccheri University of Verona (from arXiv:2412.01367, 2024) · ORCID · OpenAlex
15 papers in scope · 14 published · 1 on the econ.EM arXiv · 261 citations · h-index 7 (over the papers listed here)
Papers (1 of 15)
Taking advantage of biased proxies for forecast evaluation
published 2025 · Journal of Econometrics · first circulated 2023
Identification of continuous-time linear filters when only discrete-time data is available
published 2025 · Econometric Reviews · 1 citations
working paper 2024 · arXiv
Realized Random Graphs, with an Application to the Interbank Network
published 2024 · Journal of Financial Econometrics · 3 citations · first circulated 2021
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility
published 2023 · Journal of Financial Econometrics · 1 citations
High-dimensional realized covariance estimation: a parametric approach
published 2022 · Quantitative Finance · 2 citations
with Gael Mboussa Anga
The continuous-time limit of score-driven volatility models
published 2020 · Journal of Econometrics · 7 citations · first circulated 2019
A DCC-type approach for realized covariance modeling with score-driven dynamics
published 2020 · International Journal of Forecasting · 16 citations · first circulated 2018
Managing liquidity with portfolio staleness
published 2020 · Decisions in Economics and Finance · 7 citations
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
published 2020 · Journal of Business and Economic Statistics · 50 citations · first circulated 2018
High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model
published 2019 · Journal of Business and Economic Statistics · 31 citations
A closed-form formula characterization of the Epps effect
published 2019 · Quantitative Finance · 22 citations · first circulated 2018
HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies
published 2019 · Journal of Financial Econometrics · 40 citations · first circulated 2017
Comment on: Price Discovery in High Resolution
published 2019 · Journal of Financial Econometrics · 15 citations
Evolution of correlation structure of industrial indices of U.S. equity markets
published 2013 · Physical Review E · 66 citations
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