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A closed-form formula characterization of the Epps effect

Buccheri, Giuseppe; Livieri, Giulia; Pirino, Davide; … - In: Quantitative finance 20 (2020) 2, pp. 243-254

Persistent link: https://www.econbiz.de/10012194864

Adding cycles into the neoclassical growth model

Donadelli, Michael; Paradiso, Antonio; Livieri, Giulia - In: Economic modelling 78 (2019), pp. 162-171

Persistent link: https://www.econbiz.de/10012198929

A stochastic volatility model with realized measures for option pricing

Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 856-871

Persistent link: https://www.econbiz.de/10012313375

Asymptotic results for the Fourier estimator of the integrated quarticity

Livieri, Giulia; Mancino, Maria Elvira; Marmi, Stefano - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 471-502

Persistent link: https://www.econbiz.de/10012127239

The continuous-time limit of score-driven volatility models

Buccheri, Giuseppe; Corsi, Fulvio; Flandoli, Franco; … - In: Journal of econometrics 221 (2021) 2, pp. 655-675

Persistent link: https://www.econbiz.de/10012619254

Statistical inferences for price staleness

Kolokolov, Aleksey; Livieri, Giulia; Pirino, Davide - In: Journal of econometrics 218 (2020) 1, pp. 32-81

Persistent link: https://www.econbiz.de/10012482896

Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts

Toscano, Giacomo; Livieri, Giulia; Mancino, Maria Elvira; … - In: Journal of financial econometrics 22 (2024) 1, pp. 252-296

Persistent link: https://www.econbiz.de/10014526318

Pricing transition risk with a jump-diffusion credit risk model : evidences from the CDS market

Livieri, Giulia; Radi, Davide; Smaniotto, Elia - In: Review of corporate finance 4 (2024) 1/2, pp. 177-201

Persistent link: https://www.econbiz.de/10014554016

Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?

Farmer, J. Doyne; Gerig, Austin; Lillo, Fabrizio; Mike, … - In: Quantitative Finance 6 (2006) 2, pp. 107-112

Persistent link: https://www.econbiz.de/10005462692

Applying complexity science to air traffic management

Cook, Andrew; Blom, Henk A.P.; Lillo, Fabrizio; … - In: Journal of Air Transport Management 42 (2015) C, pp. 149-158

Complexity science is the multidisciplinary study of complex systems. Its marked network orientation lends itself well to transport contexts. Key features of complexity science are introduced and defined, with a specific focus on the application to air traffic management. An overview of complex...

Persistent link: https://www.econbiz.de/10011190576