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High-frequency lead-lag effects and cross-asset linkages : a multi-asset lagged adjustment model

Buccheri, Giuseppe; Corsi, Fulvio; Peluso, Stefano - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 605-621

Persistent link: https://www.econbiz.de/10012588002

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

A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics

Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 920-936

Persistent link: https://www.econbiz.de/10012653203

Comment on: price discovery in high resolution

Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of financial econometrics 19 (2021) 3, pp. 439-451

Persistent link: https://www.econbiz.de/10012654941

Rejoinder on: price discovery in high resolution

Hasbrouck, Joel - In: Journal of financial econometrics 19 (2021) 3, pp. 465-471

Persistent link: https://www.econbiz.de/10012654950

HARK the SHARK : realized volatility modeling with measurement errors and nonlinear dependencies

Buccheri, Giuseppe; Corsi, Fulvio - In: Journal of financial econometrics 19 (2021) 4, pp. 614-649

Persistent link: https://www.econbiz.de/10012654982

A DCC-type approach for realized covariance modeling with score-driven dynamics

Vassallo, Danilo; Buccheri, Giuseppe; Corsi, Fulvio - In: International journal of forecasting 37 (2021) 2, pp. 569-586

Persistent link: https://www.econbiz.de/10012792854

Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns

Peluso, Stefano; Mira, Antonietta; Muliere, Pietro - In: Applied Stochastic Models in Business and Industry 35 (2019) 5, pp. 1282-1297

Persistent link: https://www.econbiz.de/10012272487

Reinforced urn processes for credit risk models

Peluso, Stefano; Mira, Antonietta; Muliere, Pietro - In: Journal of Econometrics 184 (2015) 1, pp. 1-12

We propose a Bayesian nonparametric model to estimate rating migration matrices and default probabilities using the reinforced urn processes (RUP) introduced in Muliere et al. (2000). The estimated default probability becomes our prior information in a parametric model for the prediction of the...

Persistent link: https://www.econbiz.de/10011077595

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