Narrow search
Showing 1 - 5 of 5
Cover Image
Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio; Pirino, Davide; Renò, Roberto - In: Journal of econometrics 159 (2010) 2, pp. 276-288
Persistent link: https://www.econbiz.de/10008840480
Cover Image
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
Cover Image
Systematic staleness
Bandi, Federico M.; Pirino, Davide; Renò, Roberto - In: Journal of econometrics 238 (2024) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10015073777
Cover Image
Smile from the past : a general option pricing framework with multiple volatility and leverage components
Majewski, Adam A.; Bormetti, Giacomo; Corsi, Fulvio - In: Journal of econometrics 187 (2015) 2, pp. 521-531
Persistent link: https://www.econbiz.de/10011499754
Cover Image
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