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The price-volatility feedback rate : an implementable mathematical indicator of market stability
Barucci, Emilio; Malliavin, Paul; Mancino, Maria Elvira; … - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 17-35
Persistent link: https://www.econbiz.de/10001765629
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Value at risk with high frequency data
Barucci, Emilio; Renò, R. - In: New trends in banking management : with 42 tables, (pp. 223-231). 2002
Persistent link: https://www.econbiz.de/10001703812
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On measuring volatility and the GARCH forecasting performance
Barucci, Emilio; Renò, Roberto - In: Journal of international financial markets, … 12 (2002) 3, pp. 183-200
Persistent link: https://www.econbiz.de/10001705858
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On measuring volatility of diffusion processes with high frequency data
Barucci, Emilio; Renò, Roberto - In: Economics letters 74 (2002) 3, pp. 371-378
Persistent link: https://www.econbiz.de/10001654097
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Computation of volatility in stochastic volatility models with high frequency data
Barucci, Emilio; Mancino, Maria Elvira - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 767-787
Persistent link: https://www.econbiz.de/10008904328
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Cryptocurrencies and stablecoins : a high-frequency analysis
Barucci, Emilio; Giuffra Moncayo, Giancarlo; Marazzina, … - In: Digital finance : smart data analytics, investment … 4 (2022) 2/3, pp. 217-239
Persistent link: https://www.econbiz.de/10013429359