Roberto Renò
École Supérieure des Sciences Économiques et Commerciales(FR)
Publications by Year
Research Areas
Financial Risk and Volatility Modeling, Stochastic processes and financial applications, Complex Systems and Time Series Analysis, Financial Markets and Investment Strategies, Market Dynamics and Volatility
Most-Cited Works
- → Threshold bipower variation and the impact of jumps on volatility forecasting(2010)542 cited
- → Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling(2012)334 cited
- → Price and volatility co-jumps(2015)165 cited
- → Time-varying leverage effects(2012)111 cited
- → A CLOSER LOOK AT THE EPPS EFFECT(2003)92 cited
- → On measuring volatility and the GARCH forecasting performance(2002)92 cited
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