Viale Romania 32
Rome, 00197
Italy
Luiss University of Rome
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Foreign Exchange, Global Market, Liquidity, Price Impact, Arbitrage.
Liquidity, Stochastic Volatility, Trading Volume, Amihud, Jumps
VIX options, orthogonal expansions, risk-neutral moments, volatility jumps, volatility tail-risk
high and low prices, predictability of asset prices, range, fractional cointegration, exit/entry trading signals, chart/technical analysis
bitcoin, crypto premium, jumps, skewness, kurtosis
Marginal Expected Shortfall, Log-Returns, Systemic Risk
ARFIMA models, Kalman Filter, Missing Observations, Measurement Error, Level Shifts
Realized Volatility, Trading Volume, Fractional Cointegration, Tail dependence, Copula Modeling
volatility, jumps in volatility, realized range, HAR
Range-based volatility estimator, Long memory, Fractional cointegration, Fractional VECM, Stock Index Futures
Multiplicative Error Model with Jumps, Jumps in volatility, Realized measures, Volatility-at-Risk
Common level shifts, fractional cointegration, fractional VECM, implied volatility, long memory, options, realized volatility
Realized variance, Long memory, fractional Brownian Motion, Measurement error, Whittle estimator
Indirect inference, measurement error, misspecification, identification, stochastic volatility models
zonal prices, convergence between zones, convergence within zones, fractional cointegration, long-run equilibrium
option Greeks, hedging, risk-neutral moments, low VIX puzzle
