Stefano Peluso

University of Lugano and Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

703

CITATIONS
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16

Scholarly Papers (3)

1.

Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation

Number of pages: 32 Posted: 09 Feb 2012 Last Revised: 11 Sep 2013
Fulvio Corsi, Stefano Peluso and Francesco Audrino
University of Pisa - Department of Economics, University of Lugano and Swiss Finance Institute and University of St. Gallen
Downloads 250 (120,622)
Citation 13

Abstract:

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High frequency data, Realized covariance matrix, Market microstructure noise, Missing data, Kalman filter, EM algorithm, Maximum likelihood

2.

High-Frequency Lead-Lag Effects and Cross-Asset Linkages: a Multi-Asset Lagged Adjustment Model

Number of pages: 35 Posted: 23 Mar 2017 Last Revised: 19 Apr 2018
Giuseppe Buccheri, Fulvio Corsi and Stefano Peluso
Scuola Normale Superiore, University of Pisa - Department of Economics and University of Lugano and Swiss Finance Institute
Downloads 248 (121,575)

Abstract:

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price discovery, microstructure noise, asynchronicity, quadratic covariation, Kalman filter, Granger causality

3.

A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns

Number of pages: 46 Posted: 20 Feb 2012 Last Revised: 21 May 2014
Stefano Peluso, Fulvio Corsi and Antonietta Mira
University of Lugano and Swiss Finance Institute, University of Pisa - Department of Economics and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 205 (146,388)
Citation 4

Abstract:

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asinchronicity, data augmentation, Gibbs sampler, missing observations, realized covariance