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

764

SSRN CITATIONS

3

CROSSREF CITATIONS

3

Scholarly Papers (3)

1.

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

Number of pages: 53 Posted: 23 Mar 2017 Last Revised: 29 Jul 2019
Giuseppe Buccheri, Fulvio Corsi and Stefano Peluso
University of Rome Tor Vergata, University of Pisa - Department of Economics and University of Lugano and Swiss Finance Institute
Downloads 294 (108,860)

Abstract:

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

2.

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 260 (123,428)
Citation 7

Abstract:

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

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 210 (152,260)
Citation 3

Abstract:

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