Giuseppe Buccheri

University of Verona - Department of Economics

Via Cantarane, 24

37129 Verona

Italy

  • University of Verona - Department of Economics

SCHOLARLY PAPERS

15

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48

CROSSREF CITATIONS

7

Scholarly Papers (15)

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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 Verona - Department of Economics, University of Pisa - Department of Economics and University of Lugano and Swiss Finance Institute
Downloads 878 (47,636)
Citation 6

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

2.

A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics

Number of pages: 31 Posted: 08 Feb 2017 Last Revised: 04 Mar 2020
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi and Fabrizio Lillo
University of Verona - Department of Economics, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 579 (82,028)
Citation 5

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Intraday Correlations; Dynamic Dependencies; Asynchronicity; Microstructure Noise

3.

Hark the Shark: Realized Volatility Modelling with Measurement Errors and Nonlinear Dependencies

Number of pages: 41 Posted: 20 Dec 2017 Last Revised: 02 Jun 2019
Giuseppe Buccheri and Fulvio Corsi
University of Verona - Department of Economics and University of Pisa - Department of Economics
Downloads 462 (108,549)
Citation 16

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Realized Volatility, HAR, Measurement Errors, Nonlinear Time Series, Score Driven Models, Kalman Filter

4.

Robust Recursive Filtering and Smoothing

Number of pages: 45 Posted: 14 Mar 2018 Last Revised: 31 May 2023
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi and Fabrizio Lillo
University of Verona - Department of Economics, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 331 (157,666)
Citation 1

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Nonlinear filtering, Time-varying parameters, State-Space models, Stochastic volatility

5.

High-dimensional Realized Covariance Estimation: a Parametric Approach

Number of pages: 32 Posted: 18 Mar 2020 Last Revised: 07 Sep 2022
Giuseppe Buccheri and Gael Mboussa Anga
University of Verona - Department of Economics and Scuola Normale Superiore
Downloads 185 (279,966)

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Realized covariance; Risk management; High-dimensions; Epps effect;

6.

Estimating Risk in Illiquid Markets: a Model of Market Friction With Stochastic Volatility

CEIS Working Paper No. 506
Number of pages: 56 Posted: 01 Feb 2021 Last Revised: 09 Nov 2021
Giuseppe Buccheri, Stefano Grassi and Giorgio Vocalelli
University of Verona - Department of Economics, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance and University of Rome Tor Vergata
Downloads 143 (346,402)

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Market microstructure, Illiquidity, Volatility estimation, Score-driven models

7.

The Continuous-Time Limit of Score-Driven Volatility Models

Number of pages: 44 Posted: 13 Jun 2019
Giuseppe Buccheri, Fulvio Corsi, Franco Flandoli and Giulia Livieri
University of Verona - Department of Economics, University of Pisa - Department of Economics, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 138 (356,171)
Citation 1

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Weak diffusion limits, Score-driven models, Student-t, General error distribution

8.

A DCC-Type Approach for Realized Covariance Modelling With Score-Driven Dynamics

Number of pages: 39 Posted: 08 Jan 2019 Last Revised: 15 Jun 2020
Danilo Vassallo, Giuseppe Buccheri and Fulvio Corsi
Scuola Normale Superiore, University of Verona - Department of Economics and University of Pisa - Department of Economics
Downloads 129 (375,019)
Citation 4

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Realized Covariance, Dynamic Dependencies, Covariance forecasting, Score-driven models, Portfolio construction

9.

Realized Random Graphs, with an Application to the Interbank Network

Number of pages: 44 Posted: 06 Dec 2021 Last Revised: 30 Sep 2023
Giuseppe Buccheri and Piero Mazzarisi
University of Verona - Department of Economics and DEPS, University of Siena
Downloads 116 (405,784)

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State-space models, Dynamic networks, Interbank market, Systemic risk.

10.

Comment on: Price Discovery in High Resolution

Number of pages: 13 Posted: 06 Mar 2019 Last Revised: 12 Mar 2019
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi and Fabrizio Lillo
University of Verona - Department of Economics, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 97 (460,500)
Citation 2

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High-resolution, High-frequency trading, Information share, HAR, Lagged-adjustment

11.

Statistical Identification of Linear Stochastic Differential Equations with Unobservable Drift Process

Number of pages: 52 Posted: 17 Mar 2022 Last Revised: 03 Jul 2023
Giuseppe Buccheri
University of Verona - Department of Economics
Downloads 87 (493,311)

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Continuous-time finance, Stochastic differential equations, Kalman filter, Asset allocation, Learning

12.

A Closed-Formula Characterization of the Epps Effect

Number of pages: 46 Posted: 20 Oct 2018 Last Revised: 23 Oct 2018
Giuseppe Buccheri, Giulia Livieri, Davide Pirino and Alessandro Pollastri
University of Verona - Department of Economics, Scuola Normale Superiore, Department of Economics and Finance, University of Rome "Tor Vergata" and Scuola Normale Superiore
Downloads 84 (507,703)
Citation 7

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Epps Effect, Realized Covariance, Fill Asymptotic, Liquidity

13.

Managing Liquidity with Portfolio Staleness

Number of pages: 37 Posted: 24 Oct 2018 Last Revised: 02 Sep 2019
Giuseppe Buccheri, Davide Pirino and Luca Trapin
University of Verona - Department of Economics, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Bologna
Downloads 75 (538,842)
Citation 1

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Portfolio Liquidity, Investments, Price Staleness, HAR

14.

Evolution of Correlation Structure of Industrial Indices of US Equity Markets

Number of pages: 8 Posted: 22 Jun 2013
Giuseppe Buccheri, Stefano Marmi and Rosario N. Mantegna
University of Verona - Department of Economics, Scuola Normale Superiore and University of Palermo
Downloads 54 (636,975)
Citation 1

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15.

Taking advantage of biased proxies for forecast evaluation

Number of pages: 52
Giuseppe Buccheri, Roberto Renò and Giorgio Vocalelli
University of Verona - Department of Economics, ESSEC Business School and University of Verona
Downloads 22

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Forecasts comparison, proxies, bias, shrinkage, GDP forecasting, volatility forecasting