Giuseppe Buccheri

Scuola Normale Superiore

Postdoctoral fellow

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 36,648

in Total Papers Downloads

1,251

SSRN CITATIONS

2

CROSSREF CITATIONS

7

Scholarly Papers (10)

1.

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

Number of pages: 30 Posted: 08 Feb 2017 Last Revised: 24 Mar 2019
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi and Fabrizio Lillo
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 432 (69,010)
Citation 1

Abstract:

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Intraday Correlations; Dynamic Dependencies; Asynchronicity; Microstructure Noise

2.

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
Scuola Normale Superiore, University of Pisa - Department of Economics and University of Lugano and Swiss Finance Institute
Downloads 286 (110,302)

Abstract:

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

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
Scuola Normale Superiore and University of Pisa - Department of Economics
Downloads 177 (176,082)
Citation 4

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

4.

Filtering and Smoothing with Score-Driven Models

Number of pages: 33 Posted: 14 Mar 2018 Last Revised: 02 Dec 2019
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi and Fabrizio Lillo
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 130 (227,563)
Citation 1

Abstract:

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Score-driven models, Smoothing, Kalman filter, State-Space models, Filtering uncertainty

5.

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

Number of pages: 33 Posted: 08 Jan 2019 Last Revised: 12 Jul 2019
Danilo Vassallo, Giuseppe Buccheri and Fulvio Corsi
Scuola Normale Superiore, Scuola Normale Superiore and University of Pisa - Department of Economics
Downloads 47 (412,823)

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

6.

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
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 41 (435,769)
Citation 1

Abstract:

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

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
Scuola Normale Superiore, University of Pisa - Department of Economics, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 38 (448,276)

Abstract:

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

8.

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
Scuola Normale Superiore, Department of Economics and Finance, University of Rome "Tor Vergata" and Catholic University of Milan
Downloads 37 (452,394)

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Portfolio Liquidity, Investments, Price Staleness, HAR

9.

A Closed-Formula Characterization of the Epps Effect

Number of pages: 46 Posted: 20 Oct 2018 Last Revised: 23 Oct 2018
Scuola Normale Superiore, Scuola Normale Superiore, Department of Economics and Finance, University of Rome "Tor Vergata" and Scuola Normale Superiore
Downloads 32 (474,703)
Citation 2

Abstract:

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Epps Effect, Realized Covariance, Fill Asymptotic, Liquidity

10.

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
Scuola Normale Superiore, Scuola Normale Superiore and University of Palermo
Downloads 31 (479,512)
Citation 1

Abstract:

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