Giuseppe Buccheri

Scuola Normale Superiore

Postdoctoral fellow

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

SCHOLARLY PAPERS

10

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1,049

CITATIONS
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Top 43,821

in Total Papers 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 401 (71,607)
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: 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 (121,658)

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price discovery, microstructure noise, asynchronicity, quadratic covariation, Kalman filter, 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 121 (228,833)
Citation 3

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

4.

A General Class of Score-Driven Smoothers

Number of pages: 37 Posted: 14 Mar 2018 Last Revised: 26 Sep 2018
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 109 (246,805)

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

5.

Managing Liquidity with Portfolio Staleness

Number of pages: 33 Posted: 24 Oct 2018 Last Revised: 23 Mar 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 31 (456,817)

Abstract:

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Portfolio liquidity, Investments, price staleness, HAR

6.

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 30 (461,510)
Citation 1

Abstract:

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7.

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 29 (466,295)

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

8.

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 28 (471,206)
Citation 2

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Epps Effect, Realized Covariance, Fill Asymptotic, Liquidity

9.

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 27 (476,313)

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

10.

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 25 (487,052)

Abstract:

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