Via Cantarane, 24
37129 Verona
Italy
University of Verona - Department of Economics
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price discovery, microstructure noise, asynchronicity, quadratic covariation, Granger causality
Intraday Correlations; Dynamic Dependencies; Asynchronicity; Microstructure Noise
Realized Volatility, HAR, Measurement Errors, Nonlinear Time Series, Score Driven Models, Kalman Filter
Nonlinear filtering, time-varying parameters, stochastic volatility, dynamic correlations
Realized covariance; Risk management; High-dimensions; Epps effect;
Forecasts comparison, proxies, bias, shrinkage, GDP forecasting, volatility forecasting
Market microstructure, Illiquidity, Volatility estimation, Score-driven models
Weak diffusion limits, Score-driven models, Student-t, General error distribution
State-space models, Dynamic networks, Interbank market, Systemic risk.
Realized Covariance, Dynamic Dependencies, Covariance forecasting, Score-driven models, Portfolio construction
Kalman-Bucy filter, Linear stochastic differential equations, VARMA models, Partial information, Learning.
High-resolution, High-frequency trading, Information share, HAR, Lagged-adjustment
Epps Effect, Realized Covariance, Fill Asymptotic, Liquidity
Portfolio Liquidity, Investments, Price Staleness, HAR
Identification, Factor Models, Score-driven Models, Forecasting
Model selection, Empirical Risk, Nonparametric estimation, Minimum Spanning Tree, Machine Learning JEL codes: C01
