Giuseppe Buccheri

University of Verona - Department of Economics

Via Cantarane, 24

37129 Verona

Italy

SCHOLARLY PAPERS

14

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2,467

SSRN CITATIONS
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Top 29,024

in Total Papers Citations

22

CROSSREF CITATIONS

8

Scholarly Papers (14)

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 627 (59,553)

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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 519 (75,577)
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 366 (113,736)
Citation 12

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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: 39 Posted: 14 Mar 2018 Last Revised: 22 Feb 2021
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 238 (177,567)
Citation 1

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

5.

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 137 (286,667)

Abstract:

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

6.

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 99 (360,694)
Citation 1

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

7.

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 96 (367,808)
Citation 2

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

8.

High-dimensional Realized Covariance Estimation: a Parametric Approach

Number of pages: 32 Posted: 18 Mar 2020 Last Revised: 11 Nov 2021
Giuseppe Buccheri and Gael Mboussa Anga
University of Verona - Department of Economics and Scuola Normale Superiore
Downloads 73 (432,254)

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

9.

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 70 (442,163)
Citation 2

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

10.

A Closed-Formula Characterization of the Epps Effect

Number of pages: 46 Posted: 20 Oct 2018 Last Revised: 23 Oct 2018
University of Verona - Department of Economics, Scuola Normale Superiore, Department of Economics and Finance, University of Rome "Tor Vergata" and Scuola Normale Superiore
Downloads 62 (470,343)
Citation 5

Abstract:

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Epps Effect, Realized Covariance, Fill Asymptotic, Liquidity

11.

Realized Exponential Random Graphs, with an Application to the Interbank Network

Number of pages: 68 Posted: 06 Dec 2021
Giuseppe Buccheri and Piero Mazzarisi
University of Verona - Department of Economics and Scuola Normale Superiore
Downloads 55 (497,520)

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Exponential Random Graphs, Dynamic network models, Dynamic factors, Kalman filter, Interbank market.

12.

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 54 (501,611)

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Portfolio Liquidity, Investments, Price Staleness, HAR

13.

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 39 (571,193)
Citation 1

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14.

Partial Information, Return Predictability and Identification of Linear Stochastic Differential Equations

Number of pages: 51 Posted: 17 Mar 2022 Last Revised: 20 Jun 2022
Giuseppe Buccheri
University of Verona - Department of Economics
Downloads 32 (609,999)

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Continuous-time finance, Stochastic differential equations, Kalman filter, Asset allocation, Option pricing.