Piazza dei Cavalieri, 7
Pisa, 56126
Italy
Scuola Normale Superiore
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in Total Papers Downloads
Intraday Correlations; Dynamic Dependencies; Asynchronicity; Microstructure Noise
price discovery, microstructure noise, asynchronicity, quadratic covariation, Granger causality
Realized Volatility, HAR, Measurement Errors, Nonlinear Time Series, Score Driven Models, Kalman Filter
Score-driven models, Smoothing, Kalman filter, State-Space models, Filtering uncertainty
Realized Covariance, Dynamic Dependencies, Covariance forecasting, Score-driven models, Portfolio construction
High-resolution, High-frequency trading, Information share, HAR, Lagged-adjustment
Weak diffusion limits, Score-driven models, Student-t, General error distribution
Portfolio Liquidity, Investments, Price Staleness, HAR
Epps Effect, Realized Covariance, Fill Asymptotic, Liquidity
