Giuseppe Buccheri

University of Rome Tor Vergata

Assistant Professor

Via columbia 2

Rome, Rome 00123

Italy

  • University of Rome Tor Vergata

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    • Tel: 39 06 72595945
SCHOLARLY PAPERS

12

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SSRN CITATIONS
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17

CROSSREF CITATIONS

8

Scholarly Papers (12)

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1.

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 Rome Tor Vergata, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 490 (69,409)
Citation 5

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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
University of Rome Tor Vergata, University of Pisa - Department of Economics and University of Lugano and Swiss Finance Institute
Downloads 441 (79,278)

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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
University of Rome Tor Vergata and University of Pisa - Department of Economics
Downloads 274 (134,049)
Citation 8

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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 Rome Tor Vergata, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 196 (185,228)
Citation 1

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

5.

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 Rome Tor Vergata, University of Pisa - Department of Economics, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 78 (366,580)
Citation 1

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

6.

A Structural Model of Market Friction with Time-Varying Volatility

CEIS Working Paper No. 506
Number of pages: 40 Posted: 01 Feb 2021 Last Revised: 24 Mar 2021
Giuseppe Buccheri, Stefano Grassi and Giorgio Vocalelli
University of Rome Tor Vergata, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance and University of Rome Tor Vergata
Downloads 74 (380,537)

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Illiquidity, Market Microstructure, Volatility, Risk assessment.

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 Rome Tor Vergata and University of Pisa - Department of Economics
Downloads 71 (386,401)
Citation 2

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

8.

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 Rome Tor Vergata, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 52 (450,412)
Citation 2

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

9.

A Closed-Formula Characterization of the Epps Effect

Number of pages: 46 Posted: 20 Oct 2018 Last Revised: 23 Oct 2018
Giuseppe Buccheri, Giulia Livieri, Davide Pirino and Alessandro Pollastri
University of Rome Tor Vergata, Scuola Normale Superiore, Department of Economics and Finance, University of Rome "Tor Vergata" and Scuola Normale Superiore
Downloads 47 (470,267)
Citation 5

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Epps Effect, Realized Covariance, Fill Asymptotic, Liquidity

10.

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 Rome Tor Vergata, Department of Economics and Finance, University of Rome "Tor Vergata" and Catholic University of Milan
Downloads 46 (474,370)

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Portfolio Liquidity, Investments, Price Staleness, HAR

11.

High-dimensional Realized Covariance Estimation: a Parametric Approach

Number of pages: 21 Posted: 18 Mar 2020 Last Revised: 15 Jun 2020
Giuseppe Buccheri and Gael Mboussa Anga
University of Rome Tor Vergata and Scuola Normale Superiore
Downloads 43 (487,304)

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

12.

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 Rome Tor Vergata, Scuola Normale Superiore and University of Palermo
Downloads 35 (524,383)
Citation 1

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