Roberto Renò

University of Verona - Department of Economics

Professor

Via dell'Artigliere, 8

37129 Verona

Italy

SCHOLARLY PAPERS

28

DOWNLOADS
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SSRN RANKINGS

Top 4,527

in Total Papers Downloads

8,820

CITATIONS
Rank 3,069

SSRN RANKINGS

Top 3,069

in Total Papers Citations

166

Scholarly Papers (28)

1.

A Quantitative Approach to Faber's Tactical Asset Allocation

Number of pages: 13 Posted: 22 Sep 2009 Last Revised: 11 Jul 2012
Scuola Normale Superiore, University of Siena - Department of Economics and Statistics, University of Siena - Department of Economics and University of Verona - Department of Economics
Downloads 2,764 (4,131)
Citation 1

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market efficiency, portfolio selection, bootstrap

2.

Nonparametric Stochastic Volatility

Number of pages: 43 Posted: 12 Jul 2008 Last Revised: 19 Jul 2018
Federico M. Bandi and Roberto Renò
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 533 (50,372)
Citation 14

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Spot variance, stochastic volatility, jump, microstructure

3.

Credit Risk Analysis of Mortgage Loans: An Application to the Italian Market

University of Siena, Department of Economics WP No. 331
Number of pages: 18 Posted: 14 Mar 2002
Carlo Mari and Roberto Renò
University of Siena - Department of Economics and University of Verona - Department of Economics
Downloads 464 (60,002)

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4.

Discrete-time Volatility Forecasting with Persistent Leverage Effect and the Link with Continuous-time Volatility Modeling

Number of pages: 34 Posted: 17 Dec 2008 Last Revised: 06 Apr 2010
Fulvio Corsi and Roberto Renò
University of Pisa - Department of Economics and University of Verona - Department of Economics
Downloads 409 (69,930)
Citation 32

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Volatility Forecasting, High Frequency Data, Leverage Effect, Jumps, Fractional Brownian Motion, Multifactor Models

5.

Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation

Number of pages: 63 Posted: 18 Mar 2011
University of Lugano - Institute of Finance, University of Verona - Department of Economics, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Swiss Finance Institute
Downloads 404 (71,001)
Citation 4

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Option Pricing, Stochastic Volatility, Stochastic Leverage, Short and Long Run Volatility Risk, Matrix Affine Jump Diffusions

6.

Price and Volatility Co-Jumps

Number of pages: 75 Posted: 03 Mar 2012 Last Revised: 09 Feb 2014
Federico M. Bandi and Roberto Renò
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 395 (72,845)
Citation 21

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Stochastic volatility, jumps in prices, jumps in volatility, co-jumps, infinitesimal cross-moments, return risk premia, variance risk premia

7.

The Drift Burst Hypothesis

Number of pages: 58 Posted: 24 Sep 2016 Last Revised: 08 Aug 2018
Kim Christensen, Roel C. A. Oomen and Roberto Renò
Aarhus University - CREATES, Deutsche Bank AG (London) and University of Verona - Department of Economics
Downloads 355 (82,489)
Citation 4

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flash crashes; gradual jumps; volatility bursts; liquidity; nonparametric statistics; microstructure noise

8.

Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting

Number of pages: 32 Posted: 02 Apr 2008 Last Revised: 06 Jul 2009
Fulvio Corsi, Davide Pirino and Roberto Renò
University of Pisa - Department of Economics, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 349 (84,125)
Citation 62

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volatility, forecasting, jumps, HAR

9.

Smiling Twice: The Heston++ Model

Number of pages: 37 Posted: 02 Dec 2015 Last Revised: 20 Jul 2018
Claudio Pacati, Gabriele Pompa and Roberto Renò
University of Siena - Department of Economics and Statistics, IMT School for Advanced Studies Lucca and University of Verona - Department of Economics
Downloads 343 (85,837)
Citation 1

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VIX options, VIX futures, Heston model, stochastic volatility, jump-diffusion, displacement

10.

Spot Volatility Estimation Using Delta Sequences

Number of pages: 40 Posted: 09 Jul 2009 Last Revised: 12 Jul 2012
Cecilia Mancini, Vanessa Mattiussi and Roberto Renò
University of Florence - Department of management and economics, City University London - Department of Economics and University of Verona - Department of Economics
Downloads 317 (93,703)
Citation 1

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spot volatility, microstructure noise, jumps, delta sequences, high frequency data, Fourier estimator

11.

Arbitrary Initial Term Structure within the Cir Model: A Perturbative Solution

University of Siena Economics Working Paper No. 380
Number of pages: 15 Posted: 04 Oct 2003
Carlo Mari and Roberto Renò
University of Siena - Department of Economics and University of Verona - Department of Economics
Downloads 313 (95,033)

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Interest Rates, Arbitrary Term, Structure, Extended CIR

12.

Systemic Co-Jumps

SAFE Working Paper No. 149
Number of pages: 49 Posted: 15 Oct 2016
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 297 (100,585)
Citation 6

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Jumps, Return predictability, Systemic events, Variance Risk Premium

13.

EXcess Idle Time

Number of pages: 64 Posted: 12 Jan 2013 Last Revised: 25 Apr 2017
Federico M. Bandi, Davide Pirino and Roberto Renò
Johns Hopkins University - Carey Business School, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 279 (107,567)
Citation 6

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Liquidity, asymmetric information, transaction cost, liquidity premium

14.

Asset Price Anomalies Under Bounded Rationality

CEIS Tor Vergata Research Paper Series No. 19
Number of pages: 22 Posted: 06 Jun 2003
Emilio Barucci, Roberto Monte and Roberto Renò
University of Pisa - Department of Economics, University of Rome Tor Vergata - Dipartimento di Studi Economici, Finanziari e Metodi quantitativi (SEFEMEQ) and University of Verona - Department of Economics
Downloads 277 (108,389)
Citation 1

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Asset Prices, Returns correlation, Bounded Rationality, Dividends, Diffusion Processes

15.

A Closer Look at the Epps Effect

U of Siena Dept. of Economics Working Paper No. 335
Number of pages: 18 Posted: 16 Oct 2002
Roberto Renò
University of Verona - Department of Economics
Downloads 269 (111,799)
Citation 8

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16.

Threshold Estimation of Jump-Diffusion Models and Interest Rate Modeling

Number of pages: 30 Posted: 14 Jul 2008 Last Revised: 09 Jul 2009
Cecilia Mancini and Roberto Renò
University of Florence - Department of management and economics and University of Verona - Department of Economics
Downloads 237 (127,332)
Citation 9

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17.

The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System

CEIS Tor Vergata - Research Paper Series No. 24
Number of pages: 52 Posted: 23 Jun 2003
Emilio Barucci, Claudio Impenna and Roberto Renò
University of Pisa - Department of Economics, Bank of Italy and University of Verona - Department of Economics
Downloads 179 (165,842)
Citation 4

Abstract:

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Overnight market, Interest rate, Payment system

18.
Downloads 146 (197,337)
Citation 1

Electricity Prices: A Nonparametric Approach

Number of pages: 16 Posted: 22 Dec 2008
Davide Pirino and Roberto Renò
Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 146 (197,835)
Citation 1

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Electricity Prices: A Nonparametric Approach

International Journal of Theoretical and Applied Finance (IJTAF), 2010
Posted: 08 Jun 2010 Last Revised: 09 Jun 2010
Davide Pirino and Roberto Renò
Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics

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19.

Time-Varying Leverage Effects

Number of pages: 37 Posted: 02 Jun 2010
Federico M. Bandi and Roberto Renò
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 115 (237,482)
Citation 25

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20.

Multi-Jumps

Number of pages: 63 Posted: 30 Aug 2014
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 113 (240,439)
Citation 1

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multi-jumps, co-jumps, price jumps, multivariate jumps, jumps testing

21.

Efficient Multipowers

Number of pages: 43 Posted: 08 Feb 2016
Aleksey Kolokolov and Roberto Renò
University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 66 (335,477)

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Efficiency, Volatility, Jumps, Quarticity, Multipower, Threshold

22.

Systematic Staleness

Number of pages: 46 Posted: 25 Jul 2018
Federico M. Bandi, Davide Pirino and Roberto Renò
Johns Hopkins University - Carey Business School, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 52 (376,704)
Citation 4

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market liquidity, funding liquidity, staleness, infill asymptotics

23.

High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 46 Posted: 04 Jun 2018 Last Revised: 26 Jan 2019
European Commission Joint Research Center - JRC-Ispra, European Commision, Aarhus University - CREATES, University of Manchester - Manchester Business School, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Verona - Department of Economics
Downloads 49 (386,564)

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flash crashes; high-frequency traders (HFTs); liquidity provision; market making.

24.

Specification Analysis of Diffusion Models for the Italian Short Rate

Economic Notes, Vol. 34, No. 1, pp. 51-83, February 2005
Number of pages: 34 Posted: 09 Jul 2005
Monica Gentile and Roberto Renò
Sant'Anna School of Advanced Studies and University of Verona - Department of Economics
Downloads 29 (465,998)
Citation 1
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25.

The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability

Mathematical Finance, Vol. 13, pp. 17-35, 2003
Number of pages: 19 Posted: 24 Mar 2003
University of Pisa - Department of Economics, Academie des Sciences, University of Florence - Department of Economics and Management, University of Verona - Department of Economics and Universitaet Bonn - Institut fuer Angewandte Mathematik
Downloads 28 (470,926)
Citation 2
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Volatility Matrix, Market Stability, Liquidity, Greeks, Fourier Series, Stochastic Calculus of Variations, Moving Frame

26.

Kenneth D. Garbade (2001)

Economic Notes, Vol. 31, pp. 565-568, 2002
Number of pages: 4 Posted: 02 May 2003
Roberto Renò
University of Verona - Department of Economics
Downloads 24 (492,214)
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27.

A Comparison of Alternative Non-Parametric Estimators of the Short Rate Diffusion Coefficient

Economic Notes, Vol. 35, No. 3, pp. 227-252, November 2006
Number of pages: 26 Posted: 21 Mar 2007
Roberto Renò, Antonio Roma and Stephen M. Schaefer
University of Verona - Department of Economics, Universita di Siena and London Business School - Institute of Finance and Accounting
Downloads 14 (549,780)
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28.

Does it Take Volume to Move European Electricity Spot Prices?

(with F. Fontana) Anales de Estudios Economicos y Empresariales, Vol. XVII, 59-85, 2012
Posted: 12 Dec 2012
Angelica Gianfreda and Roberto Renò
Free University of Bozen-Bolzano - Faculty of Economics and Management and University of Verona - Department of Economics

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