Davide Pirino

Department of Economics and Finance, University of Rome "Tor Vergata"

Via Columbia 2

Rome, Lazio 00133

Italy

  • Department of Economics and Finance, University of Rome "Tor Vergata"

SCHOLARLY PAPERS

17

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SSRN CITATIONS
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Top 12,426

in Total Papers Citations

93

CROSSREF CITATIONS

22

Scholarly Papers (17)

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1.

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 ESSEC Business School
Downloads 408 (125,189)
Citation 37

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volatility, forecasting, jumps, HAR

2.

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 ESSEC Business School
Downloads 361 (143,656)
Citation 15

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Liquidity, asymmetric information, transaction cost, liquidity premium

3.

Assessing Systemic Risk Due to Fire Sales Spillover Through Maximum Entropy Network Reconstruction

Number of pages: 41 Posted: 04 Aug 2015 Last Revised: 23 Jun 2018
Domenico Di Gangi, Fabrizio Lillo and Davide Pirino
National Research Council (CNR) - "Alessandro Faedo" Institute of Information Science and Technology (ISTI), Università di Bologna and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 301 (174,341)
Citation 10

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systemic risk, maximum entropy, fire-sales, bank vulnerability, bank systemicness,matrix balancing, weighted configuration model

4.

Measuring the Propagation of Financial Distress with Granger-Causality Tail Risk Networks

Number of pages: 34 Posted: 10 Mar 2015 Last Revised: 02 Mar 2018
Fulvio Corsi, Fabrizio Lillo, Davide Pirino and Luca Trapin
University of Pisa - Department of Economics, Università di Bologna, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Bologna
Downloads 264 (199,477)
Citation 11

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flight-to-quality, sovereign debt crisis, systemic risk, Granger causality, illiquidity, fire sales, bi-partite networks

5.

A SHARP Model of Bid-Ask Spread Forecasts

Number of pages: 35 Posted: 17 Jan 2017 Last Revised: 09 Jul 2019
Luca Cattivelli and Davide Pirino
Scuola Normale Superiore and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 248 (212,102)

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bid-ask spread, forecasting, liquidity, long-memory, seasonality, integer-valued, stochastic processes

6.

Systematic Staleness

Number of pages: 55 Posted: 25 Jul 2018 Last Revised: 21 Nov 2022
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 ESSEC Business School
Downloads 238 (220,824)
Citation 5

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market liquidity, funding liquidity, staleness, joint asymptotics

7.

Measuring Industry Relatedness and Corporate Coherence

Number of pages: 24 Posted: 06 May 2011
Giulio Bottazzi and Davide Pirino
Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM) and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 227 (231,211)
Citation 14

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corporate coherence, relatedness, null model analysis, patent data

8.

Zeros

Number of pages: 22 Posted: 02 Jan 2020
Federico M. Bandi, Aleksey Kolokolov, Davide Pirino and Roberto Renò
Johns Hopkins University - Carey Business School, University of Manchester - Manchester Business School, Department of Economics and Finance, University of Rome "Tor Vergata" and ESSEC Business School
Downloads 194 (267,158)
Citation 2

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Volume, Liquidity, Short-Term Options

9.

Electricity Prices: A Nonparametric Approach

Downloads 166 (306,126)

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 ESSEC Business School
Downloads 166 (306,151)

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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 ESSEC Business School

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10.

The Impact of Systemic and Illiquidity Risk on Financing with Risky Collateral.

Number of pages: 34 Posted: 29 Mar 2014
Fabrizio Lillo and Davide Pirino
Università di Bologna and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 151 (331,521)
Citation 1

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systemic risk; illiquidity; portfolio overlap; repo; haircut; liquidation

11.

Discontinuous Trading in Continuous-Time Econometrics

Number of pages: 75 Posted: 09 Feb 2023
Federico M. Bandi, Aleksey Kolokolov, Davide Pirino and Roberto Renò
Johns Hopkins University - Carey Business School, University of Manchester - Manchester Business School, Department of Economics and Finance, University of Rome "Tor Vergata" and ESSEC Business School
Downloads 129 (375,019)

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Trade intermittency, random durations, liquidity, skewness, kurtosis

12.

Statistical Inferences for Price Staleness

Number of pages: 71 Posted: 13 Nov 2018 Last Revised: 21 Jan 2020
Aleksey Kolokolov, Giulia Livieri and Davide Pirino
University of Manchester - Manchester Business School, Scuola Normale Superiore and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 88 (489,891)
Citation 5

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staleness, idle time, liquidity, zero returns, stable convergence

13.

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 Verona - Department of Economics, Scuola Normale Superiore, Department of Economics and Finance, University of Rome "Tor Vergata" and Scuola Normale Superiore
Downloads 83 (507,703)
Citation 7

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Epps Effect, Realized Covariance, Fill Asymptotic, Liquidity

14.

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 75 (538,842)
Citation 1

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Portfolio Liquidity, Investments, Price Staleness, HAR

15.

Testing for Endogeneity of Irregular Sampling Schemes

Downloads 74 (542,964)

Testing for Endogeneity of Irregular Sampling Schemes

Number of pages: 49 Posted: 12 Aug 2022
Aleksey Kolokolov, Giulia Livieri and Davide Pirino
University of Manchester - Manchester Business School, Scuola Normale Superiore and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 51 (667,084)

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irregular sampling, sampling schemes, zeros, power variation.

Testing for Endogeneity of Irregular Sampling Schemes

CEIS Working Paper No. 547
Number of pages: 52 Posted: 20 Dec 2022
Aleksey Kolokolov, Giulia Livieri and Davide Pirino
University of Manchester - Manchester Business School, Scuola Normale Superiore and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 23 (881,957)

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irregular sampling, sampling schemes, zeros, power variation.

16.

Funding Liquidity and Stocks’ Market Liquidity: Structural Estimation From High-Frequency Data

CEIS Working Paper No. 568
Number of pages: 45 Posted: 28 Nov 2023
Gian Piero Aielli and Davide Pirino
Independent and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 9 (989,226)

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Funding illiquidity, market illiquidity, structural estimation, market microstructure

17.

Zipf law and the firm size distribution: a critical discussion of popular estimators

Journal of Evolutionary Economics, vol. 25(3), pages 585-610
Posted: 18 Nov 2021
Federico Tamagni, Giulio Bottazzi and Davide Pirino
Scuola Superiore Sant'Anna di Pisa, Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM) and Department of Economics and Finance, University of Rome "Tor Vergata"

Abstract:

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Firm size distribution, Hill estimator, Power-like distribution, Tail estimators, Zipf Law