Davide Pirino

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

Via Columbia 2

Rome, Lazio 00133

Italy

SCHOLARLY PAPERS

13

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1,899

SSRN CITATIONS
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Top 23,743

in Total Papers Citations

12

CROSSREF CITATIONS

20

Scholarly Papers (13)

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 University of Verona - Department of Economics
Downloads 354 (87,105)
Citation 19

Abstract:

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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 University of Verona - Department of Economics
Downloads 284 (111,031)
Citation 4

Abstract:

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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
Scuola Normale Superiore, Università di Bologna and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 246 (129,022)
Citation 7

Abstract:

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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
University of Pisa - Department of Economics, Università di Bologna, Department of Economics and Finance, University of Rome "Tor Vergata" and Catholic University of Milan
Downloads 225 (140,851)
Citation 5

Abstract:

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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 151 (201,511)

Abstract:

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

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 149 (204,185)

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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

Abstract:

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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 142 (212,000)
Citation 12

Abstract:

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corporate coherence, relatedness, null model analysis, patent data

8.

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 109 (258,736)

Abstract:

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

9.

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 69 (343,656)
Citation 3

Abstract:

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market liquidity, funding liquidity, staleness, infill asymptotics

10.

Zeros

Number of pages: 22 Posted: 02 Jan 2020
Johns Hopkins University - Carey Business School, University of Manchester - Manchester Business School, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 55 (385,321)
Citation 1

Abstract:

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Volume, Liquidity, Short-Term Options

11.

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 46 (416,254)

Abstract:

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

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
Scuola Normale Superiore, Department of Economics and Finance, University of Rome "Tor Vergata" and Catholic University of Milan
Downloads 37 (452,099)

Abstract:

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Portfolio Liquidity, Investments, Price Staleness, HAR

13.

A Closed-Formula Characterization of the Epps Effect

Number of pages: 46 Posted: 20 Oct 2018 Last Revised: 23 Oct 2018
Scuola Normale Superiore, Scuola Normale Superiore, Department of Economics and Finance, University of Rome "Tor Vergata" and Scuola Normale Superiore
Downloads 32 (474,364)
Citation 2

Abstract:

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Epps Effect, Realized Covariance, Fill Asymptotic, Liquidity