Giulia Livieri

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

SCHOLARLY PAPERS

12

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1,335

SSRN CITATIONS
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Top 35,863

in Total Papers Citations

13

CROSSREF CITATIONS

9

Scholarly Papers (12)

1.

A Stochastic Volatility Model with Realized Measures for Option Pricing

Number of pages: 86 Posted: 19 Jul 2016 Last Revised: 26 Mar 2019
University of Bologna - Department of Mathematics, University Ca' Foscari of Venice - Department of Economics, University of Pisa - Department of Economics and Scuola Normale Superiore
Downloads 323 (114,489)
Citation 1

Abstract:

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Bayesian Inference, Monte Carlo Markov Chain, High-frequency, Realized volatility, HARG, Stochastic volatility, Option pricing

2.

Liquidity Fluctuations and the Latent Dynamics of Price Impact

Number of pages: 40 Posted: 14 Aug 2018 Last Revised: 22 Dec 2020
Bloomberg LP, Imperial College London - Department of Physics, Università di Bologna and Scuola Normale Superiore
Downloads 306 (121,288)

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market impact, market liquidity, Kalman filter, dynamic linear models, order book depth

3.

A Backward Monte Carlo Approach to Exotic Option Pricing

Number of pages: 47 Posted: 05 Nov 2015 Last Revised: 04 Oct 2016
University of Bologna - Department of Mathematics, University of Padua, Scuola Normale Superiore and Banca IMI
Downloads 161 (223,192)
Citation 7

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Monte Carlo, Variance Reduction, Quantization, Markov Generator, Local Volatility, Option Pricing

4.

Rough Volatility: Evidence from Option Prices

Number of pages: 18 Posted: 10 Feb 2017
Scuola Normale Superiore, Université Paris VI Pierre et Marie Curie, Banca IMI and Ecole Polytechnique, Palaiseau
Downloads 121 (279,661)
Citation 3

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Rough Volatility, Fractional Brownian Motion, Implied Volatility, Medvedev-Scaillet Approximation

5.

The Continuous-Time Limit of Score-Driven Volatility Models

Number of pages: 44 Posted: 13 Jun 2019
University of Rome Tor Vergata, University of Pisa - Department of Economics, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 78 (371,814)
Citation 1

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

6.

Stock Recommendations from Stochastic Discounted Cash Flows

Number of pages: 16 Posted: 01 Jul 2020 Last Revised: 30 Mar 2021
Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM), University of Pisa - Department of Economics and Management, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 73 (385,879)

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Stochastic Discounted Cash Flow, Asset Valuation, Valuation Uncertainty, Portfolio Strategy

7.

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 66 (407,437)
Citation 2

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

8.

Uncertainty in Firm Valuation and a Cross-Sectional Misvaluation Measure

Number of pages: 31 Posted: 25 Jun 2020 Last Revised: 12 Apr 2021
Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM), University of Pisa - Department of Economics and Management, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 65 (410,591)
Citation 1

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Stochastic Discounted Cash Flow, Valuation Uncertainty, Valuation Factor, Kalman Filter.

9.

Financial Cyclical Factors and Growth: Insights from an Augmented Stochastic Solow Growth Model

Number of pages: 33 Posted: 19 Jul 2016
Michael Donadelli, Giulia Livieri and Antonio Paradiso
University of Brescia, Scuola Normale Superiore and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 49 (468,529)

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Stochastic Growth Model, Cyclical Fluctuations, Financial Factors, State Space Model

10.

A Closed-Formula Characterization of the Epps Effect

Number of pages: 46 Posted: 20 Oct 2018 Last Revised: 23 Oct 2018
University of Rome Tor Vergata, Scuola Normale Superiore, Department of Economics and Finance, University of Rome "Tor Vergata" and Scuola Normale Superiore
Downloads 47 (476,721)
Citation 5

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Epps Effect, Realized Covariance, Fill Asymptotic, Liquidity

11.

Asymptotic Results for the Fourier Estimator of the Integrated Quarticity

Number of pages: 31 Posted: 05 Dec 2018 Last Revised: 26 Jun 2019
Giulia Livieri, Maria Elvira Mancino and Stefano Marmi
Scuola Normale Superiore, University of Florence - Department of Economics and Management and Scuola Normale Superiore
Downloads 24 (595,416)

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(powers of) volatility estimation, quarticity, central limit theorem, Fourier analysis, high frequency data

12.

N-Player Games and Mean-Field Games With Smooth Dependence on Past Absorptions

Number of pages: 42 Posted: 15 Feb 2019
Luciano Campi, Maddalena Ghio and Giulia Livieri
London School of Economics & Political Science (LSE), Scuola Normale Superiore and Scuola Normale Superiore
Downloads 22 (608,772)

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Nash Equilibrium; Mean-Field Game; Absorbing Boundary; McKean-Vlasov Limit; Controlled Martingale Problem; Relaxed Control