Roberto Renò

University of Verona - Department of Economics

Professor

Via dell'Artigliere, 8

37129 Verona

Italy

SCHOLARLY PAPERS

33

DOWNLOADS
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Top 4,642

in Total Papers Downloads

10,992

SSRN CITATIONS
Rank 6,417

SSRN RANKINGS

Top 6,417

in Total Papers Citations

135

CROSSREF CITATIONS

74

Scholarly Papers (33)

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 2,888 (5,238)
Citation 1

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market efficiency, portfolio selection, bootstrap

2.

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 621 (53,146)
Citation 10

Abstract:

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

3.

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 574 (58,623)
Citation 26

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Spot variance, stochastic volatility, jump, microstructure

4.

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 479 (73,470)
Citation 2

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5.

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

SAFE Working Paper No. 270
Number of pages: 68 Posted: 24 Mar 2020 Last Revised: 08 Sep 2020
European Union - 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 469 (75,443)
Citation 5

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

6.

V-shapes

Number of pages: 48 Posted: 24 Mar 2020 Last Revised: 05 May 2021
Maria Flora and Roberto Renò
CREST, ENSAE, Institut Polytechnique de Paris and University of Verona - Department of Economics
Downloads 460 (77,202)

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Market inefficiency, mini-flash crashes, financial fragility, price drift.

7.

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 451 (79,036)
Citation 23

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

8.

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 450 (79,234)
Citation 22

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

9.

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 421 (85,693)
Citation 5

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

10.

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 409 (88,622)
Citation 9

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

11.

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 374 (98,224)
Citation 37

Abstract:

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volatility, forecasting, jumps, HAR

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 336 (110,862)
Citation 4

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Jumps, Return predictability, Systemic events, Variance Risk Premium

13.

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 333 (111,962)
Citation 6

Abstract:

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

14.

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 320 (116,858)
Citation 1

Abstract:

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Interest Rates, Arbitrary Term, Structure, Extended CIR

15.

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 313 (119,645)
Citation 8

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Liquidity, asymmetric information, transaction cost, liquidity premium

16.

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 283 (133,126)
Citation 12

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17.

Asset Price Anomalies Under Bounded Rationality

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 282 (133,615)
Citation 1

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

18.

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 258 (146,368)
Citation 9

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19.

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

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 190 (195,518)
Citation 7

Abstract:

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Overnight market, Interest rate, Payment system

20.

Beta in the Tails

Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 12 Jun 2020
Federico M. Bandi and Roberto Renò
Johns Hopkins University and University of Verona - Department of Economics
Downloads 161 (226,685)

Abstract:

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hedge funds, diffusive risk, jump risk, beta

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 152 (237,214)

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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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22.

Systematic Staleness

Number of pages: 39 Posted: 25 Jul 2018 Last Revised: 17 Jul 2020
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 133 (263,289)
Citation 4

Abstract:

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market liquidity, funding liquidity, staleness, joint asymptotics

23.

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 132 (264,759)
Citation 19

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24.

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 125 (275,818)
Citation 1

Abstract:

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

25.

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 107 (308,016)
Citation 2

Abstract:

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Volume, Liquidity, Short-Term Options

26.

Structural Stochastic Volatility

Number of pages: 50 Posted: 19 Nov 2020
Federico M. Bandi, Nicola Fusari and Roberto Renò
Johns Hopkins University, Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 89 (346,995)

Abstract:

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short-maturity options, spot volatility, spot volatility of volatility, spot leverage

27.

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 70 (398,800)
Citation 2

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Efficiency, Volatility, Jumps, Quarticity, Multipower, Threshold

28.

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 (569,730)
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29.

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

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 29 (569,730)
Citation 2
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Volatility Matrix, Market Stability, Liquidity, Greeks, Fourier Series, Stochastic Calculus of Variations, Moving Frame

30.

Kenneth D. Garbade (2001)

Number of pages: 4 Posted: 02 May 2003
Roberto Renò
University of Verona - Department of Economics
Downloads 24 (601,308)
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31.

Jumps or Staleness?

Number of pages: 31 Posted: 12 Jul 2021
Aleksey Kolokolov and Roberto Renò
University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 16 (664,127)

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Staleness, Zeros, Jumps, Multipower variation, Jump Activity Index,

32.

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 (671,556)
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33.

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
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Dipartimento di Economia Marco Biagi di Modena and University of Verona - Department of Economics

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