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Roberto Renò

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This is information that was supplied by Roberto Renò in registering through RePEc. If you are Roberto Renò , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Roberto
Middle Name:
Last Name: Renò
Suffix:

RePEc Short-ID: pre256

Email: [This author has chosen not to make the email address public]
Homepage: http://www.econ-pol.unisi.it/~reno
Postal Address:
Phone:

Affiliation

Dipartimento di Economia Politica e Statistics
Facoltà di Economia "Richard M. Goodwin"
Università degli Studi di Siena
Location: Siena, Italy
Homepage: http://www.deps.unisi.it/
Email:
Phone: (39)(0577)232620
Fax: (39)(0577)232661
Postal: Piazza S.Francesco,7 - 53100 Siena
Handle: RePEc:edi:desieit (more details at EDIRC)

Works

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Working papers

  1. Cecilia Mancini & Vanessa Mattiussi & Roberto Reno', 2012. "Spot Volatility Estimation Using Delta Sequences," Working Papers - Mathematical Economics 2012-10, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  2. Fulvio Corsi & Davide Pirino & Roberto Reno', 2010. "Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting," LEM Papers Series 2010/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  3. Federico M. Bandi & Roberto Reno, 2009. "Nonparametric Stochastic Volatility," Global COE Hi-Stat Discussion Paper Series gd08-035, Institute of Economic Research, Hitotsubashi University.
  4. Fulvio Corsi & Davide Pirino & Roberto Reno, 2009. "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series gd08-036, Institute of Economic Research, Hitotsubashi University.
  5. Simone Bianco & Fulvio Corsi & Roberto Reno', 2008. "Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect," Papers 0810.4912, arXiv.org.
  6. Taro Kanatani & Roberto Reno', 2007. "Unbiased covariance estimation with interpolated data," Department of Economics University of Siena 502, Department of Economics, University of Siena.
  7. Giulia Iori & Roberto Reno' & Giulia De Masi & Guido Caldarelli, 2006. "Trading strategies in the Italian interbank market," Papers physics/0611023, arXiv.org.
  8. Cecilia Mancini & Roberto Renò, 2005. "Nonparametric estimation in models with Lévy type jumps and stochastic volatility," Department of Economics University of Siena 451, Department of Economics, University of Siena.
  9. Marcello Basili & Roberto Renò & Carlo Zappia, 2005. "Production of a New Drug: A Sequential Investment ProcessUnder Uncertainty," Department of Economics University of Siena 453, Department of Economics, University of Siena.
  10. Roberto Reno' & Antonio Roma & Stephen Schaefer, 2004. "A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient," Department of Economics University of Siena 445, Department of Economics, University of Siena.
  11. Roberto Reno', 2004. "Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling," Department of Economics University of Siena 440, Department of Economics, University of Siena.
  12. Emilio Barucci & Claudio Impenna & Roberto Reno, 2003. "The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system," Temi di discussione (Economic working papers) 475, Bank of Italy, Economic Research and International Relations Area.
  13. Emilio Barucci & Roberto Monte & Roberto Reno, 2003. "Asset Price Anomalies Under Bounded Rationality," CEIS Research Paper 19, Tor Vergata University, CEIS.
  14. Monica Gentile & Roberto Renò, 2002. "Which Model for the Italian Interest Rates?," LEM Papers Series 2002/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

Articles

  1. Bandi, Federico M. & Renò, Roberto, 2012. "Time-varying leverage effects," Journal of Econometrics, Elsevier, vol. 169(1), pages 94-113.
  2. Mancini, Cecilia & Renò, Roberto, 2011. "Threshold estimation of Markov models with jumps and interest rate modeling," Journal of Econometrics, Elsevier, vol. 160(1), pages 77-92, January.
  3. Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Journal of Econometrics, Elsevier, vol. 159(2), pages 276-288, December.
  4. Davide Pirino & Roberto Renò, 2010. "Electricity Prices: A Nonparametric Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 285-299.
  5. Simone Bianco & Roberto Reno, 2009. "Unexpected volatility and intraday serial correlation," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 465-475.
  6. Renò, Roberto, 2008. "Nonparametric Estimation Of The Diffusion Coefficient Of Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 24(05), pages 1174-1206, October.
  7. Nicola Lamedica & Roberto Reno, 2007. "Integration of international bond markets: did anything change with EMU?," Applied Economics Letters, Taylor & Francis Journals, vol. 14(11), pages 829-832.
  8. Iori, Giulia & Renò, Roberto & De Masi, Giulia & Caldarelli, Guido, 2007. "Trading strategies in the Italian interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 467-479.
  9. Reno, Roberto, 2006. "Nonparametric estimation of stochastic volatility models," Economics Letters, Elsevier, vol. 90(3), pages 390-395, March.
  10. Carlo Mari & Roberto Reno, 2006. "Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(2), pages 143-153.
  11. Mari, Carlo & Reno, Roberto, 2005. "Credit risk analysis of mortgage loans: An application to the Italian market," European Journal of Operational Research, Elsevier, vol. 163(1), pages 83-93, May.
  12. Pasquale, Maria & Renò, Roberto, 2005. "Statistical properties of trading volume depending on size," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 346(3), pages 518-528.
  13. Maria Elvira Mancino & Roberto Reno, 2005. "Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(2), pages 187-199.
  14. Emilio Barucci & Roberto Monte & Roberto Ren�, 2004. "Asset Price Anomalies under Bounded Rationality," Computational Economics, Society for Computational Economics, vol. 23(3), pages 255-269, 04.
  15. Renò, Roberto & Rizza, Rosario, 2003. "Is volatility lognormal? Evidence from Italian futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 620-628.
  16. Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility and the GARCH forecasting performance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 183-200, July.
  17. Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility of diffusion processes with high frequency data," Economics Letters, Elsevier, vol. 74(3), pages 371-378, February.

NEP Fields

9 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2002-08-16
  2. NEP-ECM: Econometrics (7) 2005-01-23 2005-01-23 2007-04-28 2008-09-20 2009-03-07 2009-03-07 2010-07-17. Author is listed
  3. NEP-ETS: Econometric Time Series (4) 2008-09-20 2009-03-07 2009-03-07 2010-07-17. Author is listed
  4. NEP-FMK: Financial Markets (2) 2009-03-07 2009-03-07
  5. NEP-FOR: Forecasting (3) 2008-09-20 2009-03-07 2010-07-17. Author is listed
  6. NEP-MAC: Macroeconomics (2) 2005-01-23 2005-01-23
  7. NEP-MST: Market Microstructure (4) 2007-04-28 2008-09-20 2009-03-07 2010-07-17. Author is listed
  8. NEP-RMG: Risk Management (3) 2008-09-20 2009-03-07 2009-03-07. Author is listed

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