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Publications by Roberto Renò

Nonparametric Stochastic Volatility

Econometric Theory

Social Sciences

English

Dynamics of Intraday Serial Correlation in the Italian Futures Market

Journal of Futures Markets

English

Related publications

Parametric and Nonparametric Volatility Measurement

English

Stochastic Volatility and Stochastic Leverage

Annals of Finance

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Stochastic Volatility of Volatility in Continuous Time

SSRN Electronic Journal

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Nonparametric Stochastic Discount Factor Decomposition

English

Nonparametric Stochastic Discount Factor Decomposition

English

Herding and Stochastic Volatility

SSRN Electronic Journal

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Stochastic Volatility Models With Volatility Driven by Fractional Brownian Motions

Communications in Information and Systems

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Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility

SSRN Electronic Journal

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It's All About Volatility of Volatility: Evidence From a Two-Factor Stochastic Volatility Model

Journal of Empirical Finance

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