Roberto Renò
Datos Biográficos
| ID | 8762005 |
|---|---|
| NOMBRE | Roberto Renò |
| NOMBRES | Roberto |
| APELLIDO | Renò |
| FIRMA | RENO R |
| AFILIACIONES | University of Siena |
| ORCID | 0000-0002-1470-2420 |
| VERIFICADO | Sí |
| TOTAL DE OBRAS | 1 |
| TOTAL DE CITAS | 0 |
| TOTAL COMO AUTOR | 1 |
| TOTAL COMO EDITOR | 0 |
| PRIMER AÑO DE PUBLICACIÓN | 2012 |
| AÑO MÁS RECIENTE DE PUBLICACIÓN | 2012 |
| ÍNDICE H | 0 |
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
We first propose a reduced-form model in discrete time for S&P 500 volatility showing that the forecasting performance can be significantly improved by introducing a persistent leverage effect with a long-range dependence similar to that of volatility itself. We also find a strongly significant positive impact of lagged jumps on volatility, which however is absorbed more quickly. We then estimate continuous-time stochastic volatility models that …
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Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
We first propose a reduced-form model in discrete time for S&P 500 volatility showing that the forecasting performance can be significantly improved by introducing a persistent leverage effect with a long-range dependence similar to that of volatility itself. We also find a strongly significant positive impact of lagged jumps on volatility, which however is absorbed more quickly. We then estimate continuous-time stochastic volatility models that …
Autoregressive conditional heteroskedasticity (1 obra) · Complex Systems and Time Series Analysis (1 obra) · Computer Science (1 obra) · Econometrics (1 obra) · Economics (1 obra) · Financial Risk and Volatility Modeling (1 obra) · Forward volatility (1 obra) · Implied volatility (1 obra) · Jump (1 obra) · Leverage effect (1 obra)