Roberto Renò
Biographic Data
| ID | 8762005 |
|---|---|
| NAME | Roberto Renò |
| GIVEN NAMES | Roberto |
| FAMILY NAME | Renò |
| SIGNATURE | RENO R |
| AFFILIATIONS | University of Siena |
| ORCID | 0000-0002-1470-2420 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 1 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2012 |
| LATEST PUBLICATION YEAR | 2012 |
| H-INDEX | 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 …
No prominent works on this page.
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 work) · Complex Systems and Time Series Analysis (1 work) · Computer Science (1 work) · Econometrics (1 work) · Economics (1 work) · Financial Risk and Volatility Modeling (1 work) · Forward volatility (1 work) · Implied volatility (1 work) · Jump (1 work) · Leverage effect (1 work)