PUBLISHED PAPERS

1. Ferrara, G., Flora, M. and Renò, R., The impact of COVID-19 on Italian sovereign bond market quality, Journal of Financial Services Research, Forthcoming

2. Kolokolov, A. and Renò, R., Jumps or staleness?, Journal of Business and Economic Statistics, Forthcoming

3. Bandi, F., Pirino, D. and Renò, R., Systematic Staleness, Journal of Econometrics, Forthcoming

4. Menkveld, A. et al., Non-standard errors, Journal of Finance, Forthcoming

5. Christensen, K, Oomen, R. and Renò, R., The drift burst hypothesis, Journal of Econometrics, 2022, 227(2), 461-497

6. Bandi, F. and Renò, R., β in the tails, Journal of Econometrics, 2022, 227(1), 134-150

7. Bandi, F., Kolokolov, A., Pirino, D. and Renò, R., Zeros, Management Science, 2020, 66(8), 3466-3479

8. Bandi, F. and Renò, R., Nonparametric Stochastic Volatility, Econometric Theory, 2018, 34(6), 1207-1255

9. Pacati, C., Pompa, G., and Renò, R., Smiling Twice: the Heston++ model, Journal of Banking and Finance, 2018, 96, 185-206

10. Oliva, I., and Renò, R., Optimal Portfolio Allocation with Volatility and Co-jump Risk that Markowitz would like, Journal of Economic Dynamics and Control, 2018, 94, 242-256

11. Kolokolov, A. and Renò, R., Efficient Multipowers, Journal of Financial Econometrics, 2018, 16(4), 629-659

12. Bandi, F., Pirino, D. and Renò, R., EXcess Idle Time, Econometrica, 2017, 85(6), 1793-1846

13. Caporin, M., Kolokolov, A. and Renò, R., Systemic Co-jumps, Journal of Financial Economics, 2017, 126(3), 563-591

14. Bandi, F. and Renò, R., Price and volatility co-jumps, Journal of Financial Economics, 2016, 119(1), 107-146

15. Mancini, C., Mattiussi, V., and Renò, R., Spot volatility estimation with delta sequences, Finance & Stochastics, 2015, 19(2), 261-293

16. Pacati, C., Renò, R. and Santilli, M., Heston model: shifting on the volatility surface, Risk, 2014, November, 54-59

17. Marmi, S., Pacati, C., Renò, R. and Risso, W. A., A quantitative approach to Faber’s tactical asset allocation, International Journal of Computational Economics and Econometrics, 2013, 3(1), 91-101

18. Bandi, F. and Renò, R., Time-varying leverage effects, Journal of Econometrics, 2012, 161, 94-113

19. Corsi, F. and Renò, R., Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling, Journal of Business and Economic Statistics, 2012, 30(3), 368-380

20. Mancini, C. and Renò, R., Threshold estimation of jump-diffusion models and interest rate modeling, Journal of Econometrics, 2011, 160, 77-92

21. Corsi, F., Pirino, D. and Renò, R., Threshold bipower variation and the impact of jumps on volatility forecasting, Journal of Econometrics, 2010, 159, 276-288

22. Bianco, S., Corsi, F. and Renò, R., Intraday LeBaron effects, Proceedings of the National Academy of Science of the USA, 2009, 106: 11439-11443

23. Pirino, D. and Renò, R., Electricity prices: A nonparametric approach, International Journal of Theoretical and Applied Finance, 2010, 13(02), 285-299

24. Bianco, S. and Renò, R., Unexpected volatility and intraday serial correlation, Quantitative Finance, 2009, 9(4), 465-475

25. Renò, R., Nonparametric estimation of the diffusion coefficient of stochastic volatility models, Econometric Theory, 2008, 24(5), 1174-1206

26. Mannolini, A., Mari, C. and Renò, R., Pricing caps and floors with the extended CIR model, International Journal of Finance & Economics, 2008, 13(4), 386-400

27. Basili, M., Zappia, C. and Renò, R., Asset prices and multiple reference points, Journal of Financial Decision Making, 2008, 4, 71-81

28. Iori, G., Renò, R., De Masi, G. and Caldarelli, G., Trading strategies in the Italian interbank market, Physica A: Statistical Mechanics and its Applications, 2007, 376, 467-479

29. Lamedica, N. and Renò, R., Integration of international bond markets: did anything change with EMU?, Applied Economics Letters, 2007, 14(11), 829-832

30. Renò, R., Nonparametric estimation of stochastic volatility models, Economics Letters, 2006, 90, 390-395

31. Bianco, S. and Renò, R., Dynamics of intraday serial correlation in the Italian futures market, Journal of Futures Markets, 2006, 26(1), 61-84

32. Renò, R., Roma, A. and Schaefer, S., A Comparison of Alternative Non?parametric Estimators of the Short Rate Diffusion Coefficient, Economic Notes, 2006, 35(3), 227-252

33. Mari, C. and Renò, R., Arbitrary initial term structure within the CIR model: A perturbative solution, Applied Mathematical Finance, 2006, 13(2), 143-153

34. Chukanov, C. et al., Production properties of K(892)+-vector mesons and their spin alignment as measured in the NOMAD experiment*, European Physical Journal C, 2006, 46, 69-79

35. Mari, C. and Renò, R., Credit risk analysis of mortgage loans: an application to the Italian market’, European Journal of Operational Research, 2005, 163:83-93

36. Mancino, M. E. and Renò, R., Dynamic principal component analysis of multivariate volatility via Fourier analysis, Applied Mathematical Finance, 2005, 12(2), 187-199

37. Gentile, M. and Renò, R., Specification analysis of diffusion models for the Italian short rate, Economic Notes, 2005, 34(1), 51-83

38. Renò, R. and Uboldi, A., On the presence of unspanned volatility in European interest rate options, Applied Financial Economics Letters, 2005, 1(1), 15-18

39. Pasquale, M. and Renò, R., Statistical properties of trading volume depending on size, Physica A: Statistical Mechanics and its Applications, 2005, 346(3), 518-528

40. Barucci, E., Impenna, C. and Renò, R., The Italian Overnight Market: microstructure effects, the martingale hypothesis and the payment system, Research in Banking and Finance, 2004, 4, 321-362

41. Barucci, E., Monte, R. and Renò, R., Asset prices anomalies under bounded rationality, Computational Economics, 2004, 23(3), 255-269

42. Barucci, E., Malliavin, P., Mancino, M., Renò, R. and Thalmaier, A., The price-volatility feedback rate: an implementable mathematical indicator of market stability, Mathematical Finance, 2003, 13: 17-35

43. Renò, R., A closer look at the Epps effect, International Journal of Theoretical and Applied Finance, 2003, 6(01), 87-102

44. Renò, R. and Rizza, R., Is volatility lognormal? Evidence from Italian futures, Physica A: Statistical Mechanics and its Applications, 2003, 322, 620-628

45. Astier, P. et al., Search for νμ → νe oscillations in the NOMAD experiment, Physics Letters B, 2003, 570(1), 19-31

46. Barucci, E. and Renò, R., On Measuring Volatility and the GARCH Forecasting Performance, Journal of International Financial Markets, Institutions and Money, 2002, 12: 183-200

47. Barucci, E. and Renò, R., On measuring volatility of diffusion processes with high frequency data, Economics Letters, 2002, 74: 371-378

48. Astier, P. et al., A more sensitive search for νμ → νe oscillations in NOMAD, Physics Letters B, 1999, 453(1), 169-186

WORKING PAPERS

1. 0DTE Option Pricing, with F. Bandi and N. Fusari

2. Taking advantage of biased proxies for forecast evaluation, with G. Buccheri and G. Vocalelli

3. Structural Stochastic Volatility, with F. Bandi and N. Fusari

4. Realized Drift, with S. Laurent and S. Shi

5. BUMVU Estimators, with A. Kolokolov and P. Zoi

6. V-Shapes, with M. Flora

7. Local Edgeworth Expansions, with F. Bandi, pdf

8. Do Designated Market Makers Provide Liquidity During Extreme Price Movements? with M. Bellia, K. Christensen, A. Kolokolov and L. Pelizzon

RESEARCH PROJECTS

1. A New Paradigm for High-Frequency Finance
   Financed by MUR, under the program FIS 2021 (Fondo Italiano per la Scienza) 

2. PRICE: A New Paradigm for High-Frequency Finance
   Principal Investigator: Davide Pirino.
   Financed by MUR, under the program PRIN 2022.

3.  HiDEA: Advanced Econometrics for High Frequency Data, website
   Financed by MUR, under the program PRIN 2017.

POSTDOCS

• Guido Gazzani - 2024-present, financed with FIS 2021

• Giorgio Vocalelli
  University of Verona - 2021-present, financed with PRIN 2017 and PRIN 2022

• Francesco Benvenuti
  University of Verona - 2020-2021, financed with PRIN 2017

• Maria Flora
  University of Verona - 2019-2021, financed by the Department of Economics of the University of Verona