Asymptotic theory for high-frequency nonparametric volatility estimation
Mancino, M.E., Mariotti, T. and Toscano, G. (2024) Spot beta estimation with noisy asynchronous prices. In press, Quantitative Finance.
Mancino, M.E., Mariotti, T. and Toscano, G. (2024) Asymptotic normality for the Fourier spot volatility estimator in the presence of microstructure noise. In press, Journal of Business and Economic Statistics.
Toscano, G., Livieri, G., Mancino, M.E. and Marmi, S. (2024) Volatility of volatility estimation: central limit theorems for the Fourier transform estimators and empirical study of daily time series stylized facts. Journal of Financial Econometrics, 22(1): 252-296.
Mancino, M.E. and Toscano, G. (2022) Rate-efficient asymptotic normality for the Fourier estimator of the leverage process. Statistics and Its Interface, 15(1): 73-89.
Toscano, G. and Recchioni, M.C. (2022) Bias-optimal vol-of-vol estimation: the role of window overlapping. Decisions in Economics and Finance, 45(1): 137-185.
Stochastic volatility modeling and applications
Raffaelli, I., Scotti, S. and Toscano, G. (2024) Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S&P500 data. Annals of Operations Research, 336: 27-45.
Toscano, G. (2022) The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes. Applied Stochastic Models in Business and Industry, 38(3): 497-511.
Mancino, M.E., Scotti, S. and Toscano, G. (2020) Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. Applied Mathematical Finance, 27(4): 288-316.
Mariotti, T., Lillo, F. and Toscano, G. (2023) From Zero-intelligence to queue-reactive: limit order book modeling for high-frequency volatility estimation and optimal execution. Quantitative Finance, 23(3): 367-388.
Volatility forecasting
Brini, A. and Toscano, G. (2024) SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks. In press, International Journal of Forecasting.
Time series analysis
Orlandi, A. and Toscano, G. (2021) The foreign exchange market in Barcelona at the beginning of the fifteenth century. Financial History Review, 28(1): 124-151.
Coding
Sanfelici, S. and Toscano, G. (2024) The Fourier-Malliavin Volatility (FMVol) toolbox for MATLAB. Mathematics and Computers in Simulation, 226: 338-353.