Research papers

Published articles:

1. Mariotti, T., Lillo, F. and Toscano, G. (2022) From Zero-intelligence to queue-reactive: limit order book modeling for high-frequency volatility estimation and optimal execution. 

Quantitative Finance,  23(3): 367-388.

DOI 

SSRN 

2. Toscano, G., Livieri, G., Mancino, M.E. and Marmi, S. (2022) 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 (forthcoming).

DOI 

SSRN 

3. Raffaelli, I., Scotti, S. and Toscano, G. (2021) Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S&P500 data.

Annals of Operations Research (forthcoming).

DOI 

SSRN 

4. 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.

DOI (open access)

5. 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.

DOI

SSRN 

6. 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.

DOI

SSRN 

7. 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.

DOI (open access)

8. 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.

DOI  

SSRN 

R&R:

9. Mancino, M.E., Mariotti, T.  and Toscano, G. (2022) Asymptotic normality for the Fourier spot volatility estimator in the presence of microstructure noise. 

SSRN 

10. Brini, A.  and Toscano, G. (2024) SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-Vol-informed graph attention networks.

ArXiv 

11. Mancino, M.E., Mariotti, T.  and Toscano, G. (2024) Asymptotic Normality of the Fourier multivariate spot volatility estimator with asynchronous high-frequency prices and an application to spot beta estimation.

12. Sanfelici, S.  and Toscano, G. (2024) The Fourier-Malliavin Volatility (FMVol) toolbox for MATLAB.