Bio

I am an Associate Professor of Econometrics in the Department of Economics at the University of Verona. Previously, I was a tenure-track Assistant Professor (RTDB) in the same department and an Assistant Professor (RTDA) at the University of Rome Tor Vergata. I also spent two years as a postdoctoral researcher in the Group of Quantitative Finance at Scuola Normale Superiore. 

I hold a PhD in Financial Mathematics from Scuola Normale Superiore (2018), a MSc in Finance from Bocconi University (2013) and a MSc in Theoretical Physics from the University of Catania (2012).

My research interests are in Financial Econometrics, Market Microstructure, Nonlinear Filtering, Financial Economics.

My CV can be downloaded here. My Google Scholar profile can be found here.

Published Articles

• (2024) G. Buccheri, P. Mazzarisi, Realized Random Graphs, with an Application to the Interbank Network, forthcoming in Journal of Financial Econometrics [SSRN, Journal]

• (2023) G. Buccheri, S. Grassi, G. Vocalelli, Estimating risk in illiquid markets: a model of market friction with stochastic volatility, Journal of Financial Econometrics [SSRN, Journal]

• (2022) G. Buccheri, G. A. Mboussa, High-dimensional Realized Covariance Estimation: a Parametric Approach, Quantitative Finance [SSRN, Journal]

• (2021) G. Buccheri, F. Corsi, F. Flandoli, G. Livieri, The Continuous-Time Limit of Score-Driven Volatility Models, Journal of Econometrics [SSRN, Journal]

• (2020) G. Buccheri, D. Pirino and L. Trapin, Managing liquidity with portfolio staleness, Decisions in Economics and Finance [SSRN, Journal]

• (2020) D. Vassallo, G. Buccheri and F. Corsi, A DCC-Type Approach for Realized Covariance Modelling With Score-Driven Dynamics, International Journal of Forecasting [SSRN, Journal]

• (2020) G. Buccheri, G. Bormetti, F. Corsi and F. Lillo, A score-driven conditional correlation model for noisy and asynchronous data: an application to high-frequency covariance dynamics, Journal of Business and Economic Statistics [SSRN, Journal]

• (2019) G. Buccheri, F. Corsi and S. Peluso, High-Frequency Lead-Lag Effects and Cross-Asset Linkages: a Multi-Asset Lagged Adjustment Model,  Journal of Business and Economic Statistics [SSRN, Journal]

• (2019) G. Buccheri and F. Corsi,  HARK the SHARK: Realized volatility modelling with measurement errors and nonlinear dependencies,  Journal of Financial Econometrics [SSRN, Journal]

• (2019) G. Buccheri, G. Livieri, D. Pirino and A. Pollastri, A closed-form formula characterization of the Epps effect, Quantitative Finance [SSRN, Journal]

• (2019) G. Buccheri, G. Bormetti, F. Corsi and F. Lillo, Comment on: Price Discovery in High Resolution, Journal of Financial Econometrics [SSRN, Journal]

• (2013) G. Buccheri, S. Marmi and R.N. Mantegna, Evolution of correlation structure of industrial indices of US equity markets, Physical Review E [SSRN, Journal]

• (2012) F. Siringo and G. Buccheri, Radiative electroweak corrections to Higgs production via Vector Boson Fusion using SCET: Numerical Results, Physical Review D [Arxiv, Journal]

Working Papers

• (2024) G. Buccheri, F. Corsi, Model Selection in Multivariate Nonlinear Regression using the Jackknife Von Neumann Estimator [SSRN]

• (2024) G. Buccheri, F. Corsi, E. Dzuverovic, From rotational to scalar invariance: Enhancing identifiability in score-driven factor models [SSRN]

• (2023) G. Buccheri, R. Renò, G. Vocalelli, Taking advantage of biased proxies for forecast evaluation [SSRN]

• (2023) G. Buccheri, G. Bormetti, F. Corsi and F. Lillo, Beyond the normal approximation: robust filtering and smoothing via perturbation methods [SSRN]

• (2022) G. Buccheri, Identification of continuous-time linear filters when only discrete-time data is available [SSRN]