TOSCANO, GIACOMO
TOSCANO, GIACOMO
Scienze per l'Economia e l'Impresa
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Risultati 1 - 8 di 8 (tempo di esecuzione: 0.014 secondi).
Bias-optimal vol-of-vol estimation: the role of window overlapping
2022 Toscano G.; Recchioni M.C.
From Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution
2023 Tommaso Mariotti, Fabrizio Lillo, Giacomo Toscano
Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data
2022 Raffaelli, Iacopo; Scotti, Simone; Toscano, Giacomo
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data
2020 M.E. MANCINO , S. SCOTTI , G. TOSCANO
Rate Efficient Asymptotic Normality for the Fourier Estimator of the Leverage Process
2022 Maria Elvira Mancino ; Giacomo Toscano
The foreign exchange market in Barcelona at the beginning of the fifteenth century
2021 Orlandi A.; Toscano G.
The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes
2022 Toscano, G
Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts
2022 Giacomo Toscano; Giulia Livieri; Maria Elvira Mancino; Stefano Marmi