Sfoglia per Autore
Smile from the past: A general option pricing framework with multiple volatility and leverage components
2015 Majewski, ADAM ALEKSANDER; Bormetti, Giacomo; Corsi, Fulvio
A Stylized Model for Long-Run Index Return Dynamics
2016 Angelini, Natascia; Bormetti, Giacomo; Marmi, Stefano; Nardini, Franco
Coupling news sentiment with web browsing data predicts intra-day stock prices
2016 Gabriele, Ranco; Ilaria, Bordino; Bormetti, Giacomo; Guido, Caldarelli; Lillo, Fabrizio; Michele, Treccani
A stochastic volatility framework with analytical filtering
2017 Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; Livieri, Giulia
A backward Monte Carlo approach to exotic option pricing
2017 Bormetti, G.; Callegaro, G.; Livieri, G.; Pallavicini, A.
Comment on: Price Discovery in High Resolution
2019 Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio
A Stochastic Volatility Model With Realized Measures for Option Pricing
2019 Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; Livieri, Giulia
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics
2021 Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio
A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics
2022 Vassallo, Danilo; Bormetti, Giacomo; Lillo, Fabrizio
Measuring price impact and information content of trades in a time-varying setting
2023 Campigli, Francesco; Bormetti, Giacomo; Lillo, Fabrizio
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