Search Results - "Pirino, Davide"

Threshold bipower variation and the impact of jumps on volatility forecasting by Corsi, Fulvio, Pirino, Davide, Renò, Roberto

“…This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility…”
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Managing liquidity with portfolio staleness by Buccheri, Giuseppe, Pirino, Davide, Trapin, Luca

“…Liquidity is a risk factor of primary relevance that can significantly affect the asset allocation decisions of investors. In this paper, we introduce the…”
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A SHARP model of bid–ask spread forecasts by Cattivelli, Luca, Pirino, Davide

“…This paper proposes an accurate, parsimonious and fast-to-estimate forecasting model for integer-valued time series with long memory and seasonality. The…”
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Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction by Di Gangi, Domenico, Lillo, Fabrizio, Pirino, Davide

“…Monitoring and assessing systemic risk in financial markets is of great importance but it often requires data that are unavailable or available at a very low…”
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Statistical inferences for price staleness by Kolokolov, Aleksey, Livieri, Giulia, Pirino, Davide

“…This paper proposes a nonparametric theory for statistical inferences on zero returns of high-frequency asset prices. Using an infill asymptotic design, we…”
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Measuring the propagation of financial distress with Granger-causality tail risk networks by Corsi, Fulvio, Lillo, Fabrizio, Pirino, Davide, Trapin, Luca

“…Using the test of Granger-causality in tail of Hong et al. (2009), we define and construct Granger-causality tail risk networks between 33 systemically…”
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The impact of systemic and illiquidity risk on financing with risky collateral by Lillo, Fabrizio, Pirino, Davide

“…Repurchase agreements (repos) are one of the most important sources of funding liquidity for many financial investors and intermediaries. In a repo, some…”
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Zeros by Bandi, Federico M., Kolokolov, Aleksey, Pirino, Davide, Renò, Roberto

“…Asset prices can be stale. We define price staleness as a lack of price adjustments yielding zero returns (i.e., zeros). The term idleness (respectively, near…”
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Systematic staleness by Bandi, Federico M., Pirino, Davide, Renò, Roberto

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EXCESS IDLE TIME by Bandi, Federico M., Pirino, Davide, Renó, Roberto

“…We introduce a novel economic indicator, named excess idle time (EXIT), measuring the extent of sluggishness in financial prices. Under a null and an…”
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Jump detection and long range dependence by Pirino, Davide

“…Memory properties of financial assets are investigated. Using Detrended Fluctuation Analysis we show that the long memory detection in volatility is affected…”
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Zipf law and the firm size distribution: a critical discussion of popular estimators by Bottazzi, Giulio, Pirino, Davide, Tamagni, Federico

“…The upper tail of the firm size distribution is often assumed to follow a Power Law. Several recent papers, using different estimators and different data sets,…”
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A closed-form formula characterization of the Epps effect by Buccheri, Giuseppe, Livieri, Giulia, Pirino, Davide, Pollastri, Alessandro

“…In this study we provide an analytical characterization of the impact of zero returns on the popular realized covariance estimator of Barndorff-Nielsen and…”
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Testing liquidity: A statistical theory based on asset staleness by Pirino, Davide, Pollastri, Alessandro, Trapin, Luca

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influence of the astrocyte field on neuronal dynamics and synchronization by Allegrini, Paolo, Fronzoni, Leone, Pirino, Davide

“…Astrocytes can sense local synaptic release of glutamate by metabotropic glutamate receptors. Receptor activation in turn can mediate transient increases of…”
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The extraction of natural resources: The role of thermodynamic efficiency by Roma, Antonio, Pirino, Davide

“…The modelling of production in microeconomics has been the subject of heated debate. The controversial issues include the substitutability between production…”
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Decidability in complex social choices by Amendola, Gennaro, Marengo, Luigi, Pirino, Davide, Settepanella, Simona, Takemura, Akimichi

“…In this paper, we develop on a geometric model of social choice among bundles of interdependent elements (objects). Social choice can be seen as a process of…”
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Detecting correlations among functional-sequence motifs by Pirino, Davide, Rigosa, Jacopo, Ledda, Alice, Ferretti, Luca

“…Sequence motifs are words of nucleotides in DNA with biological functions, e.g., gene regulation. Identification of such words proceeds through rejection of…”
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Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction by Di Gangi, Domenico, Lillo, Fabrizio, Pirino, Davide

“…Assessing systemic risk in financial markets is of great importance but it often requires data that are unavailable or available at a very low frequency. For…”
Get full text