Zobrazeno 1 - 10
of 27
pro vyhledávání: '"Giuseppe Buccheri"'
This article deals with the problem of estimating the volatility of a financial security in a market with frictions. We propose a microstructural model with time-varying fundamental price volatility in which the trading price varies only if the value
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1a6a1d507d309835b999978aa0349f79
https://hdl.handle.net/11562/1053249
https://hdl.handle.net/11562/1053249
Autor:
Ingrid Turisová, Pavol Midula, Stanislava Milovská, Giuseppe Buccheri, Jiří Kupka, João Xavier Matos, Peter Andráš
Publikováno v:
Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
The article is focused on the application of Energy dispersive micro X-ray fuorescence spectroscopy as a specifc method to determine the contents of potentially toxic elements and its spread in plant tissues. As a model species, Quercus spp. were sel
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e9b1aeac0b5ad31f90ef55728472cbd5
https://hdl.handle.net/10400.9/3715
https://hdl.handle.net/10400.9/3715
Autor:
Pavol Midula, Marek Drímal, Giuseppe Buccheri, Peter Andráš, Vojtech Dirner, João Xavier Matos, Ingrid Turisová, Zuzana Melichová
Publikováno v:
Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
This article reports the results of a study concerning contamination of the dump-fields by potentially toxic elements at five abandoned copper mines: Ľubietová, Špania Dolina (Slovakia), Libiola, Caporciano (Italy) and São Domingos (Portugal). Th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::695effb93b2ebb8dbc5fbb5e31bbb122
https://hdl.handle.net/10400.9/3706
https://hdl.handle.net/10400.9/3706
We provide general conditions under which a class of discrete-time volatility models driven by the score of the conditional density converges in distribution to a stochastic differential equation as the interval between observations goes to zero. We
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ad7403383d5c65764d19d4a3fe5747f9
https://www.sciencedirect.com/science/article/pii/S0304407620302669
https://www.sciencedirect.com/science/article/pii/S0304407620302669
Motivated by the empirical evidence of high-frequency lead-lag effects and cross-asset linkages, we introduce a multi-asset price formation model which generalizes standard univariate microstructure models of lagged price adjustment. Econometric infe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7138224a2433e0e3f63d3e7398268dcc
http://hdl.handle.net/10281/266189
http://hdl.handle.net/10281/266189
Publikováno v:
SSRN Electronic Journal.
We propose a model of price formation in which the trading price varies only if the value of the information signal is large enough to guarantee a profit in excess of transaction costs. Using transaction data only, we extract: (i) the conditional vol
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::62cd1ab653043049a3d2fd5f933d99fb
https://doi.org/10.2139/ssrn.3776364
https://doi.org/10.2139/ssrn.3776364
Autor:
Giuseppe Buccheri, Piero Mazzarisi
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ee12d9573fe0c8cf9721613274dba9c7
https://doi.org/10.2139/ssrn.3959941
https://doi.org/10.2139/ssrn.3959941
This note is commenting on Hasbrouck (2018). The paper investigates the problem of price discovery on markets with trades recorded at sub-millisecond frequencies. The application of the popular information share measure of Hasbrouck (1995) to such da
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a1ab9ec8746b6b5fad3b840b9d6c511b
http://hdl.handle.net/2108/253279
http://hdl.handle.net/2108/253279
We propose a class of score-driven realized covariance models where volatilities and correlations are separately estimated. We can thus combine univariate realized volatility models with a recently introduced class of score-driven realized covariance
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7ff82e9c54acacdef292fe559b6dc1c7
https://openaccess.city.ac.uk/id/eprint/25010/1/paper.pdf
https://openaccess.city.ac.uk/id/eprint/25010/1/paper.pdf
The analysis of the intraday dynamics of correlations among high-frequency returns is challenging due to the presence of asynchronous trading and market microstructure noise. Both effects may lead to significant data reduction and may severely undere
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3fa7c54e323380a2b493e1a03ca39a06
https://openaccess.city.ac.uk/id/eprint/24219/1/paperUnblinded.pdf
https://openaccess.city.ac.uk/id/eprint/24219/1/paperUnblinded.pdf