2 citations · 3 across the 2 of their papers we have counts for
2 papers
q-fin.ST2013★ 2 cited
Modelling systemic price cojumps with Hawkes factor models
Giacomo Bormetti, Lucio Maria Calcagnile, Michele Treccani +3
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian St…
q-fin.ST2008★ 1 cited
Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect
Simone Bianco, Fulvio Corsi, Roberto Reno'
We study the relation between serial correlation of financial returns and volatility at intraday level for the S&P500 stock index. At daily and weekly level, serial correlation and…