3 citations · 8 across the 8 of their papers we have counts for
Showing 2018Show all
2 papers · 1 filter
q-fin.TR2018★ 3 cited
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi +1
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…
stat.ME2018
Robust filtering and smoothing via perturbation methods
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi +1
Using a perturbation technique, we derive a new approximate filtering and smoothing methodology generalizing along different directions several existing approaches to robust filter…