Items where Author is "Peluso, S."
Buccheri, G., Corsi, F. 
ORCID: 0000-0003-2683-4479 & Peluso, S. (2021).
High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model.
Journal of Business & Economic Statistics, 39(3),
pp. 605-621.
doi: 10.1080/07350015.2019.1697699
Peluso, S., Corsi, F. & Mira, A. (2015). A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns. Journal of Financial Econometrics, 13(3), pp. 665-697. doi: 10.1093/jjfinec/nbu017
Corsi, F., Peluso, S. & Audrino, F. (2015). Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. Journal of Applied Econometrics, 30(3), pp. 377-397. doi: 10.1002/jae.2378