Items where Author is "Bormetti, G."
Buccheri, G., Bormetti, G., Corsi, F. 
ORCID: 0000-0003-2683-4479 & Lillo, F. (2020).
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics.
Journal of Business and Economic Statistics, 39(4),
pp. 920-936.
doi: 10.1080/07350015.2020.1739530
Bormetti, G., Casarin, R., Corsi, F. ORCID: 0000-0003-2683-4479 & Livieri, G. (2019).
A Stochastic Volatility Model With Realized Measures for Option Pricing.
Journal of Business & Economic Statistics, 38(4),
pp. 856-871.
doi: 10.1080/07350015.2019.1604371
Alitab, D., Bormetti, G., Corsi, F. & Majewski, A. A. (2019). A realized volatility approach to option pricing with continuous and jump variance components. Decisions in Economics and Finance, 42(2), pp. 639-664. doi: 10.1007/s10203-019-00241-2
Buccheri, G., Bormetti, G., Corsi, F. ORCID: 0000-0003-2683-4479 & Lillo, F. (2019).
Comment on: Price Discovery in High Resolution.
Journal of Financial Econometrics, 19(3),
pp. 439-451.
doi: 10.1093/jjfinec/nbz008
Alitab, D., Bormetti, G., Corsi, F. ORCID: 0000-0003-2683-4479 & Majewski, A. A. (2019).
A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing.
Journal of Financial Econometrics, 18(1),
pp. 121-157.
doi: 10.1093/jjfinec/nbz001
Majewski, A. A., Bormetti, G. & Corsi, F. (2015). Smile from the past: A general option pricing framework with multiple volatility and leverage components. Journal of Econometrics, 187(2), pp. 521-531. doi: 10.1016/j.jeconom.2015.02.036
Bormetti, G., Calcagnile, L. M., Treccani, M. , Corsi, F., Marmi, S. & Lillo, F (2015). Modelling systemic price cojumps with Hawkes factor models. Quantitative Finance, 15(7), pp. 1137-1156. doi: 10.1080/14697688.2014.996586
Majewski, A. A., Bormetti, G. & Corsi, F. (2013). Smile from the Past: A general option pricing framework with multiple volatility and leverage components (13/11). London, UK: Department of Economics, City University London.