Items where Author is "Buccheri, G."
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
Buccheri, G., Corsi, F. ORCID: 0000-0003-2683-4479, Flandoli, F. & Livieri, G. (2021).
The continuous-time limit of score-driven volatility models.
Journal of Econometrics, 221(2),
pp. 655-675.
doi: 10.1016/j.jeconom.2020.07.042
Vassallo, D., Buccheri, G. & Corsi, F. ORCID: 0000-0003-2683-4479 (2020).
A DCC-type approach for realized covariance modeling with score-driven dynamics.
International Journal of Forecasting, 37(2),
pp. 569-586.
doi: 10.1016/j.ijforecast.2020.07.006
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
Buccheri, G. & Corsi, F. ORCID: 0000-0003-2683-4479 (2019).
HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies.
Journal of Financial Econometrics, 19(4),
pp. 614-649.
doi: 10.1093/jjfinec/nbz025
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