Items where Author is "Lillo, F."
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., 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
Corsi, F., Lillo, F., Pirino, D. & Trapin, L. (2018). Measuring the propagation of financial distress with Granger-causality tail risk networks. Journal of Financial Stability, 38, pp. 18-36. doi: 10.1016/j.jfs.2018.06.003