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Giacomo Bormetti

Giacomo Bormetti

Università di Bologna - Bologna / Italy
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AD Scientific Index ID: 915425
University of Bologna
person_outline Giacomo Bormetti's MOST POPULAR ARTICLES
1-) Modelling systemic price cojumps with Hawkes factor models Quantitative Finance 15 (7), 1137-1156, 2015
2-) Smile from the past: A general option pricing framework with multiple volatility and leverage components Journal of Econometrics 187 (2), 521-531, 2015
3-) A score-driven conditional correlation model for noisy and asynchronous data: An application to high-frequency covariance dynamics Journal of Business & Economic Statistics 39 (4), 920-936, 2021
4-) Collective synchronization and high frequency systemic instabilities in financial markets Quantitative Finance 18 (2), 237-247, 2018
5-) Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics PLoS one 11 (1), e0146576, 2016