Published papers


Jumps of Staleness? (with Roberto Reno') 

Journal of Business & Economic Statistics, 2023, forthcoming 

(paper) 

Zeros (with Federico Bandi, Davide Pirino and Roberto Reno') 

Management Science, 2020, 66, 3466-3479

(paper)  

Estimating jump activity using multipower variation

Journal of Business & Economic Statistics, 2022, 40(1), 128-140

(paper) (Web appendix) (MatLab codes

Statistical inference for price staleness (with Davide Pirino and Giulia Liveri)

Journal of Econometrics, 2020, 218(1), 32–81 

(paper) 

Efficient Multipowers (with Roberto Reno')

Journal of Financial Econometrics, 2018, 16(4), 629–659

(paper) 

Systemic co-jumps (with Massimiliano Caporin and Roberto Reno')

Journal of Financial Economics, 2017, 126(3), 563–591

(paper) (Web appendix) (MatLab codes)