Giacomo Bormetti

Modelling systemic price cojumps with Hawkes factor models

Giacomo Bormetti, Lucio Maria Calcagnile, Michele Treccani et al. · Quantitative Finance · 2015 · 72 citations

Systemic Price Cojumps, High-frequency Cojumps, Financial Mathematics +16

Smile from the past: A general option pricing framework with multiple volatility and leverage components

Adam Majewski, Giacomo Bormetti, Fulvio Corsi · Journal of Econometrics · 2015 · 58 citations · Full text

Option Pricing, Volatility Modeling, Financial Economics +8

A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics

Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi et al. · Journal of Business and Economic Statistics · 2020 · 49 citations · Full text

Volatility Modeling, Engineering, High-frequency Returns +23

Collective synchronization and high frequency systemic instabilities in financial markets

Lucio Maria Calcagnile, Giacomo Bormetti, Michele Treccani et al. · Quantitative Finance · 2017 · 34 citations · Full text

Large Price Movements, Financial Network Analysis, Time Series Econometrics +18

A non-Gaussian approach to risk measures

Giacomo Bormetti, E. Cisana, G. Montagna et al. · Physica A Statistical Mechanics and its Applications · 2006 · 29 citations · Full text

Engineering, Gaussian Process, Risk Management +4