| I.V.Curato, O. Furat, Lorenzo Proietti and B. Stroeh. Mixed moving average field guided learning for spatio-temporal data. Pre-print, 2023. |
arXiv
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| D.-P. Brandes, I.V.Curato and R. Stelzer. Inheritance of strong mixing and weak dependence under renewal sampling. Journal of Applied Probability, 60:435-451, 2023. |
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arXiv |
doi
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| I.V.Curato, R. Stelzer and B. Ströh. Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields. The Annals of Applied
Probability, 32:1814-1861, 2022. |
pdf |
arXiv |
doi
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| I.V.Curato and S. Sanfelici. Stochastic leverage effect in high frequency data: a Fourier based analysis. Econometrics and Statistics , 23:53-82, 2022. |
arXiv |
doi
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| I.V.Curato, and D-P. Brandes. On the sample autocovariance of a Lévy driven moving average process when sampled at a renewal sequence. Journal of Statistical Planning and Inference , 203:20-38, 2019. |
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arXiv |
doi
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| I.V.Curato, and R. Stelzer. Weak dependence and GMM estimation for supOU and mixed moving average processes. Electronic Journal of
Statistics, 13:310-360, 2019. (An erratum can be find in the arxiv file) |
pdf |
arXiv |
doi
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| I.V.Curato. Estimation of the stochastic leverage effect using the Fourier transform method. Stochastic Processes and their Application , 129:3207-3238, 2019. |
pdf |
doi
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| I.V.Curato, M.E. Mancino and M.C. Recchioni. Spot volatility estimation using the Laplace transform. Econometrics and Statistic, 6:22-43, 2018. |
pdf |
doi
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| I.V.Curato., M.E. Mancino and S. Sanfelici. High frequency volatility of volatility estimation free from spot volatility estimates. Econometrics and Statistics, 15:1331-1345, 2015. |
pdf |
doi
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| I.V.Curato. and S. Sanfelici. Measuring leverage effect in a high frequency trading framework. The Handbook of High Frequency Trading, G.N. Gregoriou Ed., Elsevier, Plattsburgh, NY, USA , Chapter 24:425-446, 2015. |
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Book
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