Sfoglia per Autore
Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation
2018 S.M. Iacus, L. Mercuri, E. Rroji
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
2018 G. Consigli, V. Moriggia, S. Vitali, L. Mercuri
Implicit expectiles and measures of implied volatility
2018 F. Bellini, L. Mercuri, E. Rroji
On Properties of the MixedTS Distribution and Its Multivariate Extension
2018 A. Hitaj, F. Hubalek, L. Mercuri, E. Rroji
Lévy CARMA models for shocks in mortality
2019 A. Hitaj, L. Mercuri, E. Rroji
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
2020 F. Bellini, L. Mercuri, E. Rroji
Pricing of Futures with a CARMA(p, q) Model Driven by a Time Changed Brownian Motion
2021 L. Mercuri, A. Perchiazzo, E. Rroji
Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach
2021 F. Bianchi, L. Mercuri, E. Rroji
Finite Mixture Approximation of CARMA(p,q) Models
2021 L. Mercuri, A. Perchiazzo, E. Rroji
Financial Technical Indicator and Algorithmic Trading Strategy Based on Machine Learning and Alternative Data
2022 A. Frattini, I. Bianchini, A. Garzonio, L. Mercuri
Noise inference for ergodic Lévy driven SDE
2022 H. Masuda, L. Mercuri, Y. Uehara
An efficient unified approach for spread option pricing in a copula market model
2023 E. Berton, L. Mercuri
A Hawkes model with CARMA(p,q) intensity
2024 L. Mercuri, A. Perchiazzo, E. Rroji
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