Sfoglia per Autore
On multivariate extensions of the Mixed Tempered Stable distribution
2016 Hitaj, A; Hubalek, F; Mercuri, L; Rroji, E
Portfolio selection with independent component analysis
2015 Hitaj, A; Mercuri, L; Rroji, E
Mixed tempered stable distribution
2015 Rroji, E; Mercuri, L
Risk measurement using the mixed tempered stable distribution
2014 Mercuri, L; Rroji, E
Risk attribution and semi-heavy tailed distributions
2013 Rroji, E
Constructing a class of stochastic volatility models: empirical investigation with VIX data
2013 Hitaj, A; Rroji, E; Mercuri, L
Approximation of the variance gamma model with a finite mixture of normals
2012 Loregian, A; Mercuri, L; Rroji, E
Approximation of the variance gamma model with a finite mixture of normals
2011 Mercuri, L; Loregian, A; Rroji, E
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