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Titolo Tipologia Data di pubblicazione Autori File
Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach 01 - Articolo su rivista 2022 Mercuri L.Rroji E. +
Finite Mixture Approximation of CARMA(p,q) Models 01 - Articolo su rivista 2021 Rroji, E +
Implicit quantiles and expectiles 01 - Articolo su rivista 2021 Bellini, FabioRroji, Edit +
A machine learning algorithm for stock picking built on information based outliers 01 - Articolo su rivista 2021 Rroji E. +
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences 01 - Articolo su rivista 2020 Bellini F.Rroji E. +
The determinants of lapse rates in the Italian life insurance market 01 - Articolo su rivista 2020 Rroji, Edit +
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization 01 - Articolo su rivista 2019 Hitaj, AsmerildaMercuri, LorenzoRroji, Edit
Lévy CARMA models for shocks in mortality 01 - Articolo su rivista 2019 Hitaj, AsmerildaMercuri, LorenzoRroji, Edit
On Properties of the MixedTS Distribution and Its Multivariate Extension 01 - Articolo su rivista 2018 Hitaj, AsmerildaMercuri, LorenzoRroji, Edit +
VIX computation based on affine stochastic volatility models in discrete time 03 - Contributo in libro 2018 Hitaj, A.Mercuri, L.Rroji, E.
Option pricing in an exponential MixedTS Lévy process 01 - Articolo su rivista 2018 MERCURI, LORENZORROJI, EDIT
Some Empirical Evidence on the Need of More Advanced Approaches in Mortality Modeling 03 - Contributo in libro 2018 Hitaj, AMercuri, LRroji, E
Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation 01 - Articolo su rivista 2018 Rroji, Edit +
Risk parity for Mixed Tempered Stable distributed sources of risk 01 - Articolo su rivista 2018 Mercuri, LRroji, E.
Implicit expectiles and measures of implied volatility 01 - Articolo su rivista 2018 Bellini, FabioMercuri, LorenzoRroji, Edit
COGARCH(p, q): Simulation and inference with the yuima package 01 - Articolo su rivista 2017 Rroji, E +
On multivariate extensions of the Mixed Tempered Stable distribution 03 - Contributo in libro 2016 Hitaj, AMercuri, LRroji, E +
Portfolio selection with independent component analysis 01 - Articolo su rivista 2015 HITAJ, ASMERILDAMERCURI, LORENZORROJI, EDIT
Risk measurement using the mixed tempered stable distribution 03 - Contributo in libro 2014 Mercuri, LRroji, E.
Constructing a class of stochastic volatility models: empirical investigation with VIX data 99 - Altro 2013 HITAJ, ASMERILDARROJI, EDITMERCURI, LORENZO