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DIPARTIMENTO DI STATISTICA E METODI QUANTITATIVI  

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Titolo Tipologia Data di pubblicazione Autori File
A Hawkes model with CARMA(p,q) intensity 01 - Articolo su rivista 2024 Rroji, E +
Analyzing the Impact of Carbon Risk on Firms’ Creditworthiness in the Context of Rising Interest Rates 01 - Articolo su rivista 2024 Rroji, Edit +
An investigation of the Volatility Adjustment 01 - Articolo su rivista 2023 Rroji, Edit +
Implicit quantiles and expectiles 01 - Articolo su rivista 2022 Bellini, FabioRroji, Edit +
Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach 01 - Articolo su rivista 2022 Rroji E. +
A machine learning algorithm for stock picking built on information based outliers 01 - Articolo su rivista 2021 Rroji E. +
Finite Mixture Approximation of CARMA(p,q) Models 01 - Articolo su rivista 2021 Rroji, E +
Pricing of Futures with a CARMA(p, q) Model Driven by a Time Changed Brownian Motion 03 - Contributo in libro 2021 Rroji, Edit +
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 +
Lévy CARMA models for shocks in mortality 01 - Articolo su rivista 2019 Hitaj, AsmerildaRroji, Edit +
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization 01 - Articolo su rivista 2019 Hitaj, AsmerildaRroji, Edit +
Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation 01 - Articolo su rivista 2018 Rroji, Edit +
Implicit expectiles and measures of implied volatility 01 - Articolo su rivista 2018 Bellini, FabioMercuri, LorenzoRroji, Edit
On Properties of the MixedTS Distribution and Its Multivariate Extension 01 - Articolo su rivista 2018 Hitaj, AsmerildaRroji, Edit +
Option pricing in an exponential MixedTS Lévy process 01 - Articolo su rivista 2018 Rroji, E +
Risk parity for Mixed Tempered Stable distributed sources of risk 01 - Articolo su rivista 2018 Rroji, E. +
Some Empirical Evidence on the Need of More Advanced Approaches in Mortality Modeling 03 - Contributo in libro 2018 Hitaj, ARroji, E +
VIX computation based on affine stochastic volatility models in discrete time 03 - Contributo in libro 2018 Hitaj, A.Rroji, E. +
COGARCH(p, q): Simulation and inference with the yuima package 01 - Articolo su rivista 2017 Rroji, E +