RROJI, EDIT

RROJI, EDIT  

DIPARTIMENTO DI STATISTICA E METODI QUANTITATIVI  

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Titolo Tipologia Data di pubblicazione Autori File
Approximation of the variance gamma model with a finite mixture of normals 99 - Altro 2011 MERCURI, LORENZOLOREGIAN, ANGELARROJI, EDIT
Approximation of the variance gamma model with a finite mixture of normals 01 - Articolo su rivista 2012 Loregian, AMERCURI, LORENZO +
Constructing a class of stochastic volatility models: empirical investigation with VIX data 99 - Altro 2013 HITAJ, ASMERILDARROJI, EDITMERCURI, LORENZO
Risk attribution and semi-heavy tailed distributions 07 - Tesi di dottorato Bicocca post 2009 2013 RROJI, EDIT
Risk measurement using the mixed tempered stable distribution 03 - Contributo in libro 2014 Mercuri, LRroji, E.
Portfolio selection with independent component analysis 01 - Articolo su rivista 2015 HITAJ, ASMERILDAMERCURI, LORENZORROJI, EDIT
On multivariate extensions of the Mixed Tempered Stable distribution 03 - Contributo in libro 2016 Hitaj, AMercuri, LRroji, E +
COGARCH(p, q): Simulation and inference with the yuima package 01 - Articolo su rivista 2017 Rroji, E +
VIX computation based on affine stochastic volatility models in discrete time 03 - Contributo in libro 2018 Hitaj, A.Mercuri, L.Rroji, E.
On Properties of the MixedTS Distribution and Its Multivariate Extension 01 - Articolo su rivista 2018 Hitaj, AsmerildaMercuri, LorenzoRroji, Edit +
Implicit expectiles and measures of implied volatility 01 - Articolo su rivista 2018 Bellini, FabioMercuri, LorenzoRroji, Edit
Risk parity for Mixed Tempered Stable distributed sources of risk 01 - Articolo su rivista 2018 Mercuri, LRroji, 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 +
Lévy CARMA models for shocks in mortality 01 - Articolo su rivista 2019 Hitaj, AsmerildaMercuri, LorenzoRroji, Edit
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization 01 - Articolo su rivista 2019 Hitaj, AsmerildaMercuri, LorenzoRroji, 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 +
Finite Mixture Approximation of CARMA(p,q) Models 01 - Articolo su rivista 2021 Rroji, E +