RROJI, EDIT
RROJI, EDIT
DIPARTIMENTO DI STATISTICA E METODI QUANTITATIVI
Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach
2022 Bianchi, F; Mercuri, L; Rroji, E
Implicit quantiles and expectiles
2022 Bellini, F; Rroji, E; Sala, C
Finite Mixture Approximation of CARMA(p,q) Models
2021 Mercuri, L; Perchiazzo, A; Rroji, E
A machine learning algorithm for stock picking built on information based outliers
2021 Barucci, E; Bonollo, M; Poli, F; Rroji, E
The determinants of lapse rates in the Italian life insurance market
2020 Barucci, E; Colozza, T; Marazzina, D; Rroji, E
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
2020 Bellini, F; Mercuri, L; Rroji, E
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization
2019 Hitaj, A; Mercuri, L; Rroji, E
Lévy CARMA models for shocks in mortality
2019 Hitaj, A; Mercuri, L; Rroji, E
Some Empirical Evidence on the Need of More Advanced Approaches in Mortality Modeling
2018 Hitaj, A; Mercuri, L; Rroji, E
VIX computation based on affine stochastic volatility models in discrete time
2018 Hitaj, A; Mercuri, L; Rroji, E
Implicit expectiles and measures of implied volatility
2018 Bellini, F; Mercuri, L; Rroji, E
Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation
2018 Iacus, S; Mercuri, L; Rroji, E
On Properties of the MixedTS Distribution and Its Multivariate Extension
2018 Hitaj, A; Hubalek, F; Mercuri, L; Rroji, E
Risk parity for Mixed Tempered Stable distributed sources of risk
2018 Mercuri, L; Rroji, E
Option pricing in an exponential MixedTS Lévy process
2018 Mercuri, L; Rroji, E
COGARCH(p, q): Simulation and inference with the yuima package
2017 Iacus, S; Mercuri, L; Rroji, E
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
Risk measurement using the mixed tempered stable distribution
2014 Mercuri, L; Rroji, E
Risk attribution and semi-heavy tailed distributions
2013 Rroji, E