Sfoglia per Autore
A machine learning algorithm for stock picking built on information based outliers
2021-01-01 Barucci, E.; Bonollo, M.; Poli, F.; Rroji, E.
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization
2019-01-01 Hitaj, Asmerilda; Mercuri, Lorenzo; Rroji, Edit
Implicit expectiles and measures of implied volatility
2018-01-01 Bellini, F; Mercuri, L; Rroji, E
Some empirical evidence on the need of more advanced approaches in mortality modeling
2018-01-01 Hitaj, A; Mercuri, L; Rroji, E
Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation
2018-01-01 Iacus, Sm; Mercuri, L; Rroji, Edit
VIX computation based on affine stochastic volatility models in discrete time
2018-01-01 Hitaj, A.; Mercuri, L.; Rroji, Edit
Risk parity for Mixed Tempered Stable distributed sources of risk
2018-01-01 Mercuri, L; Rroji, E.
Option pricing in an exponential MixedTS Lévy process
2018-01-01 Mercuri, Lorenzo; Rroji, Edit
On properties of the MixedTS distribution and its multivariate extension
2018-01-01 Asmerilda, Hitaj; Friedrich, Hubalek; Lorenzo, Mercuri; Rroji, E
COGARCH(p, q): Simulation and inference with the yuima package
2017-01-01 Iacus, S; Mercuri, L; Rroji, E
On multivariate extensions of the Mixed Tempered Stable distribution
2016-01-01 Hitaj, A; Hubalek, F; Mercuri, L; Rroji, E
Mixed tempered stable distribution
2015-01-01 Rroji, E; Mercuri, L
Portfolio selection with independent component analysis
2015-01-01 Hitaj, Asmerilda; Mercuri, Lorenzo; Rroji, Edit
Risk measurement using the mixed tempered stable distribution
2014-01-01 Mercuri, L; Rroji, E.
Constructing a class of stochastic volatility models: empirical investigation with VIX data
2013-01-01 Hitaj, Asmerilda; Rroji, Edit; Mercuri, Lorenzo
Approximation of the variance gamma model with a finite mixture of normals
2012-01-01 Loregian, A; Mercuri, L; Rroji, E
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