Sfoglia per Autore
Mixture processes for financial intradaily durations
2004-01-01 DE LUCA, Giovanni; Gallo, Gm
Modelling financial durations via a parametric and semiparametric approach
2006-01-01 DE LUCA, Giovanni; Rivieccio, Giorgia
A multivariate Skew-GARCH model
2006-01-01 DE LUCA, Giovanni; Loperfido, N; Genton, M.
Regime-switching Pareto distributions for ACD models
2006-01-01 DE LUCA, Giovanni; Zuccolotto, P.
I modelli di tipo ARCH: la teoria consolidata e i nuovi sviluppi
2006-01-01 DE LUCA, Giovanni; Rivieccio, Giorgia
Forecasting volatility using high-frequency data
2006-01-01 DE LUCA, Giovanni
Diagnostics for regime-switching distributed PACD model
2006-01-01 DE LUCA, Giovanni; Zuccolotto, P.
The Skew-t GARCH model
2006-01-01 DE LUCA, Giovanni; Loperfido, N.
The autocorrelation function for squared white noises
2007-01-01 DE LUCA, Giovanni; Golia, S.
Modeling The Conditional Dependence between Stock Market Returns with a Copula-GARCH Approach
2007-01-01 DE LUCA, Giovanni; Rivieccio, Giorgia
Asymmetries for multivariate returns: an empirical approach
2007-01-01 DE LUCA, Giovanni; Loperfido, N.
Time-varying mixture MEM for realized volatility
2007-01-01 DE LUCA, Giovanni; Gallo, G. M.
Modeling The Conditional Dependence between Stock Market Returns with a Copula-GARCH Approach
2007-01-01 Rivieccio, Giorgia; DE LUCA, Giovanni
The analysis of multivariate returns via asymmetric archimedean copulae
2008-01-01 DE LUCA, Giovanni; Rivieccio, Giorgia; Zuccolotto, Paola
Exploring The Copula Approach for The Analysis of Financial Durations
2008-01-01 DE LUCA, Giovanni; Rivieccio, Giorgia; Zuccolotto, P.
Asymmetric multivariate tail dependence
2008-01-01 DE LUCA, Giovanni; Rivieccio, Giorgia
Joint tail dependence in multivariate copulae
2009-01-01 DE LUCA, Giovanni; Rivieccio, Giorgia; Zuccolotto, P.
Multivariate tail dependence coefficients
2009-01-01 DE LUCA, Giovanni; Rivieccio, Giorgia
Archimedean copulae for risk measurement
2009-01-01 DE LUCA, Giovanni; Rivieccio, Giorgia
Archimedean Copulae and Market Risk in Financial Crisi Perspective
2009-01-01 DE LUCA, Giovanni; Rivieccio, Giorgia; Zuccolotto, P.
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