Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Augusto Pianese"'
Publikováno v:
Insurance: Mathematics and Economics. 92:115-127
In the analysis of economic and social issues of a country (or any larger or smaller socio-economic unit) the demographic dynamics of the considered population often play a crucial role. Very current emergencies in this respect are e.g. ageing, longe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::650c59eb80878dee75ce11f211afc1e2
https://doi.org/10.1016/j.insmatheco.2020.03.005
https://doi.org/10.1016/j.insmatheco.2020.03.005
Publikováno v:
Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783030996376
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::51e096fc754dd56da970b22b8c35541a
https://doi.org/10.1007/978-3-030-99638-3_16
https://doi.org/10.1007/978-3-030-99638-3_16
Publikováno v:
Finance Research Letters
Web of Science
Web of Science
Using the multifractional Brownian motion as a model of the price dynamics, we analyze the impact of the COVID-19 pandemic on the efficiency of fifteen financial markets from Europe, US and Asia. We find that Asian markets (Hang Seng, Nikkei 225, Kos
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cc12a8d3ff0b5da6b4a68fb91f0a602f
https://hdl.handle.net/11580/85123
https://hdl.handle.net/11580/85123
A new computational approach based on the pointwise regularity exponent of the price time series is proposed to estimate Value at Risk. The forecasts obtained are compared with those of two largely used methodologies: the variance-covariance method a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6f8c335f44f178071727f99177fdfc16
http://hdl.handle.net/11573/1565994
http://hdl.handle.net/11573/1565994
Publikováno v:
Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783030789640
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6662e13170f70e79f6e3566855a3a2b0
https://doi.org/10.1007/978-3-030-78965-7_15
https://doi.org/10.1007/978-3-030-78965-7_15
Autor:
Nicola, Acocella, Giuseppe, Amari, Antonioli, Davide, Pier Giorgio Ardeni, Amedeo, Argentiero, Lucio, Baccaro, Alberto, Baccini, Simona, Balzano, Annaflavia, Bianchi, Maria Luisa Bianco, Borelli, Silvia, Paolo, Borioni, Emiliano, Brancaccio, Carmelo, Buscema, Rorita, Canale, Giuseppe, Celi, Sergio, Cesaratto, Carlo, Clericetti, Omar, Chessa, Andrea, Coveri, Marco, Dani, Massimo, D'Antoni, Claudio De Fiores, Antonio Di Majo, Giovanni, Dosi, Ferrario, Caterina, Guglielmo Forges Davanzati, Franz, Gianfranco, Andrea, Fumagalli, Mauro, Gallegati, Giorgio, Gattei, Stefano, Giubboni, Claudio, Gnesutta, Marco, Goldoni, Dario, Guarascio, Guazzarotti, Andrea, Valentino, Larcinese, Riccardo, Leoncini, Riccardo, Leoni, Federico, Losurdo, Stefano, Lucarelli, Madonna, Salvatore, Ugo, Marani, Mazzanti, Massimiliano, Augustin, Menéndez, Edmondo, Mostacci, Musolesi, Antonio, Guido, Ortona, Sergio, Parrinello, Gabriele, Pastrello, Anna, Pettini, Paolo, Piacentini, Augusto, Pianese, Pini, Paolo, Riccardo, Realfonzo, Fiammetta, Salmoni, Enrico, Saltari, Daniele, Scapigliati, Roberto, Schiattarella, Alessandro, Somma, Antonella, Stirati, Giuseppe, Tattara, Mario, Tiberi, Leonello, Tronti, Andrea, Ventura, Marco Veronese Passarella, Maurizio, Zenezini, Gennaro, Zezza
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______3709::a18bd69f3d1130d826d7393533660b00
http://hdl.handle.net/11392/2427702
http://hdl.handle.net/11392/2427702
Autor:
Giancarlo, Scalese, Camillo, Verde, Marco, Badagliacca, Bersani, Carlo, Francesco, Buonomenna, Cherti, Stefano, GIUSEPPE DELLA MONICA, LUIGI DI SANTO, MASSIMO LUIGI FERRANTE, Marika, Gimini, MARÍA JOSÉ CARAZO LIÉBANA, Francesco, Maiello, Raffaele, Maione, Jorge, LOZANO-MIRALLES, FULVIO MARIA PALOMBINO, Pasquale, Passalacqua, Fulvio, Pastore, Porcelli, Maria, Immacolata, Prisco, Stefano, Reali, Stefano, Recchioni, TOMMASO ALESSIO SALEMME, ALBERTO MATTIA SERAFIN, ANNA LUCIA VALVO, ISABEL RAMOS VÁZQUEZ, Vincenzo, Formisano, Simona, Balzano, MARIO ROSARIO GUARRACINO, Luisa, Natale, GIOVANNI CAMILLO PORZIO, MARCELLO DE ROSA, Alessia, Mallozzi, Carlo, Russo, Maurizio, Esposito, Elena, Addessi, Fedele, Maria, Francesco, Ferrante, Fabio, D’Orlando, Andrea, Fontanella, Massimiliano, Frezza, Sergio, Bianchi, Augusto, Pianese, Marco, Lacchini, Simone, Manfredi, Matteo, Palmaccio, Florinda, Petrecca, Francesco, Minnetti, Marcello, Sansone, Roberto, Bruni, Annarita, Colamatteo, Francesco, Zezza, Gennaro, Zezza
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______3980::29b47b70cc7b61ce81a77b9d2d72b372
http://hdl.handle.net/11580/80645
http://hdl.handle.net/11580/80645
A nonparametric method is developed to detect self‐similarity among the rescaled distributions of the log‐price variations over a number of time scales. The procedure allows to test the statistical significance of the scaling exponent that possib
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e885f7478182ed64b8e654472bf149d8
http://hdl.handle.net/11573/1378636
http://hdl.handle.net/11573/1378636