Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Federico Platania"'
Autor:
Tarik Bazgour, Federico Platania
Publikováno v:
Annals of Operations Research. 312:647-672
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::58cf51803ef1245b55b69dbcc50725d3
https://doi.org/10.1007/s10479-021-04471-9
https://doi.org/10.1007/s10479-021-04471-9
Publikováno v:
Technological Forecasting and Social Change. 179:121594
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3689d2d1e9d5cde098415853a4216f0f
https://doi.org/10.1016/j.techfore.2022.121594
https://doi.org/10.1016/j.techfore.2022.121594
Autor:
Federico Platania, Marie Lambert
Publikováno v:
Economic Modelling
Economic Modelling, Elsevier, 2020, 91, pp.65-80. ⟨10.1016/j.econmod.2020.04.016⟩
Economic Modelling, Elsevier, 2020, 91, pp.65-80. ⟨10.1016/j.econmod.2020.04.016⟩
We investigate how macroeconomic indicators alter the dynamic risk exposure of different hedge fund style strategies. We implement a multifactor model to estimate the unobservable time-varying risk exposure conditional on macroeconomic information an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::856023a63351798e6cf513e3ad3f7fc5
https://hal.archives-ouvertes.fr/hal-03490833
https://hal.archives-ouvertes.fr/hal-03490833
Publikováno v:
Technological Forecasting and Social Change
Technological Forecasting and Social Change, Elsevier, 2020, 157, pp.120069. ⟨10.1016/j.techfore.2020.120069⟩
Technological Forecasting and Social Change, Elsevier, 2020, 157, pp.120069. ⟨10.1016/j.techfore.2020.120069⟩
Crowdfunding is an alternative way to seek capital for new projects. However, it can also be a danger for entrepreneurs facing the post-campaign phase delays in the delivery of the promised rewards. Crowdfunding campaigns require months of preparatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cd215043fba4e3a452bfe0c82bf1a86e
https://halshs.archives-ouvertes.fr/halshs-02877210
https://halshs.archives-ouvertes.fr/halshs-02877210
Autor:
Gabriela Contreras, Federico Platania
Publikováno v:
Technological Forecasting and Social Change, 142, pp. 384-393
Technological Forecasting and Social Change, 142, 384-393
Technological Forecasting and Social Change, 142, 384-393
Despite the overwhelming consensus within the scientific community concerning the causes and effects of climate change, decision-making processes often do not point out in the same direction. In order to effectively and satisfactorily tackle climate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1fd3e023e4bbe1b04baee6927af50ce6
https://hdl.handle.net/2066/193686
https://hdl.handle.net/2066/193686
Publikováno v:
Economic Modelling. 72:140-150
We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the relationship between short-t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::51575a6fe0b4188f5ea94d8aa19eb8e3
https://doi.org/10.1016/j.econmod.2018.01.015
https://doi.org/10.1016/j.econmod.2018.01.015
Publikováno v:
European Journal of Operational Research
European Journal of Operational Research, Elsevier, 2019, 279, pp.1011-1023. ⟨10.1016/j.ejor.2019.05.042⟩
European Journal of Operational Research, Elsevier, 2019, 279, pp.1011-1023. ⟨10.1016/j.ejor.2019.05.042⟩
This paper introduces a two-factor continuous-time model for commodity pricing under the assumption that prices revert to a stochastic mean level, which shows smooth, periodic fluctuations over long periods of time. We represent the mean reversion pr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4614c90aba2ce0208bd1003b19c2dedf
https://hal.archives-ouvertes.fr/hal-03488259/file/S0377221719304722.pdf
https://hal.archives-ouvertes.fr/hal-03488259/file/S0377221719304722.pdf
Autor:
Federico Platania, Manuel Moreno
Publikováno v:
European Journal of Operational Research. 241:109-121
This paper presents a cyclical square-root model for the term structure of interest rates assuming that the spot rate converges to a certain time-dependent long-term level. This model incorporates the fact that the interest rate volatility depends on
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::35721ddb89d3e33725e0e27c7873c740
https://doi.org/10.1016/j.ejor.2014.08.010
https://doi.org/10.1016/j.ejor.2014.08.010
Publikováno v:
SSRN Electronic Journal.
This paper introduces a continuous-time model for commodity pricing under the assumption that logged prices converge to a mean level that experiences smooth, periodic fluctuations over long periods of time. Our model incorporates that assumption by m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7360592e811487505727ef3bcda2c56d
https://doi.org/10.2139/ssrn.2788176
https://doi.org/10.2139/ssrn.2788176
Autor:
Marie Lambert, Federico Platania
Publikováno v:
SSRN Electronic Journal.
We examine the dynamic trading strategies implemented by hedge fund managers using a Kalman filter. We investigate the risk drivers of dynamic trades, examining which macroeconomic variables strongly lead the time variation in fund trades. We show th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bad8ae18ed0af0c57441cc1193d1102b
https://doi.org/10.2139/ssrn.2786639
https://doi.org/10.2139/ssrn.2786639