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pro vyhledávání: '"Gobbi, Fabio"'
Autor:
Gobbi, Fabio, Mulinacci, Sabrina
Publikováno v:
Studies in Economics and Finance, 2023, Vol. 40, Issue 5, pp. 839-858.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/SEF-11-2022-0542
Autor:
GOBBI, Fabio1 fabio.gobbi@unibo.it
Publikováno v:
Journal of Applied Economic Sciences. Summer2024, Vol. 19 Issue 2, p109-129. 21p.
Autor:
Gobbi, Fabio, Mulinacci, Sabrina
This paper studies some temporal dependence properties and addresses the issue of parametric estimation for a class of state-dependent autoregressive models for nonlinear time series in which we assume a stochastic autoregressive coefficient dependin
Externí odkaz:
http://arxiv.org/abs/2002.03134
Autor:
Gobbi, Fabio, Mulinacci, Sabrina
In this paper we introduce a modified version of a gaussian standard first-order autoregressive process where we allow for a dependence structure between the state variable $Y_{t-1}$ and the next innovation $\xi_t$. We call this model dependent innov
Externí odkaz:
http://arxiv.org/abs/1704.03262
Autor:
Gobbi, Fabio, Mulinacci, Sabrina
This paper provides conditions under which a non-stationary copula-based Markov process is $\beta$-mixing. We introduce, as a particular case, a convolution-based gaussian Markov process which generalizes the standard random walk allowing the increme
Externí odkaz:
http://arxiv.org/abs/1704.01458
Publikováno v:
In Insurance Mathematics and Economics November 2021 101 Part B:342-358
We introduce a new class of processes for the evaluation of multivariate equity derivatives. The proposed setting is well suited for the application of the standard copula function theory to processes, rather than variables, and easily enables to enf
Externí odkaz:
http://arxiv.org/abs/1607.01519
Autor:
Gobbi, Fabio, Mancini, Cecilia
In this paper we consider two processes driven by diffusions and jumps. The jump components are Levy processes and they can both have finite activity and infinite activity. Given discrete observations we estimate the covariation between the two diffu
Externí odkaz:
http://arxiv.org/abs/0705.1268
Identifying the covariation between the diffusion parts and the co-jumps given discrete observations
Autor:
Gobbi, Fabio, Mancini, Cecilia
In this paper we consider two semimartingales driven by diffusions and jumps. We allow both for finite activity and for infinite activity jump components. Given discrete observations we disentangle the {\it integrated covariation} (the covariation be
Externí odkaz:
http://arxiv.org/abs/math/0610621
Akademický článek
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