Zobrazeno 1 - 10
of 76
pro vyhledávání: '"Hitaj, Asmerilda"'
Autor:
Vanni, Fabio1 (AUTHOR) asmerilda.hitaj@uninsubria.it, Hitaj, Asmerilda1 (AUTHOR), Mastrogiacomo, Elisa1 (AUTHOR)
Publikováno v:
Mathematics (2227-7390). May2024, Vol. 12 Issue 9, p1389. 16p.
In this paper we consider several continuous-time multivariate non-Gaussian models applied to finance and proposed in the literature in the last years. We study the models focusing on the parsimony of the number of parameters, the properties of the d
Externí odkaz:
http://arxiv.org/abs/2005.06390
Publikováno v:
Annals of Operations Research 2022
In this article we deal with the problem of portfolio allocation by enhancing network theory tools. We use the dependence structure of the correlations network in constructing some well-known risk-based models in which the estimation of correlation m
Externí odkaz:
http://arxiv.org/abs/1907.01274
Autor:
Noori, Mohammad, Hitaj, Asmerilda
Publikováno v:
In International Review of Financial Analysis January 2023 85
Akademický článek
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Autor:
Barbiero, Alessandro1 (AUTHOR) alessandro.barbiero@unimi.it, Hitaj, Asmerilda2 (AUTHOR)
Publikováno v:
Annals of Operations Research. Sep2024, Vol. 340 Issue 1, p27-57. 31p.
Publikováno v:
Annals of Operations Research, 2019
The main contribution of the paper is to employ the financial market network as a useful tool to improve the portfolio selection process, where nodes indicate securities and edges capture the dependence structure of the system. Three different method
Externí odkaz:
http://arxiv.org/abs/1810.09825
Autor:
Barbiero, Alessandro1 (AUTHOR) alessandro.barbiero@unimi.it, Hitaj, Asmerilda2 (AUTHOR)
Publikováno v:
Statistical Papers. Oct2023, Vol. 64 Issue 5, p1669-1697. 29p.
The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in fitting tails and capturing dependence structure between comp
Externí odkaz:
http://arxiv.org/abs/1609.00926
Autor:
Barbiero, Alessandro, Hitaj, Asmerilda
Publikováno v:
Journal of the Indian Society for Probability & Statistics; Jun2024, Vol. 25 Issue 1, p373-394, 22p