Zobrazeno 1 - 10
of 13
pro vyhledávání: '"Massimiliano Frezza"'
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:
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
Autor:
Massimiliano Frezza
Publikováno v:
Chaos (Woodbury, N.Y.). 28(9)
The recent global financial crisis has threatened the financial system with total collapse of many economic sectors with a particular penetration to world’s stock markets. The large swings in the prices of international stocks or indexes have reinv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c775d9755bf270d07a87176a46529df2
https://pubmed.ncbi.nlm.nih.gov/30278649
https://pubmed.ncbi.nlm.nih.gov/30278649
