Zobrazeno 1 - 10
of 68
pro vyhledávání: '"Mininni, Rosa Maria"'
The aim of this paper is to propose a new methodology that allows forecasting, through Vasicek and CIR models, of future expected interest rates (for each maturity) based on rolling windows from observed financial market data. The novelty, apart from
Externí odkaz:
http://arxiv.org/abs/1901.02246
It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current market environment with negative short interest rates. Moreover, the dif
Externí odkaz:
http://arxiv.org/abs/1806.03683
Publikováno v:
Studies in Economics and Finance, 2019, Vol. 37, Issue 2, pp. 267-292.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/SEF-03-2019-0116
Publikováno v:
J. Evol. Equ. 2015
We study two identification problems in relation with a strongly degenerate parabolic diffusion equation characterized by a vanishing diffusion coefficient $u\in W^{1,\infty},$ with the property $\frac{1}{u}\notin L^{1}. $ The aim is to identify $u$
Externí odkaz:
http://arxiv.org/abs/1307.6393
Publikováno v:
In Journal of Mathematical Analysis and Applications 15 September 2019 477(2):1195-1223
Publikováno v:
The Journal of Risk Finance, 2019, Vol. 20, Issue 4, pp. 370-387.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/JRF-05-2019-0080
Publikováno v:
In Journal of Mathematical Analysis and Applications 15 May 2017 449(2):1321-1339
Akademický článek
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Publikováno v:
Journal of Forecasting. Jul2020, Vol. 39 Issue 4, p569-579. 11p.
Autor:
Andrisani, Andrea1 andrea.andrisani@uniba.it, Mininni, Rosa Maria1 rosamaria.mininni@uniba.it, Mazzia, Francesca2 francesca.mazzia@uniba.it, Settanni, Giuseppina1 giuseppina.settanni@uniba.it, Iurino, Alessandro3 aiurino@hotmail.it, Tangaro, Sabina4 sonia.tangaro@ba.infn.it, Tateo, Andrea3 andrea.tateo@ba.infn.it, Bellotti, and Roberto3,4 roberto.bellotti@uniba.it
Publikováno v:
Opuscula Mathematica. 2019, Vol. 39 Issue 4, p453-482. 30p.