Sfoglia per Autore
Proximity-structured multivariate volatility models for systemic risk
2013-01-01 Frattarolo, Lorenzo; Billio, Monica; M., Caporin; Pelizzon, Loriana
Empirical Projected Copula Process and Conditional Independence An Extended Version
2013-01-01 Frattarolo, Lorenzo; Dominique, Guegan
A time varying performance evaluation of hedge fund strategies through aggregation
2014-01-01 Billio, Monica; Frattarolo, Lorenzo; Pelizzon, Loriana
Orthogonal Polynomials Derivative for Empirical Copula
2014-01-01 Frattarolo, Lorenzo; D., Guégan
SYSTEMICALLY IMPORTANT BANKS:A PERMUTATION TEST APPROACH
2016-01-01 Frattarolo, Lorenzo; Parpinel, Francesca; Pizzi, Claudio
Global Systemically Important Banks: A Permutation Test Approach
2016-01-01 Frattarolo, Lorenzo; Parpinel, Francesca; Pizzi, Claudio
Networks in risk spillovers: a multivariate GARCH perspective
2016-01-01 Billio, Monica; Pelizzon, Loriana; Frattarolo, Lorenzo; Massimiliano, Caporin
Do we need a stochastic trend in cay estimation? Yes.
2016-01-01 Costola, Michele; Frattarolo, Lorenzo; Lucchetta, Marcella; Paradiso, Antonio
Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone
2016-01-01 Billio, Monica; Frattarolo, Lorenzo; Hayette, Gatfaoui; Philippe, De Peretti
Hedge fund tail risk: An investigation in stressed markets
2016-01-01 Billio, Monica; Frattarolo, Lorenzo; Pelizzon, Loriana
A discussion on: Random-projection ensemble classification by T. Cannings and R. Samworth
2017-01-01 Casarin, Roberto; Frattarolo, Lorenzo; Rossini, Luca
Disagreement in Signed Financial Networks
2018-01-01 Billio, Monica; Casarin, Roberto; Costola, Michele; Frattarolo, Lorenzo
Opinion Dynamics and Disagreements on Financial Networks
2019-01-01 Billio, M.; Casarin, R.; Costola, M.; Frattarolo, L.
Combining permutation tests to rank systemically important banks
2020-01-01 Pizzi, Claudio; Parpinel, Francesca; Frattarolo, Lorenzo
Multivariate radial symmetry of copula functions: Finite sample comparison in the i.i.d case
2021-01-01 Billio, M.; Frattarolo, L.; Guégan, D.
Living on the Edge: An Unified Approach to Antithetic Sampling
2023-01-01 Casarin, Roberto; Craiu, VIRGIL RADU; Robert, Christian; Frattarolo, Lorenzo
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