Edit Rroji

MaRDI QIDQ419210zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
On Properties of the MixedTS Distribution and Its Multivariate Extension International Statistical Review	2023-11-10	Paper
A Hawkes model with CARMA(p,q) intensity	2022-08-04	Paper
Implicit quantiles and expectiles Annals of Operations Research	2022-07-05	Paper
Finite mixture approximation of CARMA(p,q) models SIAM Journal on Financial Mathematics	2021-12-02	Paper
On the dependence structure between S\&P500, VIX and implicit interexpectile differences Quantitative Finance	2021-09-03	Paper
On multivariate extensions of the mixed tempered stable distribution	2021-03-29	Paper
The determinants of lapse rates in the Italian life insurance market European Actuarial Journal	2020-11-04	Paper
Lévy CARMA models for shocks in mortality Decisions in Economics and Finance	2019-10-23	Paper
Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization Computational Management Science	2019-02-18	Paper
Implicit expectiles and measures of implied volatility Quantitative Finance	2019-02-06	Paper
Discrete-time approximation of a COGRAPH(\(p,q\)) model and its estimation Journal of Time Series Analysis	2018-09-28	Paper
Mixed tempered stable distribution Quantitative Finance	2018-09-19	Paper
Option pricing in an exponential mixedts Lévy process Annals of Operations Research	2018-03-02	Paper
Risk parity for mixed tempered stable distributed sources of risk Annals of Operations Research	2018-03-02	Paper
Approximation of the variance gamma model with a finite mixture of normals Statistics & Probability Letters	2012-05-18	Paper

Research outcomes over time

This page was built for person: Edit Rroji