Giovanni De Luca

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
Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach International Journal of Approximate Reasoning	2021-12-13	Paper
Regime dependent interconnectedness among fuzzy clusters of financial time series Advances in Data Analysis and Classification. ADAC	2021-06-28	Paper
Finite and infinite mixtures for financial durations Metron	2019-07-12	Paper
Time series clustering on lower tail dependence for portfolio selection Mathematical and Statistical Methods for Actuarial Sciences and Finance	2018-12-13	Paper
A copula-based quantile model Mathematical and Statistical Methods for Actuarial Sciences and Finance	2018-10-12	Paper
Dynamic tail dependence clustering of financial time series Statistical Papers	2017-12-13	Paper
A double clustering algorithm for financial time series based on extreme events Statistics & Risk Modeling	2017-05-22	Paper
A multivariate skew-GARCH model Advances in Econometrics	2010-06-30	Paper
Archimedean copulae for risk measurement Journal of Applied Statistics	2009-10-21	Paper
Regime-switching Pareto distributions for ACD models Computational Statistics and Data Analysis	2009-04-06	Paper
Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models Econometric Reviews	2009-03-17	Paper
Exploring the copula approach for the analysis of financial durations	2008-03-20	Paper
Mixture Processes for Financial Intradaily Durations Studies in Nonlinear Dynamics & Econometrics	2006-01-27	Paper
scientific article; zbMATH DE number 2065158 (Why is no real title available?)	2004-05-18	Paper
Maximum likelihood estimation of a latent variable time-series model Applied Stochastic Models in Business and Industry	2001-07-11	Paper
scientific article; zbMATH DE number 1327252 (Why is no real title available?)	1998-01-01	Paper

Research outcomes over time

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