Fabio Bellini

Available identifiers

zbMath Open bellini.fabioMaRDI QIDQ287667

List of research outcomes

Publication	Date of Publication	Type
Elicitability of Return Risk Measures	2023-02-25	Paper
Parametric measures of variability induced by risk measures	2022-09-14	Paper
Implicit quantiles and expectiles	2022-07-05	Paper
Short Communication: An Axiomatization of $\Lambda$-Quantiles	2022-04-21	Paper
Coherent Distortion Risk Measures and Higher-Order Stochastic Dominances	2022-01-10	Paper
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences	2021-09-03	Paper
Law-invariant functionals that collapse to the mean	2021-06-21	Paper
Risk parity with expectiles	2021-06-07	Paper
Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures	2021-06-07	Paper
Law-Invariant Functionals on General Spaces of Random Variables	2021-05-04	Paper
Backtesting VaR and expectiles with realized scores	2019-09-11	Paper
Implicit expectiles and measures of implied volatility	2019-02-06	Paper
Expectiles, omega ratios and stochastic ordering	2018-11-08	Paper
Conditional expectiles, time consistency and mixture convexity properties	2018-10-19	Paper
On elicitable risk measures	2018-09-19	Paper
Joint mixability of some integer matrices	2018-05-24	Paper
Robust return risk measures	2018-03-01	Paper
Option pricing in a conditional bilateral Gamma model	2016-06-30	Paper
Risk measures with the CxLS property	2016-05-23	Paper
Comparison results for GARCH processes	2014-10-15	Paper
Generalized quantiles as risk measures	2014-06-23	Paper
Haezendonck-Goovaerts risk measures and Orlicz quantiles	2014-04-10	Paper
Isotonicity properties of generalized quantiles	2012-10-17	Paper
https://portal.mardi4nfdi.de/entity/Q2888088	2012-05-30	Paper
Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation	2009-03-24	Paper
Optimal portfolios with Haezendonck risk measures	2009-01-09	Paper
Conditional tail behaviour and Value at Risk	2008-01-31	Paper
Stationarity domains for \(\delta\)-power GARCH process with heavy tails	2008-01-21	Paper
DETECTING AND MODELING TAIL DEPENDENCE	2005-02-28	Paper
Runs tests for assessing volatility forecastability in financial time series	2005-01-12	Paper
Independent Component Analysis and Immunization: An Exploratory Study	2004-09-07	Paper
On the Existence of Minimax Martingale Measures	2002-09-19	Paper
On Geometrically Convex Risk Measures	N/A	Paper

Research outcomes over time

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