Adrian Pizzinga

Available identifiers

Publication	Date of Publication	Type
An Extensive Comparison of Some Well‐Established Value at Risk Methods	2023-12-13	Paper
Diffuse Kalman filtering with linear constraints on the state parameters	2023-11-17	Paper
Independent events and their complements. Part II	2022-12-12	Paper
https://portal.mardi4nfdi.de/entity/Q5045552	2022-11-04	Paper
Independent events and their complements	2022-04-25	Paper
Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models	2021-06-30	Paper
Modeling and predicting IBNR reserve: extended chain ladder and heteroscedastic regression analysis	2020-12-03	Paper
A pairs trading strategy based on linear state space models and the Kalman filter	2018-11-13	Paper
Restricted Kalman filtering revisited	2016-06-13	Paper
https://portal.mardi4nfdi.de/entity/Q5178678	2015-03-16	Paper
Restricted Kalman filter applied to dynamic style analysis of actuarial funds	2014-05-06	Paper
Diffuse Restricted Kalman Filtering	2013-11-29	Paper
Restricted Kalman filtering. Theory, methods, and application	2012-07-10	Paper
https://portal.mardi4nfdi.de/entity/Q3105142	2012-01-05	Paper
https://portal.mardi4nfdi.de/entity/Q3071124	2011-02-01	Paper
The log-periodic-AR(1)-GARCH(1,1) model for financial crashes	2010-06-25	Paper
Further investigation into restricted Kalman filtering	2009-03-04	Paper
Semi-strong dynamic style analysis with time-varying selectivity measurement: Applications to Brazilian exchange-rate funds	2009-02-28	Paper

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