| Publication | Date of Publication | Type |
|---|
| Parameter stability in yield curve fitting | 2026-07-14 | Paper |
| Pricing of futures with a CARMA(p,q) model driven by a time changed Brownian motion | 2026-04-22 | Paper |
Quasi-likelihood analysis for Student-Lévy regression
Statistical Inference for Stochastic Processes | 2024-11-09 | Paper |
An efficient unified approach for spread option pricing in a copula market model
Annals of Operations Research | 2024-06-04 | Paper |
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 |
Noise inference for ergodic Lévy driven SDE
Electronic Journal of Statistics | 2022-05-11 | Paper |
Noise inference for ergodic Lévy driven SDE
Electronic Journal of Statistics | 2022-05-11 | 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 |
| Estimation of Lévy CARMA models in the \texttt{yuima} package: application on the financial time series | 2020-07-08 | 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 |
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
Computational Management Science | 2018-10-29 | 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 |
Option pricing in a conditional bilateral Gamma model
CEJOR. Central European Journal of Operations Research | 2016-06-30 | Paper |
Implementation of Lévy CARMA model in \texttt{yuima} package
Computational Statistics | 2016-01-29 | Paper |
Approximation of the variance gamma model with a finite mixture of normals
Statistics & Probability Letters | 2012-05-18 | Paper |
