Lorenzo Mercuri

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
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

Research outcomes over time

This page was built for person: Lorenzo Mercuri