Filippo Petroni

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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
A micro-to-macro approach to returns, volumes and waiting times Applied Stochastic Models in Business and Industry	2024-07-25	Paper
A semi-Markovian approach to drawdown-based measures Advances in Complex Systems	2024-05-06	Paper
The mixture transition distribution approach to networks: evidence from stock markets Physica A	2024-04-15	Paper
An econometric analysis of drawdown based measures Springer Proceedings in Mathematics & Statistics	2024-03-16	Paper
Wind speed modeled as an indexed semi‐Markov process Environmetrics	2023-12-15	Paper
Drawdown risk measures for asset portfolios with high frequency data Annals of Finance	2023-07-06	Paper
ROCOF of higher order for semi-Markov processes Applied Mathematics and Computation	2022-12-07	Paper
Hedging the risk of wind power production using dispatchable energy source Stochastics and Quality Control	2021-12-03	Paper
A copula-based Markov reward approach to the credit spread in the European Union Applied Mathematical Finance	2020-01-13	Paper
A new approach to the modeling of financial volumes (available as arXiv preprint)	2019-10-17	Paper
Change point dynamics for financial data: an indexed Markov chain approach Annals of Finance	2019-06-28	Paper
Optimal control of a dispatchable energy source for wind energy management Stochastics and Quality Control	2019-06-07	Paper
Insuring wind energy production Physica A	2018-11-13	Paper
The study of basic risk processes by discrete-time non-homogeneous Markov processes Theory of Probability and Mathematical Statistics	2018-10-10	Paper
Copula based multivariate semi-Markov models with applications in high-frequency finance European Journal of Operational Research	2018-07-25	Paper
On the limit distribution of a second-order semi-Markov chain in state and duration Communications in Statistics: Theory and Methods	2017-08-23	Paper
Multi-state models for evaluating conversion options in life insurance Modern Stochastics. Theory and Applications	2017-07-04	Paper
Step semi-Markov models and application to manpower management ESAIM: Probability and Statistics	2017-01-12	Paper
Performance analysis of second order semi-Markov chains: an application to wind energy production Methodology and Computing in Applied Probability	2015-09-23	Paper
scientific article; zbMATH DE number 6390866 (Why is no real title available?) (available as arXiv preprint)	2015-01-26	Paper
Family trees: languages and genetics	2009-11-18	Paper
A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES International Journal of Modern Physics B	2005-08-30	Paper

Research outcomes over time

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