Gianna Figà-Talamanca

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
An explorative analysis of sentiment impact on S\&P 500 components returns, volatility and downside risk Annals of Operations Research	2025-01-20	Paper
Sentiment-driven mean reversion in the 4/2 stochastic volatility model with jumps Applied Stochastic Models in Business and Industry	2024-07-30	Paper
Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages Decisions in Economics and Finance	2022-01-06	Paper
Detecting bubbles in bitcoin price dynamics via \textit{market exuberance} Annals of Operations Research	2021-11-08	Paper
Spiking the Volatility Punch Applied Mathematical Finance	2021-06-21	Paper
\textit{SMART-or} and \textit{SMART-and} fuzzy average operators: a generalized proposal Fuzzy Sets and Systems	2021-01-20	Paper
Market attention and Bitcoin price modeling: theory, estimation and option pricing Decisions in Economics and Finance	2020-07-08	Paper
Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics Economics Letters	2020-07-07	Paper
Does market attention affect bitcoin returns and volatility? Decisions in Economics and Finance	2019-10-23	Paper
Smart fuzzy weighted averages of information elicited through fuzzy numbers	2019-08-22	Paper
A continuous time model for bitcoin price dynamics Mathematical and Statistical Methods for Actuarial Sciences and Finance	2018-10-12	Paper
On an implicit assessment of fuzzy volatility in the Black and Scholes environment Fuzzy Sets and Systems	2014-04-14	Paper
Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model Computational Statistics and Data Analysis	2010-03-30	Paper
Conditional tail behaviour and Value at Risk Quantitative Finance	2008-01-31	Paper
Runs tests for assessing volatility forecastability in financial time series European Journal of Operational Research	2005-01-12	Paper

Research outcomes over time

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