Giovanni De Luca
Giovanni De Luca
Email verificata su uniparthenope.it
Titolo
Citata da
Citata da
Anno
A tail dependence-based dissimilarity measure for financial time series clustering
G De Luca, P Zuccolotto
Advances in Data Analysis and Classification 5 (4), 323-340, 2011
532011
Mixture processes for financial intradaily durations
G De Luca, GM Gallo
Studies in Nonlinear Dynamics & Econometrics 8 (2), 2004
532004
A multivariate skew-garch model
G De Luca, MG Genton, N Loperfido
Advances in Econometrics: Econometric Analysis of Economic and Financialá…, 2006
452006
Time-varying mixing weights in mixture autoregressive conditional duration models
GD Luca, GM Gallo
Econometric Reviews 28 (1-3), 102-120, 2008
412008
Multivariate tail dependence coefficients for Archimedean copulae
G De Luca, G Rivieccio
Advanced Statistical Methods for the Analysis of Large Data-Sets, 287-296, 2012
342012
Regime-switching Pareto distributions for ACD models
G De Luca, P Zuccolotto
Computational Statistics & Data Analysis 51 (4), 2179-2191, 2006
332006
Likelihood-based inference for asymmetric stochastic volatility models
F Bartolucci, G De Luca
Computational statistics & data analysis 42 (3), 445-449, 2003
232003
Modelling multivariate skewness in financial returns: a SGARCH approach
G De Luca, N Loperfido
The European Journal of Finance 21 (13-14), 1113-1131, 2015
222015
Latent tuberculosis infection in patients with chronic plaque psoriasis: evidence from the Italian Psocare Registry
P Gisondi, S Cazzaniga, S Chimenti, M Maccarone, M Picardo, ...
British Journal of Dermatology 172 (6), 1613-1620, 2015
222015
Maximum likelihood estimation of a latent variable time‐series model
F Bartolucci, G De Luca
Applied Stochastic Models in Business and Industry 17 (1), 5-17, 2001
212001
A skew-in-mean GARCH model
G De Luca, N LOPERFIDO
Chapman&Hall/CRC, 2004
192004
Dynamic tail dependence clustering of financial time series
G De Luca, P Zuccolotto
Statistical Papers 58 (3), 641-657, 2017
182017
Predicting US recessions through a combination of probability forecasts
G De Luca, A Carfora
Empirical Economics 46 (1), 127-144, 2014
152014
Combining random forest and copula functions: a heuristic approach for selecting assets from a financial crisis perspective
G De Luca, G Rivieccio, P Zuccolotto
Intelligent Systems in Accounting, Finance & Management 17 (2), 91-109, 2010
142010
Mixture processes for intradaily financial durations
GD Luca, G Gallo
Studies in nonlinear dynamics and econometrics 8 (2), 1-18, 2004
142004
Copula function approaches for the analysis of serial and cross dependence in stock returns
G Rivieccio, G De Luca
Finance Research Letters 17, 55-61, 2016
102016
Archimedean copulae for risk measurement
G De Luca, G Rivieccio
Journal of Applied Statistics 36 (8), 907-924, 2009
102009
Time series clustering on lower tail dependence for portfolio selection
G De Luca, P Zuccolotto
Mathematical and Statistical Methods for Actuarial Sciences and Finance, 131-140, 2014
82014
A generalization for skewness of the basic stochastic volatility model
F Bartolucci, G De Luca, N Loperfido
XV International Workshop on Statistical Modelling, 2000
72000
Pruritus characteristics in a large Italian cohort of psoriatic patients
G Damiani, S Cazzaniga, RRZ Conic, L Naldi, Psocare Registry Network, ...
Journal of the European Academy of Dermatology and Venereology 33 (7), 1316-1324, 2019
62019
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