Rosella Castellano
Rosella Castellano
University of Rome "Unitelma Sapienza" (Italy)
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Exploring the financial risk of a temperature index: A fractional integrated approach
R Castellano, R Cerqueti, G Rotundo
Annals of Operations Research 284 (1), 225-242, 2020
Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective
R Castellano, L Scaccia
Central European Journal of Operations Research 22, 285-305, 2014
Mean–Variance portfolio selection in presence of infrequently traded stocks
R Castellano, R Cerqueti
European Journal of Operational Research 234 (2), 442-449, 2014
Regularities and discrepancies of credit default swaps: a data science approach through Benford's law
M Ausloos, R Castellano, R Cerqueti
Chaos, Solitons & Fractals 90, 8-17, 2016
CDS volatility: the key signal of credit quality
R Castellano, RL D’Ecclesia
Annals of Operations Research, 1-19, 2012
Data analysis and classification
M Palumbo, CN Lauro, MJ Greenacre
Proceedings of the 6th Conference of the Classification and Data Analysisá…, 2010
Going concern modifications and related disclosures in the Italian stock market: do regulatory improvements help investors in capturing financial distress?
S Brunelli, C Carlino, R Castellano, A Giosi
Journal of Management and Governance 25 (2), 433-473, 2021
CDS and rating announcements: changing signaling during the crisis?
R Castellano, L Scaccia
Review of Managerial Science 6, 239-264, 2012
Credit default swaps: implied ratings versus official ones
R Castellano, R Giacometti
4OR 10, 163-180, 2012
Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach
R Castellano, R Cerqueti
Applied Mathematics and Computation 218 (12), 6887-6898, 2012
The analysis of the impact of the framing effect on the choice of financial products: an analytical hierarchical process approach
V Ventre, R Martino, R Castellano, P Sarnacchiaro
Annals of Operations Research, 1-17, 2023
An optimization model for minimizing systemic risk
R Castellano, R Cerqueti, GP Clemente, R Grassi
Mathematics and Financial Economics 15, 103-129, 2021
Roots and effects of financial misperception in a stochastic dominance framework
R Castellano, R Cerqueti
Quality & Quantity 47, 3371-3389, 2013
Performance of a hedged stochastic portfolio model in the presence of extreme events
R Castellano, R Giacometti
Computational Economics 17, 239-252, 2001
A theory of misperception in a stochastic dominance framework and its application to structured financial products
R Castellano, R Cerqueti
IMA Journal of Management Mathematics 29 (1), 23-37, 2018
Are stock price dynamics affected by financial analysts recommendations? Evidence from Italian green energy stocks
R Castellano, A Ferrari
Quality & Quantity 53, 2535-2544, 2019
Sustainable management of fossil fuels: A dynamic stochastic optimization approach with jump-diffusion
R Castellano, R Cerqueti, L Spinesi
European Journal of Operational Research 255 (1), 288-297, 2016
The optimal bid/ask spread in a Specialist System
R Castellano, R Cerqueti
Economic Modelling 28 (5), 2247-2253, 2011
Bayesian hidden Markov models for financial data
R Castellano, L Scaccia
Data Analysis and Classification: Proceedings of the 6th Conference of theá…, 2010
A Markov switching re-evaluation of event-study methodology
R Castellano, L Scaccia
Proceedings of COMPSTAT'2010: 19th International Conference on Computationalá…, 2010
Il sistema al momento non pu˛ eseguire l'operazione. Riprova pi¨ tardi.
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