| Option pricing in a Garch model with tempered stable innovations L Mercuri Finance research letters 5 (3), 172-182, 2008 | 35 | 2008 |
| Approximation of the variance gamma model with a finite mixture of normals A Loregian, L Mercuri, E Rroji Statistics & Probability Letters 82 (2), 217-224, 2012 | 28 | 2012 |
| Implementation of Lévy CARMA model in Yuima package SM Iacus, L Mercuri Computational Statistics 30, 1111-1141, 2015 | 26 | 2015 |
| Portfolio allocation using multivariate variance gamma models A Hitaj, L Mercuri Financial markets and portfolio management 27, 65-99, 2013 | 24 | 2013 |
| COGARCH (p, q): Simulation and Inference with yuima Package SM Iacus, L Mercuri, E Rroji JOURNAL OF STATISTICAL SOFTWARE 80, 2017 | 18* | 2017 |
| Portfolio selection with independent component analysis A Hitaj, L Mercuri, E Rroji Finance Research Letters 15, 146-159, 2015 | 17 | 2015 |
| Implicit expectiles and measures of implied volatility F Bellini, L Mercuri, E Rroji Quantitative Finance 18 (11), 1851-1864, 2018 | 12 | 2018 |
| Mixed tempered stable distribution E Rroji, L Mercuri Quantitative Finance 15 (9), 1559-1569, 2015 | 12 | 2015 |
| Option pricing in a conditional bilateral gamma model F Bellini, L Mercuri Central European Journal of Operations Research 22, 373-390, 2014 | 9 | 2014 |
| Option pricing in a dynamic Variance Gamma model F BELLINI, L MERCURI Journal of Financial Decision Making 7 (1), 2011 | 9* | 2011 |
| Option pricing in Garch models F Bellini, L Mercuri Preprint, Universita di Milano Bicocca, 2007 | 9 | 2007 |
| On the dependence structure between S&P500, VIX and implicit Interexpectile Differences F Bellini, L Mercuri, E Rroji Quantitative Finance 20 (11), 1839-1848, 2020 | 6 | 2020 |
| Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming G Consigli, V Moriggia, S Vitali, L Mercuri Computational Management Science 15, 599-632, 2018 | 6 | 2018 |
| Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation SM Iacus, L Mercuri, E Rroji Journal of Time Series Analysis 39 (5), 787-809, 2018 | 6 | 2018 |
| Risk parity for Mixed Tempered Stable distributed sources of risk L Mercuri, E Rroji Annals of Operations Research 260, 375-393, 2018 | 6* | 2018 |
| Hedge fund portfolio allocation with higher moments and mvg models A Hitaj, L Mercuri Advances in Financial Risk Management: Corporates, Intermediaries and …, 2013 | 6 | 2013 |
| Lévy CARMA models for shocks in mortality A Hitaj, L Mercuri, E Rroji Decisions in Economics and Finance 42, 205-227, 2019 | 5 | 2019 |
| On properties of the MixedTS distribution and its multivariate extension A Hitaj, F Hubalek, L Mercuri, E Rroji International Statistical Review 86 (3), 512-540, 2018 | 5* | 2018 |
| Option pricing in an exponential MixedTS Lévy process L Mercuri, E Rroji Annals of Operations Research 260, 353-374, 2018 | 5 | 2018 |
| Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization A Hitaj, L Mercuri, E Rroji Computational Management Science 16, 71-95, 2019 | 4 | 2019 |
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