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Anno
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
382012
Portfolio selection with independent component analysis
A Hitaj, L Mercuri, E Rroji
Finance Research Letters 15, 146-159, 2015
202015
Implicit expectiles and measures of implied volatility
F Bellini, L Mercuri, E Rroji
Quantitative Finance 18 (11), 1851-1864, 2018
152018
COGARCH (p, q): simulation and inference with Yuima package
SM Iacus, L Mercuri, E Rroji
Journal of Statistical Software 80, 1-49, 2017
152017
Mixed tempered stable distribution
E Rroji, L Mercuri
Quantitative Finance 15 (9), 1559-1569, 2015
152015
The determinants of lapse rates in the Italian life insurance market
E Barucci, T Colozza, D Marazzina, E Rroji
European Actuarial Journal 10, 149-178, 2020
122020
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
92020
Lévy CARMA models for shocks in mortality
A Hitaj, L Mercuri, E Rroji
Decisions in Economics and Finance 42, 205-227, 2019
72019
Option pricing in an exponential MixedTS Lévy process
L Mercuri, E Rroji
Annals of Operations Research 260, 353-374, 2018
72018
Risk attribution and semi-heavy tailed distributions
E Rroji
Università degli Studi di Milano-Bicocca, 2013
72013
A machine learning algorithm for stock picking built on information based outliers
E Barucci, M Bonollo, F Poli, E Rroji
Expert Systems with Applications 184, 115497, 2021
62021
Finite mixture approximation of CARMA (p, q) models
L Mercuri, A Perchiazzo, E Rroji
SIAM Journal on Financial Mathematics 12 (4), 1416-1458, 2021
62021
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
62018
Implicit quantiles and expectiles
F Bellini, E Rroji, C Sala
Annals of Operations Research, 1-21, 2022
52022
A Hawkes model with CARMA (p, q) intensity
L Mercuri, A Perchiazzo, E Rroji
Insurance: Mathematics and Economics 116, 1-26, 2024
42024
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
42019
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
42018
Risk parity for Mixed Tempered Stable distributed sources of risk
L Mercuri, E Rroji
Annals of Operations Research 260, 375-393, 2018
42018
Estimation and Simulation of a COGARCH (p, q) model in the YUIMA project
SM Iacus, L Mercuri, E Rroji
arXiv preprint arXiv:1505.03914, 2015
42015
Multivariate mixed tempered stable distribution
A Hitaj, F Hubalek, L Mercuri, E Rroji
arXiv preprint arXiv:1609.00926, 2016
32016
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
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