Applied Mathematics and Quantitative Methods list of working papers 2007
(please click on paper's number to read the abstracts)


Other Papers are available here

Working Paper
Author
Subject

E. Luciano, L. Regis

Bank Efficiency and Banking Sector Development: the Case of Italy (Download), (proceedings of the conference "Economic Modernization and Social Development!, Moscow, High Scool Economics, April 2007).
6/07
C. Morana
Estimating, Filtering and Forecasting Realized Betas (Download), (published in The Journal of Financial Forecasting, 1, 2007, 83-111).
11/07 R. T. Baillie, C. Morana Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach (Download), (published in  The Journal of Economic Dynamics and Control, 33, 2009, 1577-1592).
13/07 M. Ruggiero, S. G. Walker Bayesian Nonparametric Construction of the Fleming-Viot Process with Fertility Selection (Download)
14/07 M. Ruggiero, S. G. Walker Construction and Stationary Distribution of the Fleming-Viot Process with Viability Selection (Download)
P. De Blasi, L. F. James, J. W. Lau
Bayesian Nonparametric Estimation and Consistency of Mixed Multinomial  Logit Choice Models (Download)
16/07 A. Lijoi, R. H. Mena, I. Prünster
A Bayesian Nonparametric Method for Prediction in EST Analysis (Download), (published in BMC Bioinformatics, 8,2007, 339).
17/07 P. De Blasi, N. L. Hjort
The Bernstein-Von Mises Theorem in Semiparametric Competing Risks Models (Download)
18/07 S. Favaro, M. Ruggiero, D. Spanò, S. G. Walker
The Neutral Population Model and Bayesian Nonparametrics (Download)
19/07 R. H.Mena, L.E. Nieto-Barajas
Exchangeable Claims Sizes in a Compound Poisson Type Proces (Download)
20/07 R. Kast, A. Lapied
Dynamically Consistent Conditional Choquet Capacities (Download)
21/07 E. Luciano Copula-Based Default Dependence Modelling: Where Do We Stand? (Download), (published in "Credit Risk: Models, Derivates, and Management - Empirical Studies and Analysis", Ed. by N. Wagner, Chapman and Hall, in Financial Mathematics Series, 2008).
31/07 E. Luciano Copulas and Dependence Models in Credit Risk: Diffusions versus Jumps (Download), (published in Statistica Applicata, 18 (4), 2006, 573-588.
42/07 E. Luciano, P. Semeraro
Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion (Download), (published in the International Journal of Theretical And Applied Finance, 13 (3), May 2010.