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Working Paper
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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. |