Sfoglia per Autore
Compound option pricing under stochastic volatility
2016-01-01 Leccadito, Arturo; Russo, Emilio
Pricing and hedging basket options with exact moment matching
2016-01-01 Leccadito, Arturo; Tommaso, Paletta; Radu, Tunaru
Assessing contagion risk from energy and non-energy commodity markets
2017-01-01 Algieri, Bernardina; Leccadito, Arturo
Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test
2019-01-01 Algieri, Bernardina; Leccadito, Arturo
Ask CARL: Forecasting Tail Probability for Energy Commodities
2019-01-01 Algieri, Bernardina; Leccadito, Arturo
The Dynamics of the S&P 500 under a Crisis Context: Insights from a Three-Regime Switching Model
2020-01-01 CERBONI BAIARDI, Lorenzo; Costabile, Massimo; DE GIOVANNI, Domenico; Lamantia, Fabio Giovanni; Leccadito, Arturo; Massabo', Ivar; Menzietti, Massimiliano; Pirra, Marco; Russo, Emilio; Staino, Alessandro
CARL and His POT: Measuring Risks in Commodity Markets
2020-01-01 Algieri, Bernardina; Leccadito, Arturo
Extreme Price Moves: An INGARCH Approach to Model Coexceedances in Commodity Markets
2021-01-01 Algieri, Bernardina; Leccadito, Arturo
A Time-Varying Gerber Statistic: Application of a Novel Correlation Metric to Commodity Price Co-Movements
2021-01-01 Algieri, Bernardina; Leccadito, Arturo; Toscano, Pietro
Risk premia in electricity derivatives markets
2021-01-01 Algieri, Bernardina; Leccadito, Arturo; Tunaru, Diana
On the determinants of data breaches: A cointegration analysis
2021-01-01 De Giovanni, D.; Leccadito, A.; Pirra, M.
Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
2022-01-01 De Giovanni, Domenico; Leccadito, Arturo; Loccisano, Debora
Multilevel and Tail Risk Management
2022-01-01 Khalaf, Lynda; Leccadito, Arturo; Urga, Giovanni
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
2022-01-01 Staino, Alessandro; Russo, Emilio; Costabile, Massimo; Leccadito, Arturo.
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
2022-01-01 Staino, Alessandro; Russo, Emilio; Costabile, Massimo; Leccadito, Arturo
Exploring Dependence Relationships between Bitcoin and Commodity returns: An assessment using the Gerber Cross-Correlation
2022-01-01 Lawuobahsumo, Kokulo K.; Algieri, Bernardina; Iania, Leonardo; Leccadito, Arturo
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
2023-01-01 Staino, Alessandro; Russo, Emilio; Costabile, Massimo; Leccadito, Arturo
The interest in online museum experiences and the influence of uncertainty and sentiment factors on tourist arrivals: The case of EU Mediterranean countries
2023-01-01 Algieri, Bernardina; Leccadito, Arturo; Lombardo, Rosetta
Forecasting cryptocurrencies returns: Do macroeconomic and financial variables improve tail expectation predictions?
2023-01-01 Lawuobahsumo, Kokulo K.; Algieri, Bernardina; Leccadito, Arturo
Looking ahead: Forecasting total energy carbon dioxide emissions
2023-01-01 Algieri, B.; Iania, L.; Leccadito, A.
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