Details about Sergio Bianchi
Access statistics for papers by Sergio Bianchi.
Last updated 2009-10-09. Update your information in the RePEc Author Service.
Short-id: pbi146
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Journal Articles
Working Papers
2009
- Financial Portfolio Selection in a Nonstationary Gaussian Framework
Working Papers, Universitatea Spiru Haret, Facultatea de Finante si Banci, Centrul de Cercetari Economico-Financiare Avansate
2008
- Global Asset Return in Pension Funds: a dynamical risk analysis
MPRA Paper, University Library of Munich, Germany
2004
- A new distribution-based test of self-similarity
MPRA Paper, University Library of Munich, Germany
2001
- A Distribution-Based Method For Evaluating Multiscaling In Finance
CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
Journal Articles
2008
- MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÃLDER REGULARITY
International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (06), 567-595
2007
- Modelling stock price movements: multifractality or multifractionality?
Quantitative Finance, 2007, 7, (3), 301-319
2005
- PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE
International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (02), 255-281
View citations
2004
- Demographic dynamics for the pay-as-you-go pension system
Pure Mathematics and Applications, 2004, 15, (4), 357-374