Details about Giovanni De Luca

Access statistics for papers by Giovanni De Luca.

Last updated 2012-04-02. Update your information in the RePEc Author Service.

Short-id: pde357

Working Papers

2010

1. A Time-varying Mixing Multiplicative Error Model for Realized Volatility
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations (1)

2006

2. Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" View citations (2)
   Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti" (2005) View citations (1)
   See also Journal Article in Econometric Reviews (2009)

Journal Articles

2011

1. A tail dependence-based dissimilarity measure for financial time series clustering
   Advances in Data Analysis and Classification, 2011, 5, (4), 323-340

2009

2. Archimedean copulae for risk measurement
   Journal of Applied Statistics, 2009, 36, (8), 907-924
3. Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
   Econometric Reviews, 2009, 28, (1-3), 102-120 View citations (2)
   See also Working Paper (2006)

2006

4. Regime-switching Pareto distributions for ACD models
   Computational Statistics & Data Analysis, 2006, 51, (4), 2179-2191 View citations (3)

2004

5. Mixture Processes for Financial Intradaily Durations
   Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 1-20 View citations (10)

2003

6. Finite and infinite mixtures for financial durations
   Metron - International Journal of Statistics, 2003, LXI, (3), 431-455 View citations (6)
7. Likelihood-based inference for asymmetric stochastic volatility models
   Computational Statistics & Data Analysis, 2003, 42, (3), 445-449 View citations (3)