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Details about Giovanni De Luca

E-mail:
Homepage:http://www.economia.uniparthenope.it/siti_docenti/Deluca/home.html
Workplace:Dipartimento di Studi Aziendali e Quantitativi (Department of Business and Quantitative Studies), Università degli Studi di Napoli - "Parthenope" (Parthenope University of Naples), (more information at EDIRC)

Access statistics for papers by Giovanni De Luca.

Last updated 2016-03-29. Update your information in the RePEc Author Service.

Short-id: pde357


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Working Papers

2013

  1. A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2010

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

2006

  1. Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (2)
    Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2005) Downloads View citations (4)

    See also Journal Article in Econometric Reviews (2009)

Journal Articles

2015

  1. Modelling multivariate skewness in financial returns: a SGARCH approach
    The European Journal of Finance, 2015, 21, (13-14), 1113-1131 Downloads View citations (1)

2014

  1. Predicting U.S. recessions through a combination of probability forecasts
    Empirical Economics, 2014, 46, (1), 127-144 Downloads View citations (1)

2011

  1. A tail dependence-based dissimilarity measure for financial time series clustering
    Advances in Data Analysis and Classification, 2011, 5, (4), 323-340 Downloads View citations (7)

2009

  1. Archimedean copulae for risk measurement
    Journal of Applied Statistics, 2009, 36, (8), 907-924 Downloads View citations (1)
  2. Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
    Econometric Reviews, 2009, 28, (1-3), 102-120 Downloads View citations (5)
    See also Working Paper (2006)

2006

  1. Regime-switching Pareto distributions for ACD models
    Computational Statistics & Data Analysis, 2006, 51, (4), 2179-2191 Downloads View citations (12)

2004

  1. Mixture Processes for Financial Intradaily Durations
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 1-20 Downloads View citations (17)

2003

  1. Finite and infinite mixtures for financial durations
    Metron - International Journal of Statistics, 2003, LXI, (3), 431-455 Downloads View citations (7)
  2. Likelihood-based inference for asymmetric stochastic volatility models
    Computational Statistics & Data Analysis, 2003, 42, (3), 445-449 Downloads View citations (8)
 
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