Details about Giovanni De Luca
Access statistics for papers by Giovanni De Luca.
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- A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering
MPRA Paper, University Library of Munich, Germany
- A Time-varying Mixing Multiplicative Error Model for Realized Volatility Abstract: In this paper we model the dynamics of realized volatility as a Multiplicative Error Model with a mixture of distributions for the innovation term with time-varying mixing weights forced by past behavior of volatility. The mixture considers innovations as a source of time-varying volatility of volatility and is able to capture the right tail behavior of the distribution of volatility. The empirical results show that there is no substantial difference in the one-step ahead conditional expectations obtained according to various mixing schemes but that fixity of mixing weights may be a binding constraint in deriving accurate quantiles of the predicted distribution
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
- 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" View citations (2)
Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2005) View citations (4)
See also Journal Article in Econometric Reviews (2009)
- Predicting U.S. recessions through a combination of probability forecasts
Empirical Economics, 2014, 46, (1), 127-144 View citations (1)
- A tail dependence-based dissimilarity measure for financial time series clustering
Advances in Data Analysis and Classification, 2011, 5, (4), 323-340 View citations (6)
- Archimedean copulae for risk measurement
Journal of Applied Statistics, 2009, 36, (8), 907-924 View citations (1)
- Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
Econometric Reviews, 2009, 28, (1-3), 102-120 View citations (4)
See also Working Paper (2006)
- Regime-switching Pareto distributions for ACD models
Computational Statistics & Data Analysis, 2006, 51, (4), 2179-2191 View citations (9)
- Mixture Processes for Financial Intradaily Durations
Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 1-20 View citations (17)
- Finite and infinite mixtures for financial durations
Metron - International Journal of Statistics, 2003, LXI, (3), 431-455 View citations (7)
- Likelihood-based inference for asymmetric stochastic volatility models
Computational Statistics & Data Analysis, 2003, 42, (3), 445-449 View citations (7)
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