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Details about Rosella Castellano

Homepage:https://www.international.unitelmasapienza.it/faculty/teachers/rosella-castellano
Workplace:Università di Roma Unitelma Sapienza

Access statistics for papers by Rosella Castellano.

Last updated 2023-11-08. Update your information in the RePEc Author Service.

Short-id: pca464


Jump to Journal Articles Edited books Chapters

Working Papers

2016

  1. Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law
    Papers, arXiv.org Downloads View citations (13)
    See also Journal Article Regularities and discrepancies of credit default swaps: a data science approach through Benford's law, Chaos, Solitons & Fractals, Elsevier (2016) Downloads View citations (11) (2016)

2010

  1. A Disutility-Based Drift Control for Exchange Rates
    Working Papers, Macerata University, Department of Finance and Economic Sciences Downloads
  2. Roots and Effects of Investments' Misperception
    Working Papers, Macerata University, Department of Finance and Economic Sciences Downloads

2008

  1. Bayesian inference for Hidden Markov Model
    Working Papers, Macerata University, Department of Finance and Economic Sciences Downloads

2005

  1. Long Swings in the US-Dollar: a Stochastic Control Approach
    Computing in Economics and Finance 2005, Society for Computational Economics

1999

  1. Performance of a Hedged Dynamic Portfolio Model in the Presence of Extreme Events
    Computing in Economics and Finance 1999, Society for Computational Economics

Journal Articles

2022

  1. Structural estimation of counterparty credit risk under recovery risk
    Journal of Banking & Finance, 2022, 140, (C) Downloads

2021

  1. Going concern modifications and related disclosures in the Italian stock market: do regulatory improvements help investors in capturing financial distress?
    Journal of Management & Governance, 2021, 25, (2), 433-473 Downloads
  2. What if versus probabilistic scenarios: a neuroscientific analysis
    Annals of Operations Research, 2021, 299, (1), 331-347 Downloads

2020

  1. Exploring the financial risk of a temperature index: a fractional integrated approach
    Annals of Operations Research, 2020, 284, (1), 225-242 Downloads View citations (2)
  2. Special issue: Qualitative and quantitative methods in tourism research
    Quality & Quantity: International Journal of Methodology, 2020, 54, (5), 1385-1386 Downloads

2019

  1. Are stock price dynamics affected by financial analysts recommendations? Evidence from Italian green energy stocks
    Quality & Quantity: International Journal of Methodology, 2019, 53, (5), 2535-2544 Downloads

2016

  1. Regularities and discrepancies of credit default swaps: a data science approach through Benford's law
    Chaos, Solitons & Fractals, 2016, 90, (C), 8-17 Downloads View citations (11)
    See also Working Paper Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law, Papers (2016) Downloads View citations (13) (2016)
  2. Sustainable management of fossil fuels: A dynamic stochastic optimization approach with jump-diffusion
    European Journal of Operational Research, 2016, 255, (1), 288-297 Downloads View citations (2)

2014

  1. Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective
    Central European Journal of Operations Research, 2014, 22, (2), 285-305 Downloads View citations (12)
  2. Mean–Variance portfolio selection in presence of infrequently traded stocks
    European Journal of Operational Research, 2014, 234, (2), 442-449 Downloads View citations (9)

2013

  1. CDS volatility: the key signal of credit quality
    Annals of Operations Research, 2013, 205, (1), 89-107 Downloads View citations (10)
  2. Roots and effects of financial misperception in a stochastic dominance framework
    Quality & Quantity: International Journal of Methodology, 2013, 47, (6), 3371-3389 Downloads View citations (4)

2011

  1. The optimal bid/ask spread in a Specialist System
    Economic Modelling, 2011, 28, (5), 2247-2253 Downloads View citations (2)

2001

  1. Performance of a Hedged Stochastic Portfolio Model in the Presence of Extreme Events
    Computational Economics, 2001, 17, (2-3), 239-52 Downloads View citations (2)

Edited books

2023

  1. In the Footsteps of Giorgio Philip Szegö
    International Series in Operations Research and Management Science, Springer

Chapters

2023

  1. In Our Hearts
    Springer
 
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