Details about Rosella Castellano

Access statistics for papers by Rosella Castellano.

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

Short-id: pca464

Working Papers

2016

1. Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law
   Papers, arXiv.org View citations (15)
   See also Journal Article Regularities and discrepancies of credit default swaps: a data science approach through Benford's law, Chaos, Solitons & Fractals, Elsevier (2016) View citations (13) (2016)

2010

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

2008

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

2005

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

1999

6. 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)

2021

2. 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
3. What if versus probabilistic scenarios: a neuroscientific analysis
   Annals of Operations Research, 2021, 299, (1), 331-347 View citations (1)

2020

4. Exploring the financial risk of a temperature index: a fractional integrated approach
   Annals of Operations Research, 2020, 284, (1), 225-242 View citations (3)
5. Special issue: Qualitative and quantitative methods in tourism research
   Quality & Quantity: International Journal of Methodology, 2020, 54, (5), 1385-1386

2019

6. 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

2016

7. Regularities and discrepancies of credit default swaps: a data science approach through Benford's law
   Chaos, Solitons & Fractals, 2016, 90, (C), 8-17 View citations (13)
   See also Working Paper Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law, Papers (2016) View citations (15) (2016)
8. Sustainable management of fossil fuels: A dynamic stochastic optimization approach with jump-diffusion
   European Journal of Operational Research, 2016, 255, (1), 288-297 View citations (2)

2014

9. 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 View citations (12)
10. Mean–Variance portfolio selection in presence of infrequently traded stocks
    European Journal of Operational Research, 2014, 234, (2), 442-449 View citations (10)

2013

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

2011

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

2001

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