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Details about Roy Cerqueti

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Workplace:Dipartimento di Scienze Sociali ed Economiche (Department of Social and Economic Sciences), "Sapienza" Università di Roma (Sapienza University of Rome), (more information at EDIRC)

Access statistics for papers by Roy Cerqueti.

Last updated 2020-03-19. Update your information in the RePEc Author Service.

Short-id: pce67


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Working Papers

2019

  1. Rational expectations and stochastic systems
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2017) Downloads

2018

  1. Data on the annual aggregated income taxes of the Italian municipalities over the quinquennium 2007-2011
    Papers, arXiv.org Downloads
  2. Does social capital explain the Solow residual? A DSGE approach
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Exploring how innovation strategies at time of crisis influence performance: a cluster analysis perspective
    Papers, arXiv.org Downloads View citations (4)
  4. Investigating the configurations in cross-shareholding: a joint copula-entropy approach
    Papers, arXiv.org Downloads View citations (3)
  5. SME investment best strategies. Outliers for assessing how to optimize performance
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
  6. Systemic risk assessment through high order clustering coefficient
    Papers, arXiv.org Downloads View citations (1)

2017

  1. Civic capital and support for the welfare state
    EconStor Preprints, ZBW - Leibniz Information Centre for Economics Downloads View citations (5)
    Also in MPRA Paper, University Library of Munich, Germany (2016) Downloads View citations (5)
    Econometica Working Papers, Econometica (2017) Downloads
    EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels (2017) Downloads

    See also Journal Article in Social Choice and Welfare (2019)
  2. Data science for assessing possible tax income manipulation: The case of Italy
    Papers, arXiv.org Downloads View citations (3)

2016

  1. Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall
    Papers, arXiv.org Downloads
  2. Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law
    Papers, arXiv.org Downloads View citations (4)
  3. Studies on Regional Wealth Inequalities: the case of Italy
    Papers, arXiv.org Downloads View citations (2)

2015

  1. Consistent Risk Acceptance Criteria through Networks
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads
  2. Cross Ranking of Cities and Regions: Population vs. Income
    Papers, arXiv.org Downloads View citations (3)
  3. Over consumption. A horse race of Bayesian DSGE models
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Total positivity for a class of non-exchangeable copulas
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads

2014

  1. A new family of nonexchangeable copulas for positive dependence
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads View citations (1)
  2. Assessing the Inequalities of Wealth in Regions: the Italian Case
    Papers, arXiv.org Downloads
  3. Benford's law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions
    Papers, arXiv.org Downloads View citations (15)
  4. Evidence of Economic Regularities and Disparities of Italian Regions From Aggregated Tax Income Size Data
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2015)

2013

  1. Relevant States and Memory in Markov Chain Bootstrapping and Simulation
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in European Journal of Operational Research (2017)

2012

  1. A Mixed Integer Linear Programming Approach to Markov Chain Bootstrapping
    Working Papers, Macerata University, Department of Finance and Economic Sciences Downloads
  2. A copula-based analysis of false discovery rate control under dependence assumptions
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads View citations (2)
  3. On the dynamics of innovators and imitators
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)

2011

  1. Corruption, Growth and Ethnic Fractionalization: a Theoretical Model
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (1)
    See also Journal Article in Journal of Economics (2012)
  2. FDR Control in the Presence of an Unknown Correlation Structure
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads View citations (1)

2010

  1. A Disutility-Based Drift Control for Exchange Rates
    Working Papers, Macerata University, Department of Finance and Economic Sciences Downloads
  2. Corruption, growth and ethnolinguistic fractionalization: a theoretical model
    Working Papers, Macerata University, Department of Finance and Economic Sciences Downloads View citations (3)
  3. Economic growth, corruption and tax evasion
    Working Papers, Macerata University, Department of Finance and Economic Sciences Downloads View citations (3)
    See also Journal Article in Economic Modelling (2011)
  4. Roots and Effects of Investments' Misperception
    Working Papers, Macerata University, Department of Finance and Economic Sciences Downloads

2009

  1. A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads
  2. A Discrete Model for Patent Valuation
    ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) Downloads
  3. New panel tests to assess inflation persistence
    Working Papers, Macerata University, Department of Finance and Economic Sciences Downloads View citations (1)
  4. Optimal Dimension of Transition Probability Matrices for Markov Chain Bootstrapping
    Working Papers, Macerata University, Department of Finance and Economic Sciences Downloads View citations (1)
  5. Why is the Tax Evasion so Persistent?
    ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) Downloads

2008

  1. A dynamic stochastic model of asset pricing with heterogeneous beliefs
    Working Papers, Macerata University, Department of Finance and Economic Sciences Downloads View citations (1)
    See also Journal Article in Computational Economics (2010)
  2. A stochastic model for financiers
    Working Papers, Macerata University, Department of Finance and Economic Sciences Downloads
  3. Change in persistence tests for panels: An update and some new results
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads

2007

  1. Change in persistence tests for panels
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads
  2. Non parametric Fractional Cointegration Analysis
    ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) Downloads

2006

  1. Testing for rational bubbles
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads View citations (1)

2005

  1. Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads
  2. Generalization of a nonparametric co-integration analysis for multivariate integrated processes of an integer order
    Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI Downloads View citations (1)

Journal Articles

2019

  1. A Generalized Error Distribution Copula-based method for portfolios risk assessment
    Physica A: Statistical Mechanics and its Applications, 2019, 524, (C), 687-695 Downloads
  2. A Network-Based Measure of the Socio-Economic Roots of the Migration Flows
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2019, 146, (1), 187-204 Downloads View citations (1)
  3. Civic capital and support for the welfare state
    Social Choice and Welfare, 2019, 53, (2), 313-336 Downloads
    See also Working Paper (2017)
  4. Long run analysis of crude oil portfolios
    Energy Economics, 2019, 79, (C), 183-205 Downloads
  5. Macro Asset Allocation with Social Impact Investments
    Sustainability, 2019, 11, (11), 1-19 Downloads View citations (1)
  6. Measuring network resilience through connection patterns
    Reliability Engineering and System Safety, 2019, 188, (C), 320-329 Downloads
  7. Panel stationary tests against changes in persistence
    Statistical Papers, 2019, 60, (4), 1079-1100 Downloads

2018

  1. Does the U.S. exercise contagion on Italy? A theoretical model and empirical evidence
    Physica A: Statistical Mechanics and its Applications, 2018, 499, (C), 436-442 Downloads View citations (4)
  2. Intriguing yet simple skewness: kurtosis relation in economic and demographic data distributions, pointing to preferential attachment processes
    Journal of Applied Statistics, 2018, 45, (12), 2202-2218 Downloads View citations (2)
  3. SME investment best strategies. Outliers for assessing how to optimize performance
    Physica A: Statistical Mechanics and its Applications, 2018, 509, (C), 754-765 Downloads View citations (1)
    See also Working Paper (2018)

2017

  1. A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping
    Annals of Operations Research, 2017, 248, (1), 163-187 Downloads
  2. Long-range properties and data validity for hydrogeological time series: The case of the Paglia river
    Physica A: Statistical Mechanics and its Applications, 2017, 470, (C), 39-50 Downloads View citations (1)
  3. Relevant states and memory in Markov chain bootstrapping and simulation
    European Journal of Operational Research, 2017, 256, (1), 163-177 Downloads View citations (2)
    See also Working Paper (2013)

2016

  1. A game theoretical analysis of the impact of income inequality and ethnic diversity on fiscal corruption
    Annals of Operations Research, 2016, 243, (1), 71-87 Downloads View citations (1)
  2. Forecasting macroeconomic fundamentals in economic crises
    Annals of Operations Research, 2016, 247, (2), 451-469 Downloads View citations (2)
  3. Innovation, imitation and policy inaction
    Technological Forecasting and Social Change, 2016, 111, (C), 22-30 Downloads View citations (1)
  4. Optimal Investment in Research and Development Under Uncertainty
    Journal of Optimization Theory and Applications, 2016, 168, (1), 296-309 Downloads View citations (2)
  5. Risk measures on networks and expected utility
    Reliability Engineering and System Safety, 2016, 155, (C), 1-8 Downloads
  6. 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)

2015

  1. A review of aggregation techniques for agent-based models: understanding the presence of long-term memory
    Quality & Quantity: International Journal of Methodology, 2015, 49, (4), 1693-1717 Downloads View citations (1)
  2. Corruptibility and tax evasion
    European Journal of Law and Economics, 2015, 39, (2), 355-373 Downloads
  3. Evidence of economic regularities and disparities of Italian regions from aggregated tax income size data
    Physica A: Statistical Mechanics and its Applications, 2015, 421, (C), 187-207 Downloads View citations (8)
    See also Working Paper (2014)
  4. On the coexistence of innovators and imitators
    Technological Forecasting and Social Change, 2015, 90, (PB), 487-496 Downloads View citations (7)
  5. Patent Valuation under Spatial Point Processes with Delayed and Decreasing Jump Intensity
    The B.E. Journal of Theoretical Economics, 2015, 15, (2), 433-456 Downloads
  6. Statistical assessment of regional wealth inequalities: the Italian case
    Quality & Quantity: International Journal of Methodology, 2015, 49, (6), 2307-2323 Downloads View citations (7)

2014

  1. A quantitative view on policymakers’ goal, institutions and tax evasion
    Quality & Quantity: International Journal of Methodology, 2014, 48, (3), 1493-1510 Downloads View citations (1)
  2. Mean–Variance portfolio selection in presence of infrequently traded stocks
    European Journal of Operational Research, 2014, 234, (2), 442-449 Downloads View citations (6)

2013

  1. A Tabu Search heuristic procedure in Markov chain bootstrapping
    European Journal of Operational Research, 2013, 227, (2), 367-384 Downloads View citations (1)
  2. Economic interactions and social tolerance: A dynamic perspective
    Economics Letters, 2013, 120, (3), 458-463 Downloads View citations (5)
  3. Roots and effects of financial misperception in a stochastic dominance framework
    Quality & Quantity: International Journal of Methodology, 2013, 47, (6), 3371-3389 Downloads

2012

  1. Corruption, growth and ethnic fractionalization: a theoretical model
    Journal of Economics, 2012, 106, (2), 153-181 Downloads View citations (2)
    See also Working Paper (2011)
  2. Financing policies via stochastic control: a dynamic programming approach
    Journal of Global Optimization, 2012, 53, (3), 539-561 Downloads View citations (1)
  3. Illegal finance and usurers behaviour
    European Journal of Law and Economics, 2012, 34, (2), 265-277 Downloads View citations (5)

2011

  1. Economic growth, corruption and tax evasion
    Economic Modelling, 2011, 28, (1), 489-500 Downloads View citations (10)
    Also in Economic Modelling, 2011, 28, (1-2), 489-500 (2011) Downloads View citations (10)

    See also Working Paper (2010)
  2. Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels
    Journal of Banking & Finance, 2011, 35, (10), 2598-2605 Downloads View citations (7)
  3. The optimal bid/ask spread in a Specialist System
    Economic Modelling, 2011, 28, (5), 2247-2253 Downloads View citations (1)

2010

  1. A Dynamic Stochastic Model of Asset Pricing with Heterogeneous Beliefs
    Computational Economics, 2010, 35, (2), 165-188 Downloads View citations (2)
    See also Working Paper (2008)
  2. OPTIONS WITH UNDERLYING ASSET DRIVEN BY A FRACTIONAL BROWNIAN MOTION: CROSSING BARRIERS ESTIMATES
    New Mathematics and Natural Computation (NMNC), 2010, 06, (01), 109-118 Downloads

2009

  1. A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts
    Insurance: Mathematics and Economics, 2009, 45, (1), 59-64 Downloads View citations (4)
  2. Tax revenues, fiscal corruption and "shame" costs
    Economic Modelling, 2009, 26, (6), 1239-1244 Downloads View citations (8)

2008

  1. On the asymptotic behaviour of random matrices in a multivariate statistical model
    Statistics & Probability Letters, 2008, 78, (14), 2039-2045 Downloads
 
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