Details about Roy Cerqueti

Access statistics for papers by Roy Cerqueti.

Last updated 2024-04-27. Update your information in the RePEc Author Service.

Short-id: pce67

Working Papers

2020

1. Anxiety for the pandemic and trust in financial markets
   Papers, arXiv.org
2. ESG Investing: A Chance To Reduce Systemic Risk
   CEIS Research Paper, Tor Vergata University, CEIS View citations (4)
3. Segregation with Social Linkages: Evaluating Schelling's Model with Networked Individuals
   Papers, arXiv.org
4. Simple approaches on how to discover promising strategies for efficient enterprise performance, at time of crisis in the case of SMEs: Voronoi clustering and outlier effects perspective
   Papers, arXiv.org
5. Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
   Papers, arXiv.org View citations (24)
6. Systemic risk assessment through high order clustering coefficient
   Papers, arXiv.org View citations (5)
7. The Resilience of the Socially Responsible Investment Networks
   CEIS Research Paper, Tor Vergata University, CEIS View citations (1)

2019

8. Rational expectations and stochastic systems
   Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2019)
   Post-Print, HAL (2019)

2018

9. Data on the annual aggregated income taxes of the Italian municipalities over the quinquennium 2007-2011
   Papers, arXiv.org
10. Does social capital explain the Solow residual? A DSGE approach
    MPRA Paper, University Library of Munich, Germany
11. Exploring how innovation strategies at time of crisis influence performance: a cluster analysis perspective
    Papers, arXiv.org View citations (9)
12. Investigating the configurations in cross-shareholding: a joint copula-entropy approach
    Papers, arXiv.org View citations (10)
13. SME investment best strategies. Outliers for assessing how to optimize performance
    Papers, arXiv.org View citations (2)
    See also Journal Article SME investment best strategies. Outliers for assessing how to optimize performance, Physica A: Statistical Mechanics and its Applications, Elsevier (2018) View citations (2) (2018)

2017

14. Civic capital and support for the welfare state
    EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels
    Also in EconStor Preprints, ZBW - Leibniz Information Centre for Economics (2017) View citations (5)
    Econometica Working Papers, Econometica (2017)
    MPRA Paper, University Library of Munich, Germany (2016) View citations (5)
    See also Journal Article Civic capital and support for the welfare state, Social Choice and Welfare, Springer (2019) View citations (12) (2019)
15. Data science for assessing possible tax income manipulation: The case of Italy
    Papers, arXiv.org View citations (11)
    See also Journal Article Data science for assessing possible tax income manipulation: The case of Italy, Chaos, Solitons & Fractals, Elsevier (2017) View citations (11) (2017)

2016

16. Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall
    Papers, arXiv.org View citations (1)
17. Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benford's Law
    Papers, arXiv.org View citations (13)
18. Studies on Regional Wealth Inequalities: the case of Italy
    Papers, arXiv.org View citations (2)

2015

19. Consistent Risk Acceptance Criteria through Networks
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics
20. Cross Ranking of Cities and Regions: Population vs. Income
    Papers, arXiv.org View citations (5)
21. Over consumption. A horse race of Bayesian DSGE models
    MPRA Paper, University Library of Munich, Germany
22. Total positivity for a class of non-exchangeable copulas
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics

2014

23. A new family of nonexchangeable copulas for positive dependence
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (1)
24. Assessing the Inequalities of Wealth in Regions: the Italian Case
    Papers, arXiv.org
25. Benford's law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions
    Papers, arXiv.org View citations (25)
26. Evidence of Economic Regularities and Disparities of Italian Regions From Aggregated Tax Income Size Data
    Papers, arXiv.org View citations (1)
    See also Journal Article Evidence of economic regularities and disparities of Italian regions from aggregated tax income size data, Physica A: Statistical Mechanics and its Applications, Elsevier (2015) View citations (18) (2015)

2013

27. Relevant States and Memory in Markov Chain Bootstrapping and Simulation
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Relevant states and memory in Markov chain bootstrapping and simulation, European Journal of Operational Research, Elsevier (2017) View citations (2) (2017)

2012

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

2011

31. Corruption, Growth and Ethnic Fractionalization: a Theoretical Model
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
    See also Journal Article Corruption, growth and ethnic fractionalization: a theoretical model, Journal of Economics, Springer (2012) View citations (11) (2012)
32. FDR Control in the Presence of an Unknown Correlation Structure
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (1)

2010

33. A Disutility-Based Drift Control for Exchange Rates
    Working Papers, Macerata University, Department of Finance and Economic Sciences
34. Corruption, growth and ethnolinguistic fractionalization: a theoretical model
    Working Papers, Macerata University, Department of Finance and Economic Sciences View citations (5)
35. Economic growth, corruption and tax evasion
    Working Papers, Macerata University, Department of Finance and Economic Sciences View citations (3)
    See also Journal Article Economic growth, corruption and tax evasion, Economic Modelling, Elsevier (2011) View citations (23) (2011)
36. Roots and Effects of Investments' Misperception
    Working Papers, Macerata University, Department of Finance and Economic Sciences

2009

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

2008

42. A dynamic stochastic model of asset pricing with heterogeneous beliefs
    Working Papers, Macerata University, Department of Finance and Economic Sciences
    See also Journal Article A Dynamic Stochastic Model of Asset Pricing with Heterogeneous Beliefs, Computational Economics, Springer (2010) View citations (2) (2010)
43. A stochastic model for financiers
    Working Papers, Macerata University, Department of Finance and Economic Sciences
44. Change in persistence tests for panels: An update and some new results
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics

2007

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

2006

47. Testing for rational bubbles
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (1)

2005

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

Journal Articles

2020

1. Exploring the financial risk of a temperature index: a fractional integrated approach
   Annals of Operations Research, 2020, 284, (1), 225-242 View citations (2)
2. Optimal concession contracts for oil exploitation
   Energy Policy, 2020, 147, (C) View citations (2)
3. The Skew Normal multivariate risk measurement framework
   Computational Management Science, 2020, 17, (1), 105-119 View citations (1)
4. Words ranking and Hirsch index for identifying the core of the hapaxes in political texts
   Journal of Informetrics, 2020, 14, (3) View citations (4)

2019

5. A Generalized Error Distribution Copula-based method for portfolios risk assessment
   Physica A: Statistical Mechanics and its Applications, 2019, 524, (C), 687-695 View citations (8)
6. 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 View citations (2)
7. Civic capital and support for the welfare state
   Social Choice and Welfare, 2019, 53, (2), 313-336 View citations (12)
   See also Working Paper Civic capital and support for the welfare state, EERI Research Paper Series (2017) (2017)
8. Long run analysis of crude oil portfolios
   Energy Economics, 2019, 79, (C), 183-205 View citations (4)
9. Macro Asset Allocation with Social Impact Investments
   Sustainability, 2019, 11, (11), 1-19 View citations (8)
10. Measuring network resilience through connection patterns
    Reliability Engineering and System Safety, 2019, 188, (C), 320-329 View citations (10)
11. Panel stationary tests against changes in persistence
    Statistical Papers, 2019, 60, (4), 1079-1100

2018

12. 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 View citations (7)
13. 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 View citations (2)
14. Regular paths in financial markets: Investigating the Benford's law
    Chaos, Solitons & Fractals, 2018, 107, (C), 186-194 View citations (7)
15. SME investment best strategies. Outliers for assessing how to optimize performance
    Physica A: Statistical Mechanics and its Applications, 2018, 509, (C), 754-765 View citations (2)
    See also Working Paper SME investment best strategies. Outliers for assessing how to optimize performance, Papers (2018) View citations (2) (2018)

2017

16. A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping
    Annals of Operations Research, 2017, 248, (1), 163-187
17. Assessing the relationship between toxicity and economic cost of oncological target agents: A systematic review of clinical trials
    PLOS ONE, 2017, 12, (8), 1-17
18. Data science for assessing possible tax income manipulation: The case of Italy
    Chaos, Solitons & Fractals, 2017, 104, (C), 238-256 View citations (11)
    See also Working Paper Data science for assessing possible tax income manipulation: The case of Italy, Papers (2017) View citations (11) (2017)
19. 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 View citations (8)
20. Relevant states and memory in Markov chain bootstrapping and simulation
    European Journal of Operational Research, 2017, 256, (1), 163-177 View citations (2)
    See also Working Paper Relevant States and Memory in Markov Chain Bootstrapping and Simulation, MPRA Paper (2013) View citations (1) (2013)

2016

21. A Universal Rank-Size Law
    PLOS ONE, 2016, 11, (11), 1-15 View citations (11)
22. 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 View citations (1)
23. Forecasting macroeconomic fundamentals in economic crises
    Annals of Operations Research, 2016, 247, (2), 451-469 View citations (4)
24. Innovation, imitation and policy inaction
    Technological Forecasting and Social Change, 2016, 111, (C), 22-30 View citations (2)
25. Optimal Investment in Research and Development Under Uncertainty
    Journal of Optimization Theory and Applications, 2016, 168, (1), 296-309 View citations (3)
26. Risk measures on networks and expected utility
    Reliability Engineering and System Safety, 2016, 155, (C), 1-8 View citations (1)
27. 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)

2015

28. 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 View citations (2)
29. Corruptibility and tax evasion
    European Journal of Law and Economics, 2015, 39, (2), 355-373 View citations (1)
30. 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 View citations (18)
    See also Working Paper Evidence of Economic Regularities and Disparities of Italian Regions From Aggregated Tax Income Size Data, Papers (2014) View citations (1) (2014)
31. On the coexistence of innovators and imitators
    Technological Forecasting and Social Change, 2015, 90, (PB), 487-496 View citations (10)
32. Patent Valuation under Spatial Point Processes with Delayed and Decreasing Jump Intensity
    The B.E. Journal of Theoretical Economics, 2015, 15, (2), 433-456 View citations (1)
33. Statistical assessment of regional wealth inequalities: the Italian case
    Quality & Quantity: International Journal of Methodology, 2015, 49, (6), 2307-2323 View citations (10)

2014

34. A quantitative view on policymakers’ goal, institutions and tax evasion
    Quality & Quantity: International Journal of Methodology, 2014, 48, (3), 1493-1510 View citations (1)
35. Mean–Variance portfolio selection in presence of infrequently traded stocks
    European Journal of Operational Research, 2014, 234, (2), 442-449 View citations (9)

2013

36. A Tabu Search heuristic procedure in Markov chain bootstrapping
    European Journal of Operational Research, 2013, 227, (2), 367-384 View citations (3)
37. Economic interactions and social tolerance: A dynamic perspective
    Economics Letters, 2013, 120, (3), 458-463 View citations (11)
38. 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)

2012

39. Corruption, growth and ethnic fractionalization: a theoretical model
    Journal of Economics, 2012, 106, (2), 153-181 View citations (11)
    See also Working Paper Corruption, Growth and Ethnic Fractionalization: a Theoretical Model, CEIS Research Paper (2011) View citations (1) (2011)
40. Financing policies via stochastic control: a dynamic programming approach
    Journal of Global Optimization, 2012, 53, (3), 539-561 View citations (2)
41. Illegal finance and usurers behaviour
    European Journal of Law and Economics, 2012, 34, (2), 265-277 View citations (5)

2011

42. Economic growth, corruption and tax evasion
    Economic Modelling, 2011, 28, (1-2), 489-500 View citations (23)
    Also in Economic Modelling, 2011, 28, (1), 489-500 (2011) View citations (23)
    See also Working Paper Economic growth, corruption and tax evasion, Working Papers (2010) View citations (3) (2010)
43. Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels
    Journal of Banking & Finance, 2011, 35, (10), 2598-2605 View citations (10)
44. The optimal bid/ask spread in a Specialist System
    Economic Modelling, 2011, 28, (5), 2247-2253 View citations (2)

2010

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

2009

47. A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts
    Insurance: Mathematics and Economics, 2009, 45, (1), 59-64 View citations (6)
48. Tax revenues, fiscal corruption and "shame" costs
    Economic Modelling, 2009, 26, (6), 1239-1244 View citations (13)

2008

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