Details about Antonio Cosma
Access statistics for papers by Antonio Cosma.
Last updated 2024-04-04. Update your information in the RePEc Author Service.
Short-id: pco765
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Working Papers
2024
- Missing Endogenous Variables in Conditional Moment Restriction Models
DEM Discussion Paper Series, Department of Economics at the University of Luxembourg
2017
- Inference in Conditional Moment Restriction Models when there is Selection due to Stratification
DEM Discussion Paper Series, Department of Economics at the University of Luxembourg 
See also Chapter Inference in Conditional Moment Restriction Models When there is Selection Due to Stratification, Advances in Econometrics, Emerald Group Publishing Limited (2019) (2019)
2016
- Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps
Swiss Finance Institute Research Paper Series, Swiss Finance Institute 
Also in Papers, arXiv.org (2016) 
See also Journal Article Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps, Journal of Financial and Quantitative Analysis, Cambridge University Press (2020) View citations (4) (2020)
- Valuing American options using fast recursive projections
Working Papers, University of Geneva, Geneva School of Economics and Management 
Also in DEM Discussion Paper Series, Department of Economics at the University of Luxembourg (2015)  Working Papers, University of Geneva, Geneva School of Economics and Management (2012)  Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2012)
2014
- A non parametric ACD model
MPRA Paper, University Library of Munich, Germany 
Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2006) View citations (1) LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (1)
2009
- The Dark Side of Global Integration: Increasing Tail Dependence
LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (1)
Also in DEM Discussion Paper Series, Department of Economics at the University of Luxembourg (2008) View citations (16)
See also Journal Article The dark side of global integration: Increasing tail dependence, Journal of Banking & Finance, Elsevier (2010) View citations (127) (2010)
2005
- Multiariate Wavelet-based sahpe preserving estimation for dependant observation
FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (8)
Journal Articles
2020
- Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps
Journal of Financial and Quantitative Analysis, 2020, 55, (1), 331-356 View citations (4)
See also Working Paper Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps, Swiss Finance Institute Research Paper Series (2016) (2016)
2010
- The dark side of global integration: Increasing tail dependence
Journal of Banking & Finance, 2010, 34, (1), 184-192 View citations (127)
See also Working Paper The Dark Side of Global Integration: Increasing Tail Dependence, LSF Research Working Paper Series (2009) View citations (1) (2009)
Chapters
2019
- Inference in Conditional Moment Restriction Models When there is Selection Due to Stratification
A chapter in The Econometrics of Complex Survey Data, 2019, vol. 39, pp 137-171 
See also Working Paper Inference in Conditional Moment Restriction Models when there is Selection due to Stratification, Department of Economics at the University of Luxembourg (2017) (2017)
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