Details about Giovanni De Luca

Access statistics for papers by Giovanni De Luca.

Last updated 2016-03-29. Update your information in the RePEc Author Service.

Short-id: pde357

Working Papers

2013

1. A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering
   MPRA Paper, University Library of Munich, Germany View citations (1)

2010

2. A Time-varying Mixing Multiplicative Error Model for Realized Volatility
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (1)

2006

3. Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (3)
   Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2005) View citations (6)
   See also Journal Article Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models, Econometric Reviews, Taylor & Francis Journals (2009) View citations (13) (2009)

Journal Articles

2015

1. Modelling multivariate skewness in financial returns: a SGARCH approach
   The European Journal of Finance, 2015, 21, (13-14), 1113-1131 View citations (7)

2014

2. Predicting U.S. recessions through a combination of probability forecasts
   Empirical Economics, 2014, 46, (1), 127-144 View citations (2)

2011

3. A tail dependence-based dissimilarity measure for financial time series clustering
   Advances in Data Analysis and Classification, 2011, 5, (4), 323-340 View citations (25)

2009

4. Archimedean copulae for risk measurement
   Journal of Applied Statistics, 2009, 36, (8), 907-924 View citations (4)
5. Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
   Econometric Reviews, 2009, 28, (1-3), 102-120 View citations (13)
   See also Working Paper Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models, Econometrics Working Papers Archive (2006) View citations (3) (2006)

2006

6. Regime-switching Pareto distributions for ACD models
   Computational Statistics & Data Analysis, 2006, 51, (4), 2179-2191 View citations (20)

2004

7. Mixture Processes for Financial Intradaily Durations
   Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 20 View citations (25)

2003

8. Finite and infinite mixtures for financial durations
   Metron - International Journal of Statistics, 2003, LXI, (3), 431-455 View citations (10)
9. Likelihood-based inference for asymmetric stochastic volatility models
   Computational Statistics & Data Analysis, 2003, 42, (3), 445-449 View citations (13)