Details about Gianna Figà-Talamanca

Access statistics for papers by Gianna Figà-Talamanca.

Last updated 2023-05-11. Update your information in the RePEc Author Service.

Short-id: pfi362

Working Papers

2012

1. On an implicit assessment of fuzzy volatility in the Black and Scholes environment
   Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia

2009

2. Path properties of simulation schemes for the Heston stochastic volatility model
   Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia

2008

3. Limit results for discretely observed stochastic volatility models with leverage e¤ect
   Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia

Journal Articles

2021

1. Blockchain and cryptocurrencies: economic and financial research
   Decisions in Economics and Finance, 2021, 44, (2), 781-787 View citations (3)
2. Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
   Decisions in Economics and Finance, 2021, 44, (2), 863-882 View citations (5)
3. Detecting bubbles in Bitcoin price dynamics via market exuberance
   Annals of Operations Research, 2021, 299, (1), 459-479 View citations (4)
4. Regime switches and commonalities of the cryptocurrencies asset class
   The North American Journal of Economics and Finance, 2021, 57, (C) View citations (5)

2020

5. Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics
   Economics Letters, 2020, 191, (C) View citations (13)
6. Disentangling the relationship between Bitcoin and market attention measures
   Economia e Politica Industriale: Journal of Industrial and Business Economics, 2020, 47, (1), 71-91 View citations (9)
7. Market attention and Bitcoin price modeling: theory, estimation and option pricing
   Decisions in Economics and Finance, 2020, 43, (1), 187-228 View citations (6)
8. Spiking the Volatility Punch
   Applied Mathematical Finance, 2020, 27, (6), 495-520

2019

9. Does market attention affect Bitcoin returns and volatility?
   Decisions in Economics and Finance, 2019, 42, (1), 135-155 View citations (17)
10. Model-based arbitrage in multi-exchange models for Bitcoin price dynamics
    Digital Finance, 2019, 1, (1), 23-46 View citations (10)

2012

11. Market Application of the Fuzzy-Stochastic Approach in the Heston Option Pricing Model
    Czech Journal of Economics and Finance (Finance a uver), 2012, 62, (2), 162-179 View citations (2)

2011

12. Fuzzy uncertainty in the heston stochastic volatility model
    Fuzzy Economic Review, 2011, XVI, (2), 3-19 View citations (2)

2007

13. Conditional tail behaviour and Value at Risk
    Quantitative Finance, 2007, 7, (6), 599-607 View citations (2)

2006

14. Fitting prices with a complete model
    Journal of Banking & Finance, 2006, 30, (1), 247-258 View citations (5)

2005

15. Runs tests for assessing volatility forecastability in financial time series
    European Journal of Operational Research, 2005, 163, (1), 102-114 View citations (8)

2004

16. DETECTING AND MODELING TAIL DEPENDENCE
    International Journal of Theoretical and Applied Finance (IJTAF), 2004, 07, (03), 269-287

Chapters

2023

1. Cryptocurrencies as a Driver of Innovation for the Monetary System
   Chapter 3 in FinTech Research and Applications Challenges and Opportunities, 2023, pp 143-176