Details about Paolo Foschi

Access statistics for papers by Paolo Foschi.

Last updated 2024-11-08. Update your information in the RePEc Author Service.

Short-id: pfo62

Working Papers

2011

1. Black-Scholes formulae for Asian options in local volatility models
   Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (6)

2008

2. Parametrix approximations for non constant coefficient parabolic PDEs
   MPRA Paper, University Library of Munich, Germany

2006

3. Estimating regressions and seemingly unrelated regressions with error component disturbances
   MPRA Paper, University Library of Munich, Germany
4. Non-constant volatility models a comparison
   Computing in Economics and Finance 2006, Society for Computational Economics
5. Path dependent volatility
   MPRA Paper, University Library of Munich, Germany View citations (7)
   See also Journal Article Path dependent volatility, Decisions in Economics and Finance, Springer (2008) View citations (7) (2008)

2005

6. Calibration of the Hobson&Rogers model: empirical tests
   Finance, University Library of Munich, Germany View citations (7)

2002

7. Conjugate Gradient methods for solving sparse Simultaneous Equations Models
   Computing in Economics and Finance 2002, Society for Computational Economics

2001

8. A recursive algorithm for solving SUR models
   Computing in Economics and Finance 2001, Society for Computational Economics

2000

9. NUMERICAL SOLUTION OF SURE MODELS DERIVING FROM VAR(P) PROCESSES
   Computing in Economics and Finance 2000, Society for Computational Economics

Journal Articles

2024

1. Coping with the Inequity and Inefficiency of the H-Index: A Cross-Disciplinary Empirical Analysis
   Publications, 2024, 12, (2), 1-30 View citations (1)

2010

2. 3rd Special issue on matrix computations and statistics
   Computational Statistics & Data Analysis, 2010, 54, (12), 3379-3380

2009

3. Calibration of a path-dependent volatility model: Empirical tests
   Computational Statistics & Data Analysis, 2009, 53, (6), 2219-2235 View citations (1)

2008

4. Path dependent volatility
   Decisions in Economics and Finance, 2008, 31, (1), 13-32 View citations (7)
   See also Working Paper Path dependent volatility, MPRA Paper (2006) View citations (7) (2006)

2003

5. A comparative study of algorithms for solving seemingly unrelated regressions models
   Computational Statistics & Data Analysis, 2003, 44, (1-2), 3-35 View citations (13)
6. Estimating seemingly unrelated regression models with vector autoregressive disturbances
   Journal of Economic Dynamics and Control, 2003, 28, (1), 27-44 View citations (3)
7. Estimation of VAR Models Computational Aspects
   Computational Economics, 2003, 21, (1), 3-22 View citations (8)
   Also in Computational Economics, 2003, 21, (1_2), 3-22 (2003) View citations (7)

2002

8. Seemingly unrelated regression model with unequal size observations: computational aspects
   Computational Statistics & Data Analysis, 2002, 41, (1), 211-229 View citations (7)