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Details about Paolo Foschi

Homepage:http://www.unibo.it/docenti/paolo.foschi2
Postal address:Dept. of Statistical Sciences P.tta Teatini, 10 47900 Rimini Italy
Workplace:Dipartimento di Scienze Statistiche "Paolo Fortunati" (Department of Statistical Sciences), Alma Mater Studiorum - Università di Bologna (University of Bologna), (more information at EDIRC)

Access statistics for papers by Paolo Foschi.

Last updated 2018-04-05. Update your information in the RePEc Author Service.

Short-id: pfo62


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Working Papers

2011

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

2008

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

2006

  1. Estimating regressions and seemingly unrelated regressions with error component disturbances
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Non-constant volatility models a comparison
    Computing in Economics and Finance 2006, Society for Computational Economics
  3. Path dependent volatility
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
    See also Journal Article in Decisions in Economics and Finance (2008)

2005

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

2002

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

2001

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

2000

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

Journal Articles

2010

  1. 3rd Special issue on matrix computations and statistics
    Computational Statistics & Data Analysis, 2010, 54, (12), 3379-3380 Downloads

2009

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

2008

  1. Path dependent volatility
    Decisions in Economics and Finance, 2008, 31, (1), 13-32 Downloads View citations (2)
    See also Working Paper (2006)

2003

  1. A comparative study of algorithms for solving seemingly unrelated regressions models
    Computational Statistics & Data Analysis, 2003, 44, (1-2), 3-35 Downloads View citations (12)
  2. Estimating seemingly unrelated regression models with vector autoregressive disturbances
    Journal of Economic Dynamics and Control, 2003, 28, (1), 27-44 Downloads View citations (3)
  3. Estimation of VAR Models Computational Aspects
    Computational Economics, 2003, 21, (1), 3-22 Downloads View citations (8)
    Also in Computational Economics, 2003, 21, (1_2), 3-22 (2003) Downloads View citations (7)

2002

  1. Seemingly unrelated regression model with unequal size observations: computational aspects
    Computational Statistics & Data Analysis, 2002, 41, (1), 211-229 Downloads View citations (4)
 
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