Details about Sabrina Mulinacci

Access statistics for papers by Sabrina Mulinacci.

Last updated 2025-02-20. Update your information in the RePEc Author Service.

Short-id: pmu872

Working Papers

2017

1. A systemic shock model for too big to fail financial institutions
   Papers, arXiv.org

2016

2. Granger Independent Martingale Processes
   Papers, arXiv.org

2015

3. Archimedean-based Marshall-Olkin Distributions and Related Copula Functions
   Papers, arXiv.org
4. Systemic Risk with Exchangeable Contagion: Application to the European Banking System
   Papers, arXiv.org View citations (4)

Journal Articles

2023

1. Time-varying dependence and currency tail risk during the Covid-19 pandemic
   Studies in Economics and Finance, 2023, 40, (5), 839-858

2022

2. A Marshall-Olkin Type Multivariate Model with Underlying Dependent Shocks
   Methodology and Computing in Applied Probability, 2022, 24, (4), 2455-2484
3. New characterizations of bivariate discrete Schur-constant models
   Statistics & Probability Letters, 2022, 180, (C)
4. State-dependent Autoregressive Models with p Lags: Properties, Estimation and Forecasting
   Central European Journal of Economic Modelling and Econometrics, 2022, 14, (1), 81-108

2021

5. Hierarchical Archimedean Dependence in Common Shock Models
   Methodology and Computing in Applied Probability, 2021, 23, (1), 143-163
6. Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications
   Insurance: Mathematics and Economics, 2021, 101, (PB), 342-358 View citations (1)

2020

7. Mixing and moments properties of a non-stationary copula-based Markov process
   Communications in Statistics - Theory and Methods, 2020, 49, (18), 4559-4570

2019

8. JOINT LIFE INSURANCE PRICING USING EXTENDED MARSHALL–OLKIN MODELS
   ASTIN Bulletin, 2019, 49, (2), 409-432 View citations (5)

2018

9. Archimedean-based Marshall-Olkin Distributions and Related Dependence Structures
   Methodology and Computing in Applied Probability, 2018, 20, (1), 205-236 View citations (8)

2011

10. A copula-based model of speculative price dynamics in discrete time
    Journal of Multivariate Analysis, 2011, 102, (6), 1047-1063 View citations (9)
11. On the distribution of the (un)bounded sum of random variables
    Insurance: Mathematics and Economics, 2011, 48, (1), 56-63 View citations (3)
12. The efficient hedging problem for American options
    Finance and Stochastics, 2011, 15, (2), 365-397 View citations (3)

2008

13. A lattice model with incomplete information: A credit risk application
    Statistics & Risk Modeling, 2008, 26, (2), 75-88

1998

14. Functional convergence of Snell envelopes: Applications to American options approximations
    Finance and Stochastics, 1998, 2, (3), 311-327 View citations (13)

1996

15. An approximation of American option prices in a jump-diffusion model
    Stochastic Processes and their Applications, 1996, 62, (1), 1-17 View citations (8)