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Details about Gianmarco Vacca

Workplace:Dipartimento di Politica Economica (Department of Economic Policy), Dipartimenti e Istituti di Scienze Economiche (Departments and Institutes of Economics), Università Cattolica del Sacro Cuore (Catholic University of the Sacred Heart), (more information at EDIRC)

Access statistics for papers by Gianmarco Vacca.

Last updated 2022-02-15. Update your information in the RePEc Author Service.

Short-id: pva865

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Working Papers


  1. Modeling Portfolios with Leptokurtic and Dependent Risk Factors
    Papers, Downloads

Journal Articles


  1. Forecasting in GARCH models with polynomially modified innovations
    International Journal of Forecasting, 2022, 38, (1), 117-141 Downloads View citations (1)


  1. A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
    The North American Journal of Economics and Finance, 2021, 58, (C) Downloads


  1. Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-Like Expansions
    Risks, 2020, 8, (4), 1-21 Downloads


  1. Kurtosis analysis in GARCH models with Gram–Charlier-like innovations
    Economics Letters, 2019, 183, (C), - Downloads View citations (2)


  1. %ERA: A SAS Macro for Extended Redundancy Analysis
    Journal of Statistical Software, 2016, 074, (c01) Downloads
  2. Human capital estimation in higher education
    Advances in Data Analysis and Classification, 2016, 10, (4), 465-489 Downloads
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