Guglielmo D'Amico
Title
Cited by
Cited by
Year
First and second order semi-Markov chains for wind speed modeling
G D'Amico, F Petroni, F Prattico
Physica A 392 (2013), 1194-1201, 2012
802012
Homogeneous semi-Markov reliability models for credit risk management
G D’Amico, J Janssen, R Manca
Decisions in Economics and Finance 28 (2), 79-93, 2006
782006
Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models
G D’Amico, J Janssen, R Manca
Methodology and Computing in Applied Probability 12 (2), 215-225, 2010
512010
Wind speed and energy forecasting at different time scales: A nonparametric approach
G D’Amico, F Petroni, F Prattico
Physica A: Statistical Mechanics and its Applications 406, 59-66, 2014
472014
Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application
G D’Amico, M Guillen, R Manca
Insurance: Mathematics and Economics 45 (2), 173-179, 2009
462009
Wind speed prediction for wind farm applications by extreme value theory and copulas
G D'Amico, F Petroni, F Prattico
Journal of Wind Engineering and Industrial Aerodynamics 145, 229-236, 2015
362015
Age-usage semi-Markov models
G D’Amico
Applied Mathematical Modelling 35 (9), 4354-4366, 2011
282011
Performance analysis of second order semi-Markov chains: an application to wind energy production
G D’Amico, F Petroni, F Prattico
Methodology and computing in applied probability 17 (3), 781-794, 2015
272015
Wind speed modeled as an indexed semi‐Markov process
G D'Amico, F Petroni, F Prattico
Environmetrics 24, 367-376, 2013
272013
A semi-Markov model for price returns
G D'Amico, F Petroni
Physica A: Statistical Mechanics and its Applications 391 (20), 4867–4876, 2012
272012
IOPscience-A semi-Markov model with memory for price changes
G D’Amico, F Petroni
Journal of Statistical Mechanics: Theory and Experiment 2011, P12009, 2011
272011
Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions
G D’Amico, J Janssen, R Manca
Computational Economics 38 (4), 465-481, 2011
252011
European and American options: The semi-Markov case
G D’Amico, J Janssen, R Manca
Physica A: Statistical Mechanics and its Applications 388 (15-16), 3181-3194, 2009
252009
Reliability measures for indexed semi-Markov chains applied to wind energy production
G D'Amico, F Petroni, F Prattico
Reliability Engineering & System Safety 144, 170-177, 2015
242015
Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
G D’Amico, J Janssen, R Manca
Computational Economics 29 (2), 119-138, 2007
242007
Copula based multivariate semi-Markov models with applications in high-frequency finance
G D’Amico, F Petroni
European Journal of Operational Research 267 (2), 765-777, 2018
232018
Weighted-indexed semi-Markov models for modeling financial returns
G D’Amico, F Petroni
Journal of statistical mechanics: theory and experiment 2012 (07), P07015, 2012
232012
Economic performance indicators of wind energy based on wind speed stochastic modeling
G D’Amico, F Petroni, F Prattico
Applied energy 154, 290-297, 2015
222015
Non-homogeneous backward semi-Markov reliability approach to downward migration credit risk problem
G D’Amico, J Janssen, R Manca
Proceedings of the 8th italian—spanish meeting on financial mathematics, 2005
21*2005
Downward migration credit risk problem: a non-homogeneous backward semi-Markov reliability approach
G D’Amico, J Janssen, R Manca
Journal of the Operational Research Society 67 (3), 393-401, 2016
202016
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