Edit Rroji
Edit Rroji
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Title
Cited by
Cited by
Year
Approximation of the variance gamma model with a finite mixture of normals
A Loregian, L Mercuri, E Rroji
Statistics & Probability Letters 82 (2), 217-224, 2012
242012
Portfolio selection with independent component analysis
A Hitaj, L Mercuri, E Rroji
Finance Research Letters 15, 146-159, 2015
172015
COGARCH (p, q): Simulation and Inference with the yuima Package
SM Iacus, L Mercuri, E Rroji
Journal of Statistical Software 80 (1), 1-49, 2017
122017
Mixed tempered stable distribution
E Rroji, L Mercuri
Quantitative Finance 15 (9), 1559-1569, 2015
122015
Implicit expectiles and measures of implied volatility
F Bellini, L Mercuri, E Rroji
Quantitative Finance 18 (11), 1851-1864, 2018
82018
Option pricing in an exponential MixedTS LÚvy process
L Mercuri, E Rroji
Annals of Operations Research 260 (1), 353-374, 2018
62018
Risk attribution and semi-heavy tailed distributions
E Rroji
Ph. D. Thesis, Univ. Milano-Bicocca, 2013
62013
Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation
SM Iacus, L Mercuri, E Rroji
Journal of Time Series Analysis 39 (5), 787-809, 2018
52018
Estimation and Simulation of a COGARCH (p, q) model in the YUIMA project
SM Iacus, L Mercuri, E Rroji
arXiv preprint arXiv:1505.03914, 2015
42015
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
F Bellini, L Mercuri, E Rroji
Quantitative Finance 20 (11), 1839-1848, 2020
32020
Risk parity for Mixed Tempered Stable distributed sources of risk
L Mercuri, E Rroji
Annals of Operations Research 260 (1), 375-393, 2018
32018
LÚvy CARMA models for shocks in mortality
A Hitaj, L Mercuri, E Rroji
Decisions in Economics and Finance 42 (1), 205-227, 2019
22019
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization
A Hitaj, L Mercuri, E Rroji
Computational Management Science 16 (1), 71-95, 2019
22019
On properties of the MixedTS distribution and its multivariate extension
A Hitaj, F Hubalek, L Mercuri, E Rroji
International Statistical Review 86 (3), 512-540, 2018
22018
Measuring risk with cogarch (p, q) models
F Bianchi, L Mercuri, E Rroji
Available at SSRN 2852858, 2016
22016
Multivariate mixed tempered stable distribution
A Hitaj, F Hubalek, L Mercuri, E Rroji
arXiv preprint arXiv:1609.00926, 2016
22016
On multivariate extensions of the mixed tempered stable distribution
A Hitaj, F Hubalek, L Mercuri, E Rroji
The International Statistical Institute/International Association forá…, 2016
22016
Parametric risk parity
L Mercuri, E Rroji
arXiv preprint arXiv:1409.7933, 2014
22014
Risk measurement using the mixed tempered stable distribution
L Mercuri, E Rroji
Mathematical and statistical methods for actuarial sciences and finance, 137-140, 2014
22014
Some empirical evidence on the need of more advanced approaches in mortality modeling
A Hitaj, L Mercuri, E Rroji
Mathematical and Statistical Methods for Actuarial Sciences and Finance, 425-430, 2018
12018
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Articles 1–20