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Functional gradient descent for financial time series with an application to the measurement of market risk
Audrino, Francesco; Barone-Adesi, Giovanni - In: Journal of banking & finance 29 (2005) 4, pp. 959-978
Persistent link: https://www.econbiz.de/10005879003
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Average conditional correlation and tree structures for multivariate GARCH models
Audrino, Francesco; Barone-Adesi, Giovanni - In: Journal of forecasting 25 (2006) 8, pp. 579
Persistent link: https://www.econbiz.de/10007393853
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Managing Electricity Risk
Barone-Adesi, Giovanni; Gigli, Andrea - In: Economic notes : economic review of Banca Monte dei … 32 (2003) 2, pp. 283
Persistent link: https://www.econbiz.de/10006027111
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PROCEEDINGS OF THE INTERNATIONAL CONFERENCE 'MANAGING CREDIT AND MARKET RISK. NEW TECHNIQUES FOR NEW SOURCES OF RISK' - Non-parametric VaR Techniques. Myths and Realities
Barone-Adesi, Giovanni; Giannopoulos, Kostas - In: Economic notes : economic review of Banca Monte dei … 30 (2001) 2, pp. 167-182
Persistent link: https://www.econbiz.de/10006038519
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Pricing Bonds and Bond Options with Default Risk
Barone, Emilio; Barone-Adesi, Giovanni; Castagna, Antonio - In: European financial management : the journal of the … 4 (1998) 2, pp. 231-282
Persistent link: https://www.econbiz.de/10005971500
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Pricing Bonds and Bond Options with Default Risk
Barone, Emilio; Barone-Adesi, Giovanni; Castagna, Antonio - In: European financial management : the journal of the … 4 (1998) 2, pp. 231-282
Persistent link: https://www.econbiz.de/10005971509
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EXECUTIVE SUMMARIES - Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)
Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les - In: European financial management : the journal of the … 8 (2002) 1, pp. 31-58
Persistent link: https://www.econbiz.de/10005944381
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Tree-Structured Multiple Regimes in Interest Rates
Audrino, Francesco - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 3, pp. 338-353
Persistent link: https://www.econbiz.de/10008222497
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A GARCH Option Pricing Model with Filtered Historical Simulation
Barone-Adesi, Giovanni; Engle, Robert F.; Mancini, Loriano - In: The review of financial studies 21 (2008) 3, pp. 1223-1258
Persistent link: https://www.econbiz.de/10008055479
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The saga of the American put
Barone-Adesi, Giovanni - In: Journal of banking & finance 29 (2005) 11, pp. 2909
Persistent link: https://www.econbiz.de/10005880120