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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T. - 2012
Persistent link: https://www.econbiz.de/10010047416
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Using the Black and Litterman framework for stress test analysis in asset management
Giacometti, Rosella; Mignacca, Domenico - In: The journal of asset management 11 (2010/11) 4, pp. 286-297
Persistent link: https://www.econbiz.de/10009871077
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Nonlinear dynamics and European GNP
Delli Gatti, Domenico; Gallegati, Mauro; Mignacca, Domenico - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 1, pp. 43-59
Persistent link: https://www.econbiz.de/10009949721
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Credit default swaps: implied ratings versus official ones
Castellano, R.; Giacometti, R. - In: 4OR : quarterly journal of the Belgian, French and … 10 (2012) 2, pp. 163-181
Persistent link: https://www.econbiz.de/10009977504
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On pricing of credit spread options
Giacometti, Rosella; Teocchi, Mariangela - In: European journal of operational research : EJOR 163 (2005) 1, pp. 52-64
Persistent link: https://www.econbiz.de/10006641726
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Bond portfolio management with repo contracts: the Italian case
Bertocchi, Marida; Giacometti, Rosella; Slominski, Leon - 2000
Persistent link: https://www.econbiz.de/10008217455
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A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates
Giacometti, Rosella; Bertocchi, Marida; Rachev, Svetlozar T. - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 85-94
Persistent link: https://www.econbiz.de/10009818864
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ESTIMATING THE JOINT PROBABILITY OF DEFAULT USING CREDIT DEFAULT SWAP AND BOND DATA
Pianeti, Riccardo; Giacometti, Rosella; Acerbis, Valentina - In: The journal of fixed income 21 (2012) 3, pp. 44-59
Persistent link: https://www.econbiz.de/10009828787
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Impact of different distributional assumptions in forecasting Italian mortality rates
Giacometti, Rosella; Ortobelli, Sergio; Bertocchi, Maria Ida - In: Investment management and financial innovations 6 (2009) 3, pp. 186-193
Persistent link: https://www.econbiz.de/10009910619
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Calibrating affine stochastic mortality models using term assurance premiums
Russo, Vincenzo; Giacometti, Rosella; Ortobelli, Sergio; … - In: Insurance / Mathematics & economics 49 (2011) 1, pp. 53-61
Persistent link: https://www.econbiz.de/10009132998