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A Copula-GARCH Model for Macro...
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Riccetti, Luca
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Gallegati, Mauro
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Palomba, Giulio
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Russo, Alberto
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Journal of banking & finance
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OLC EcoSci
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Leveraged network-based financial accelerator
Riccetti, Luca
;
Russo, Alberto
;
Gallegati, Mauro
- In:
Journal of economic dynamics & control
37
(
2013
)
8
,
pp. 1626-1640
Persistent link: https://www.econbiz.de/10010138082
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A copula–GARCH model for macro asset allocation of a portfolio with commodities
Riccetti, Luca
- In:
Empirical economics : a journal of the Institute for …
44
(
2013
)
3
,
pp. 1315-1336
Persistent link: https://www.econbiz.de/10010110422
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Portfolio frontiers with restrictions to tracking error volatility and value at risk
Palomba, Giulio
;
Riccetti, Luca
- In:
Journal of banking & finance
36
(
2012
)
9
,
pp. 2604-2616
Persistent link: https://www.econbiz.de/10009996275
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