Similar Search Results

Narrow search

A copula-based Markov reward approach to the credit spread in the European Union

D'Amico, Guglielmo; Petroni, Filippo; Regnalt, Philippe; … - In: Applied mathematical finance 26 (2019) 4, pp. 359-386

Persistent link: https://www.econbiz.de/10012210396

Change point dynamics for financial data : an indexed Markov chain approach

D'Amico, Guglielmo; Lika, Ada; Petroni, Filippo - In: Annals of finance 15 (2019) 2, pp. 247-266

Persistent link: https://www.econbiz.de/10012058237

A duration dependent rating migration model : real data application and cost of capital estimation

D'Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; … - In: Finance a úvěr 64 (2014) 3, pp. 233-245

Persistent link: https://www.econbiz.de/10010373383

Effects on taxation on the forecasting of income inequality : evidence from Germany, Greece, and Italy

D'Amico, Guglielmo; Di Biase, Giuseppe; Manca, Raimondo - In: Panoeconomicus 60 (2013) 6, pp. 707-723

Persistent link: https://www.econbiz.de/10010353786

A continuous-time inequality measure applied to financial risk : the case of the European Union

D'Amico, Guglielmo; Regnault, Philippe; Scocchera, Stefania - In: International Journal of Financial Studies : open … 6 (2018) 3, pp. 1-16

In this paper, we apply information theory measures and Markov processes in order to analyse the inequality in the distribution of the financial risk in a pool of countries. The considered financial variables are sovereign credit ratings and interest rates of sovereign government bonds of...

Persistent link: https://www.econbiz.de/10011884177