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Dynamic dependence structure between energy markets and the Italian stock index
Masala, Giovanni - In: Investment management and financial innovations 15 (2018) 2, pp. 60-67
Persistent link: https://www.econbiz.de/10012055096
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Pricing credit derivatives with a copula-based actuarial model for credit risk
Masala, Giovanni; Menzietti, Massimiliano; Micocci, Marco - In: The credit derivatives handbook : global perspectives, …, (pp. 95-119). 2008
Persistent link: https://www.econbiz.de/10003748408
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Loss-ALAE modeling through a copula dependence structure
Micocci, Marco; Masala, Giovanni - In: Investment management and financial innovations 6 (2009) 4, pp. 67-80
Persistent link: https://www.econbiz.de/10003920926
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Copula based multivariate semi-Markov models with applications in high-frequency finance
D'Amico, Guglielmo; Petroni, Filippo - In: European journal of operational research : EJOR 267 (2018) 2, pp. 765-777
Persistent link: https://www.econbiz.de/10011812746
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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