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Compound unimodal distributions for insurance losses
Punzo, Antonio; Bagnato, Luca; Maruotti, Antonello - In: Insurance / Mathematics & economics 81 (2018), pp. 95-107
Persistent link: https://www.econbiz.de/10011904625
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Hidden Markov and Semi-Markov models with multivariate leptokurtic-normal components for robust modeling of daily returns series
Maruotti, Antonello; Punzo, Antonio; Bagnato, Luca - In: Journal of financial econometrics 17 (2019) 1, pp. 91-117
Persistent link: https://www.econbiz.de/10012054429
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Forecasting in GARCH models with polynomially modified innovations
Vacca, Gianmarco; Zoia, Maria Grazia; Bagnato, Luca - In: International journal of forecasting 38 (2022) 1, pp. 117-141
Persistent link: https://www.econbiz.de/10013347743