New paper – Modelling extreme events: time varying extreme tail shape published on JBES
Really happy to share that the paper “Modeling extreme events: time-varying extreme tail shape” was published on the Journal of
Category: Published Papers
New Paper on a robust score-driven filter for multivariate time series published on Econometrics Review
Our Paper titled “A robust score-driven filter for multivariate time series” has been accepted for publication on Econometrics Review. In
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options
Glad to share that the paper that I co-authored together with professors Luca Vincenzo Ballestra and Andrea Guizzardi from the
Continue readingScore-Driven Modeling with Jumps: An Application to S&P500 Returns and Options
Our study on Hotel Dynamic Pricing, Stochastic demand and Covid-19 has been published on Annals of Tourism Research
In the paper we develop an innovative framework to study how hoteliers apply inventory control and price discrimination taking into account seasonality. … Continue readingOur study on Hotel Dynamic Pricing, Stochastic demand and Covid-19 has been published on Annals of Tourism Research
New Paper on Score-Driven Modeling of Spatio-Temporal Data published on JASA
We develop a simultaneous autoregressive score-driven model with autoregressive disturbances for heavy tailed spatio-temporal data. … Continue readingNew Paper on Score-Driven Modeling of Spatio-Temporal Data published on JASA