GIACOMETTI, Rosella Statistiche

GIACOMETTI, Rosella  

Dipartimento di Scienze Aziendali  

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Data di pubblicazione Titolo Autore/i Tipologia Documento allegato
1-gen-2024 Measuring European Banks’ Exposure To Climate Risk Giacchetta, Gianandrea; Giacometti, Rosella 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2023 Financial contagion in banking networks with community structure Torri, Gabriele; Giacometti, Rosella 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
26-set-2023 Penalized enhanced portfolio replication with asymmetric deviation measures Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2023 Spatial Multivariate GARCH Models and Financial Spillovers Giacometti, Rosella; Torri, Gabriele; Rujirarangsan, Kamonchai; Cameletti, Michela 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2021 Network tail risk estimation in the European banking system Torri, Gabriele; Giacometti, Rosella; Tichy, Tomáš 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2021 Risk attribution and interconnectedness in the EU via CDS data Giacometti, Rosella; Torri, Gabriele; Farina, Gaetano; De Giuli, Maria Elena 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2021 Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models Giacometti, Rosella; Torri, Gabriele; Paterlini, Sandra 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2020 Closed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates Modeling Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J. 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2020 Joint tails impact in stochastic volatility portfolio selection models Bonomelli, Marco; Giacometti, Rosella; ORTOBELLI LOZZA, Sergio 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2019 Market implied volatilities for defaultable bonds Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J. 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2019 Sparse precision matrices for minimum variance portfolios Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2019 Special issue: 14th International Conference on Computational Management Science Giacometti, Rosella; Rustam, Berç 1.6 Curatele - Editorships::1.6.01 Curatele - Edited books
1-gen-2019 Systemic risk attribution in the EU Farina, Gianluca; Giacometti, Rosella; De Giuli, M. E. 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2018 Network conditional tail risk estimation in the European Banking System Torri, Gabriele; Tichý, Tomáš; Giacometti, Rosella 1.4 Contributi in atti di convegno - Contributions in conference proceedings::1.4.01 Contributi in atti di convegno - Conference presentations
1-gen-2018 Robust and sparse banking network estimation Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2017 Intensity-based framework for surrender modeling in life insurance Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J. 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2017 Option Pricing in Non-Gaussian Ornstein-Uhlenbeck Markets Torri, Gabriele; Giacometti, Rosella; Rachev, Svetlozar 1.4 Contributi in atti di convegno - Contributions in conference proceedings::1.4.01 Contributi in atti di convegno - Conference presentations
1-gen-2017 Sparse Precision matrices for minimum variance portfolios Torri, Gabriele; Paterlini, Sandra; Giacometti, Rosella 1.4 Contributi in atti di convegno - Contributions in conference proceedings::1.4.02 Abstract in atti di convegno - Conference abstracts
1-gen-2016 Capturing systemic risk by robust and sparse network estimation Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra 1.4 Contributi in atti di convegno - Contributions in conference proceedings::1.4.02 Abstract in atti di convegno - Conference abstracts
1-gen-2016 Factor decomposition of the Eurozone sovereign CDS spreads Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays