المؤلفون: Sergio Bianchi, Daniele Angelini, Augusto Pianese, Massimiliano Frezza

المساهمون: Bianchi, Sergio, Angelini, Daniele, Pianese, Augusto, Frezza, Massimiliano

مصطلحات موضوعية: Rough volatility, Fractional Ornstein–Uhlenbeck proce, Self-similarity, Hurst–Hölder exponent

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:001088334900001; issue:127; numberofpages:15; journal:COMMUNICATIONS IN NONLINEAR SCIENCE & NUMERICAL SIMULATION; https://hdl.handle.net/11573/1689682; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85173619422

الاتاحة: https://hdl.handle.net/11573/1689682
https://doi.org/10.1016/j.cnsns.2023.107582

المؤلفون: Massimiliano Frezza, Sergio Bianchi, Augusto Pianese

المساهمون: Frezza, Massimiliano, Bianchi, Sergio, Pianese, Augusto

مصطلحات موضوعية: Volume–volatility relationship, Efficient Market Hypothesi, Martingale model, Hurst–Hölder exponent

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000970907900001; volume:121; journal:COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION; https://hdl.handle.net/11580/104628; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85150046170

الاتاحة: https://hdl.handle.net/11580/104628
https://doi.org/10.1016/j.cnsns.2023.107204

المؤلفون: Sergio Bianchi, Daniele Angelini, Massimiliano Frezza, Anna Maria Palazzo, Augusto Pianese

المساهمون: M. Corazza (Eds.), Bianchi, Sergio, Angelini, Daniele, Frezza, Massimiliano, Palazzo, Anna Maria, Pianese, Augusto

مصطلحات موضوعية: Hölder exponent, Volatility, Fractional Stochastic Regularity Model

Relation: info:eu-repo/semantics/altIdentifier/isbn/9783031642722; info:eu-repo/semantics/altIdentifier/isbn/9783031642739; ispartofbook:Mathematical and Statistical Methods for Actuarial Sciences and Finance; firstpage:61; lastpage:66; numberofpages:6; alleditors:M. Corazza et al. (Eds.); https://hdl.handle.net/11580/110883

الاتاحة: https://hdl.handle.net/11580/110883
https://doi.org/10.1007/978-3-031-64273-9

المؤلفون: Massimiliano Frezza, Sergio Bianchi, Augusto Pianese

المساهمون: Frezza Massimiliano, Bianchi Sergio, Pianese Augusto, Frezza, Massimiliano, Bianchi, Sergio, Pianese, Augusto

مصطلحات موضوعية: COVID-19 pandemic, Efficient market, Multifractional Brownian motion, Pointwise regularity exponent

وصف الملف: STAMPA

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000614462600003; volume:38; firstpage:101851; journal:FINANCE RESEARCH LETTERS; https://hdl.handle.net/11580/85123; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85097076558

الاتاحة: https://hdl.handle.net/11580/85123
https://doi.org/10.1016/j.frl.2020.101851

المؤلفون: Sergio Bianchi, Massimiliano Frezza, Augusto Pianese

المساهمون: Bianchi, Sergio, Frezza, Massimiliano, Pianese, Augusto

مصطلحات موضوعية: Regolarità puntuale, Moto Browniano multifrazionario, Stima della regolarità puntuale di un mBm

Relation: issue:Numero speciale; firstpage:571; lastpage:587; numberofpages:17; journal:DEMOCRAZIA E DIRITTI SOCIALI; http://hdl.handle.net/11573/1477997

الاتاحة: http://hdl.handle.net/11573/1477997

المؤلفون: GIANCARLO SCALESE, CAMILLO VERDE, MARCO BADAGLIACCA, CARLO BERSANI, FRANCESCO BUONOMENNA, STEFANO CHERTI, GIUSEPPE DELLA MONICA, LUIGI DI SANTO, MASSIMO LUIGI FERRANTE, MARIKA GIMINI, MARÍA JOSÉ CARAZO LIÉBANA, FRANCESCO MAIELLO, RAFFAELE MAIONE, JORGE LOZANO-MIRALLES, FULVIO MARIA PALOMBINO, PASQUALE PASSALACQUA, FULVIO PASTORE, MARIA PORCELLI, IMMACOLATA PRISCO, STEFANO REALI, STEFANO RECCHIONI, TOMMASO ALESSIO SALEMME, ALBERTO MATTIA SERAFIN, ANNA LUCIA VALVO, ISABEL RAMOS VÁZQUEZ, VINCENZO FORMISANO, SIMONA BALZANO, MARIO ROSARIO GUARRACINO, LUISA NATALE, GIOVANNI CAMILLO PORZIO, MARCELLO DE ROSA, ALESSIA MALLOZZI, CARLO RUSSO, MAURIZIO ESPOSITO, ELENA ADDESSI, MARIA FEDELE, FRANCESCO FERRANTE, FABIO D’ORLANDO, ANDREA FONTANELLA, MASSIMILIANO FREZZA, SERGIO BIANCHI, AUGUSTO PIANESE, MARCO LACCHINI, SIMONE MANFREDI, MATTEO PALMACCIO, FLORINDA PETRECCA, FRANCESCO MINNETTI, MARCELLO SANSONE, ROBERTO BRUNI, ANNARITA COLAMATTEO, FRANCESCO ZEZZA, GENNARO ZEZZA

المساهمون: Scalese, Giancarlo, Verde, Camillo, Badagliacca, Marco, Bersani, Carlo, Buonomenna, Francesco, Cherti, Stefano, DELLA MONICA, Giuseppe, DI SANTO, Luigi, LUIGI FERRANTE, Massimo, Gimini, Marika, JOSÉ CARAZO LIÉBANA, María, Maiello, Francesco, Maione, Raffaele, LOZANO-MIRALLES, Jorge, MARIA PALOMBINO, Fulvio, Passalacqua, Pasquale, Pastore, Fulvio, Porcelli, Maria, Prisco, Immacolata, Reali, Stefano, Recchioni, Stefano, ALESSIO SALEMME, Tommaso, MATTIA SERAFIN, Alberto, LUCIA VALVO, Anna, RAMOS VÁZQUEZ, Isabel, Formisano, Vincenzo, Balzano, Simona, ROSARIO GUARRACINO, Mario, Natale, Luisa, CAMILLO PORZIO, Giovanni, DE ROSA, Marcello, Mallozzi, Alessia, Russo, Carlo, Esposito, Maurizio, Addessi, Elena, Fedele, Maria, Ferrante, Francesco, D’Orlando, Fabio, Fontanella, Andrea, Frezza, Massimiliano, Bianchi, Sergio, Pianese, Augusto, Lacchini, Marco, Manfredi, Simone, Palmaccio, Matteo, Petrecca, Florinda, Minnetti, Francesco, Sansone, Marcello, Bruni, Roberto, Colamatteo, Annarita, Zezza, Francesco, Zezza, Gennaro

وصف الملف: ELETTRONICO

Relation: issue:speciale; firstpage:27; lastpage:35; numberofpages:9; journal:DEMOCRAZIA E DIRITTI SOCIALI; http://hdl.handle.net/11580/80645

الاتاحة: http://hdl.handle.net/11580/80645

المؤلفون: Sergio Bianchi, Massimiliano Frezza, Augusto Pianese, Anna Maria Palazzo

المساهمون: Corazza, Marco, Bianchi, Sergio, Frezza, Massimiliano, Pianese, Augusto, Palazzo, Anna Maria

مصطلحات موضوعية: Hurst exponent Fractional Brownian bridge Volatility

Relation: info:eu-repo/semantics/altIdentifier/isbn/978-3-030-99637-6; info:eu-repo/semantics/altIdentifier/isbn/978-3-030-99638-3; ispartofbook:Mathematical and Statistical Methods for Actuarial Sciences and Finance MAF2022; firstpage:96; lastpage:102; numberofpages:7; alleditors:Corazza, Marco; https://hdl.handle.net/11580/95714

الاتاحة: https://hdl.handle.net/11580/95714
https://doi.org/10.1007/978-3-030-99638-3

المؤلفون: Massimiliano Frezza, Sergio Bianchi, Augusto Pianese

المساهمون: Frezza Massimiliano, Bianchi Sergio, Pianese Augusto, Frezza, Massimiliano, Bianchi, Sergio, Pianese, Augusto

مصطلحات موضوعية: Pointwise regularity, Time-varying variance and kurtosi, Value-at-Risk

وصف الملف: STAMPA

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000682425100001; numberofpages:35; journal:COMPUTATIONAL MANAGEMENT SCIENCE; https://hdl.handle.net/11580/85128; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85112615812

الاتاحة: https://hdl.handle.net/11580/85128
https://doi.org/10.1007/s10287-021-00412-w

المؤلفون: Sergio, Bianchi, Massimiliano, Frezza, Pianese, Augusto, Palazzo, Anna Maria

مصطلحات موضوعية: Hurst exponent Fractional Brownian bridge Volatility

URL الوصول: https://explore.openaire.eu/search/publication?articleId=od______3980::a5a27e1550de316f10067cfd04f2addb
https://hdl.handle.net/11580/95714

المؤلفون: Sergio Bianchi, Augusto Pianese, Massimiliano Frezza, Anna Maria Palazzo

المساهمون: Marco Corazza, Manfred Gilli, Cira Perna, Claudio Pizzi, Marilena Sibillo, Bianchi, Sergio, Pianese, Augusto, Frezza, Massimiliano, Palazzo, Anna Maria

مصطلحات موضوعية: Market Efficiency - Over/Underreaction - Pointwise Regularity

Relation: info:eu-repo/semantics/altIdentifier/isbn/978-3-030-78964-0; ispartofbook:Mathematical and Statistical Methods for Actuarial Sciences and Finance eMAF 2020; firstpage:95; lastpage:101; numberofpages:7; https://hdl.handle.net/11580/85137

الاتاحة: https://hdl.handle.net/11580/85137

المؤلفون: Sergio Bianchi, Massimiliano Frezza, Augusto Pianese

المصدر: Finance Research Letters
Web of Science

مصطلحات موضوعية: 2019-20 coronavirus outbreak, 050208 finance, Coronavirus disease 2019 (COVID-19), Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2), 05 social sciences, Financial market, Multifractional Brownian motion, COVID-19 pandemic, Fractal analysis, Multifractional brownian motion, Efficient markets, Pointwise regularity exponent, 0502 economics and business, Econometrics, Economics, 050207 economics, Volatility (finance), Inefficiency, Finance

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cc12a8d3ff0b5da6b4a68fb91f0a602f
https://hdl.handle.net/11580/85123

المؤلفون: Augusto Pianese, Massimiliano Frezza, Sergio Bianchi

مصطلحات موضوعية: Pointwise, Series (mathematics), Financial market, Value-at-Risk, Magnitude (mathematics), Management Information Systems, Pointwise regularity, Econometrics, Exponent, Time-varying variance and kurtosis, Stock (geology), Value at risk, Independence (probability theory), Information Systems, Mathematics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6f8c335f44f178071727f99177fdfc16
http://hdl.handle.net/11573/1565994

المؤلفون: Sergio Bianchi, Augusto Pianese, Massimiliano Frezza, Anna Maria Palazzo

المصدر: Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783030789640

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::6662e13170f70e79f6e3566855a3a2b0
https://doi.org/10.1007/978-3-030-78965-7_15

المؤلفون: Sergio Bianchi, Augusto Pianese, Massimiliano Frezza

المساهمون: Bianchi, Sergio, Pianese, Augusto, Frezza, Massimiliano

Relation: info:eu-repo/semantics/altIdentifier/isbn/978-9963-2227-8-0; ispartofbook:Proceedings of the 12th International Conference of the ERCIM WG on Computational and Methodological Statistics; 12th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2019); firstpage:192; lastpage:193; numberofpages:2; http://hdl.handle.net/11573/1369365

الاتاحة: http://hdl.handle.net/11573/1369365

المؤلفون: Massimiliano Frezza

المساهمون: Frezza, Massimiliano

مصطلحات موضوعية: volatility: pointwise holder regularity, stock markets

Relation: volume:13/14; firstpage:37; lastpage:48; numberofpages:12; journal:MATHEMATICAL METHODS IN ECONOMICS AND FINANCE; https://hdl.handle.net/11573/1677911

الاتاحة: https://hdl.handle.net/11573/1677911

المؤلفون: Giancarlo, Scalese, Camillo, Verde, Marco, Badagliacca, Bersani, Carlo, Francesco, Buonomenna, Cherti, Stefano, GIUSEPPE DELLA MONICA, LUIGI DI SANTO, MASSIMO LUIGI FERRANTE, Marika, Gimini, MARÍA JOSÉ CARAZO LIÉBANA, Francesco, Maiello, Raffaele, Maione, Jorge, LOZANO-MIRALLES, FULVIO MARIA PALOMBINO, Pasquale, Passalacqua, Fulvio, Pastore, Porcelli, Maria, Immacolata, Prisco, Stefano, Reali, Stefano, Recchioni, TOMMASO ALESSIO SALEMME, ALBERTO MATTIA SERAFIN, ANNA LUCIA VALVO, ISABEL RAMOS VÁZQUEZ, Vincenzo, Formisano, Simona, Balzano, MARIO ROSARIO GUARRACINO, Luisa, Natale, GIOVANNI CAMILLO PORZIO, MARCELLO DE ROSA, Alessia, Mallozzi, Carlo, Russo, Maurizio, Esposito, Elena, Addessi, Fedele, Maria, Francesco, Ferrante, Fabio, D’Orlando, Andrea, Fontanella, Massimiliano, Frezza, Sergio, Bianchi, Augusto, Pianese, Marco, Lacchini, Simone, Manfredi, Matteo, Palmaccio, Florinda, Petrecca, Francesco, Minnetti, Marcello, Sansone, Roberto, Bruni, Annarita, Colamatteo, Francesco, Zezza, Gennaro, Zezza

URL الوصول: https://explore.openaire.eu/search/publication?articleId=od______3980::29b47b70cc7b61ce81a77b9d2d72b372
http://hdl.handle.net/11580/80645

المؤلفون: Augusto Pianese, Sergio Bianchi, Massimiliano Frezza

مصطلحات موضوعية: liquidity, Self-similarity, self-similarity, Nonparametric statistics, scale invariance, Management Science and Operations Research, Scale invariance, Investment (macroeconomics), General Business, Management and Accounting, Stability (probability), fractal market hypothesis, investment horizons, Market liquidity, Fractal, Modeling and Simulation, Econometrics, Scaling, Mathematics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e885f7478182ed64b8e654472bf149d8
http://hdl.handle.net/11573/1378636

المؤلفون: Bianchi, Sergio, Massimiliano, Frezza, Augusto, Pianese

مصطلحات موضوعية: Regolarità puntuale, Moto Browniano multifrazionario, Stima della regolarità puntuale di un mBm

URL الوصول: https://explore.openaire.eu/search/publication?articleId=od______3686::27645bf5f039ea27b961e3a121da2f3f
http://hdl.handle.net/11573/1477997

المؤلفون: Massimiliano Frezza

المصدر: Chaos (Woodbury, N.Y.). 28(9)

مصطلحات موضوعية: Tails, 050208 finance, Stochastic process, Applied Mathematics, Economic sector, 05 social sciences, Multifractional Process with Random Exponent, General Physics and Astronomy, Statistical and Nonlinear Physics, 01 natural sciences, Stock market index, 010104 statistics & probability, Fractal, Goodness of fit, Financial Time Series, Simulation, 0502 economics and business, Financial crisis, Econometrics, Economics, 0101 mathematics, Empirical evidence, Mathematical Physics, Stock (geology)

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c775d9755bf270d07a87176a46529df2
https://pubmed.ncbi.nlm.nih.gov/30278649

المؤلفون: Sergio Bianchi, Massimiliano Frezza

المساهمون: Massimiliano Frezza, Bianchi, Sergio, Frezza, Massimiliano

مصطلحات موضوعية: GAUSSIAN PROCESS, INDEX, TAIL, REGULARITY, Stochastic processes, Fractals, Economic issues, Time series analysis, Statistical distribution

وصف الملف: ELETTRONICO

Relation: info:eu-repo/semantics/altIdentifier/pmid/28764403; info:eu-repo/semantics/altIdentifier/wos/WOS:000406762000002; volume:27; issue:7; firstpage:071102; journal:CHAOS; https://hdl.handle.net/11580/65314; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85026346795; https://doi.org/10.1063/1.4987150

الاتاحة: https://hdl.handle.net/11580/65314
https://doi.org/10.1063/1.4987150