1 citations · 1 across the 3 of their papers we have counts for
3 papers
stat.ME2022★ 1 cited
Asymmetric Laplace scale mixtures for the distribution of cryptocurrency returns
Antonio Punzo, Luca Bagnato
Recent studies about cryptocurrency returns show that its distribution can be highly-peaked, skewed, and heavy-tailed, with a large excess kurtosis. To accommodate all these peculi…
stat.ME2020
The multivariate tail-inflated normal distribution and its application in finance
Antonio Punzo, Luca Bagnato
This paper introduces the multivariate tail-inflated normal (MTIN) distribution, an elliptical heavy-tails generalization of the multivariate normal (MN). The MTIN belongs to the f…
stat.ME2019
Unconstrained representation of orthogonal matrices with application to common principle components
Luca Bagnato, Antonio Punzo
Many statistical problems involve the estimation of a orthogonal matrix . Such an estimation is often challenging due to the orthonormality con…