2 citations · 4 across the 5 of their papers we have counts for
5 papers
The generalized hyperbolic family and automatic model selection through the multiple-choice LASSO
Luca Bagnato, Alessio Farcomeni, Antonio Punzo
We revisit the generalized hyperbolic (GH) distribution and its nested models. These include widely used parametric choices like the multivariate normal, skew-t, Laplace, and sever…
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…
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…
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…
Improving the autodependogram using the Kulback-Leibler divergence
Luca Bagnato, Lucio De Capitani, Antonio Punzo
The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. It is defined computing the classical Pearson chi-square statistics of in…