2 citations · 3 across the 3 of their papers we have counts for
4 papers
CoVaR with volatility clustering, heavy tails and non-linear dependence
Michele Leonardo Bianchi, Giovanni De Luca, Giorgia Rivieccio
In this paper we estimate the conditional value-at-risk by fitting different multivariate parametric models capturing some stylized facts about multivariate financial time series o…
Multivariate non-Gaussian models for financial applications
Michele Leonardo Bianchi, Asmerilda Hitaj, Gian Luca Tassinari
In this paper we consider several continuous-time multivariate non-Gaussian models applied to finance and proposed in the literature in the last years. We study the models focusing…
Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs
Michele Leonardo Bianchi
In this paper, we empirically study models for pricing Italian sovereign bonds under a reduced form framework, by assuming different dynamics for the short-rate process. We analyze…
Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform
Michele Leonardo Bianchi, Gian Luca Tassinari
In this study we suggest a portfolio selection framework based on option-implied information and multivariate non-Gaussian models. The proposed models incorporate skewness, kurtosi…