2 papers
q-bio.PE2020
A fractional model for the COVID-19 pandemic: Application to Italian data
Elisa Alòs, Maria Elvira Mancino, Raúl Merino +1
We provide a probabilistic SIRD model for the COVID-19 pandemic in Italy, where we allow the infection, recovery and death rates to be random. In particular, the underlying random…
q-fin.ST2019
Stochastic leverage effect in high-frequency data: a Fourier based analysis
Imma Valentina Curato, Simona Sanfelici
The stochastic leverage effect, defined as the standardized covariation between the returns and their related volatility, is analyzed in a stochastic volatility model set-up. A nov…