4 citations · 12 across the 19 of their papers we have counts for
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Asymptotics for multifactor Volterra type stochastic volatility models
Giulia Catalini, Barbara Pacchiarotti
We study multidimensional stochastic volatility models in which the volatility process is a positive continuous function of a continuous multidimensional Volterra process that can…
Asymptotic results for certain first-passage times and areas of renewal processes
Claudio Macci, Barbara Pacchiarotti
We consider the process , where and is a renewal process with light-tailed distributed holding times. We are interested in…
Asymptotic results for linear combinations of spacings generated by i.i.d. exponential random variables
Camilla Calì, Maria Longobardi, Claudio Macci +1
We prove large (and moderate) deviations for a class of linear combinations of spacings generated by i.i.d. exponentially distributed random variables. We allow a wide class of coe…
Asymptotic results for families of power series distributions
Claudio Macci, Barbara Pacchiarotti, Elena Villa
In this paper we consider suitable families of power series distributed random variables, and we study their asymptotic behavior in the fashion of large (and moderate) deviations.…