7 citations · 7 across the 3 of their papers we have counts for
3 papers
A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities
Roberto Casarin, Fabrizio Leisen, German Molina +1
We build on the work in Fackler and King 1990, and propose a more general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set…
Bayesian Model Selection for Beta Autoregressive Processes
R. Casarin, L. Dalla Valle, F. Leisen
We deal with Bayesian inference for Beta autoregressive processes. We restrict our attention to the class of conditionally linear processes. These processes are particularly suitab…
Limiting behavior of the search cost distribution for the move-to-front rule in the stable case
Fabrizio Leisen, Antonio Lijoi, Christian Paroissin
Move-to-front rule is a heuristic updating a list of n items according to requests. Items are required with unknown probabilities (or popularities). The induced Markov chain is kno…