12 citations · 13 across the 3 of their papers we have counts for
3 papers
Hedonic Models of Real Estate Prices: GAM and Environmental Factors
Jason R. Bailey, Davide Lauria, W. Brent Lindquist +2
We consider the use of P-spline generalized additive hedonic models for real estate prices in large U.S. cities, contrasting their predictive efficiency against linear and polynomi…
ESG-Valued Portfolio Optimization and Dynamic Asset Pricing
Davide Lauria, W. Brent Lindquist, Stefan Mittnik +1
ESG ratings provide a quantitative measure for socially responsible investment. We present a unified framework for incorporating numeric ESG ratings into dynamic pricing theory. Sp…
Global and Tail Dependence: A Differential Geometry Approach
Davide Lauria, Svetlozar T. Rachev, A. Alexandre Trindade
Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients…