1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2022★ 1 cited
Bootstrap Cointegration Tests in ARDL Models
Stefano Bertelli, Gianmarco Vacca, Maria Grazia Zoia
The paper proposes a new bootstrap approach to the Pesaran, Shin and Smith's bound tests in a conditional equilibrium correction model with the aim to overcome some typical drawbac…
econ.EM2021
Modeling Portfolios with Leptokurtic and Dependent Risk Factors
Piero Quatto, Gianmarco Vacca, Maria Grazia Zoia
Recently, an approach to modeling portfolio distribution with risk factors distributed as Gram-Charlier (GC) expansions of the Gaussian law, has been conceived. GC expansions prove…