129 citations · 587 across the 33 of their papers we have counts for
34 papers
Instantaneous Failure, Repair and Mobility Rates for Markov Reliability Systems: A Wind-Farm application
Guglielmo D'Amico, Filippo Petroni
The Rate of Occurrence of Failures (ROCOF) is a widely utilized indicator for assessing a system's performance over time, yet it does not fully disclose the instantaneous behavior…
A micro-to-macro approach to returns, volumes and waiting times
Guglielmo D'Amico, Filippo Petroni
Fundamental variables in financial market are not only price and return but a very important role is also played by trading volumes. Here we propose a new multivariate model that t…
A copula based Markov Reward approach to the credit spread in European Union
Guglielmo D'Amico, Filippo Petroni, Philippe Regnault +2
In this paper, we propose a methodology based on piece-wise homogeneous Markov chain for credit ratings and a multivariate model of the credit spreads to evaluate the financial ris…
Indexed Markov Chains for financial data: testing for the number of states of the index process
Guglielmo D'Amico, Ada Lika, Filippo Petroni
A new branch based on Markov processes is developing in the recent literature of financial time series modeling. In this paper, an Indexed Markov Chain has been used to model high…
A new approach to the modeling of financial volumes
Guglielmo D'Amico, Filippo Petroni
In this paper we study the high frequency dynamic of financial volumes of traded stocks by using a semi-Markov approach. More precisely we assume that the intraday logarithmic chan…
Multi-state models for evaluating conversion options in life insurance
Guglielmo D'Amico, Montserrat Guillen, Raimondo Manca +1
In this paper we propose a multi-state model for the evaluation of the conversion option contract. The multi-state model is based on age-indexed semi-Markov chains that are able to…