2 papers
q-fin.ST2024
Investigating the price determinants of the European Emission Trading System: a non-parametric approach
Cristiano Salvagnin, Aldo Glielmo, Maria Elena De Giuli +1
The European carbon market plays a pivotal role in the European Union's ambitious target of achieving carbon neutrality by 2050. Understanding the intricacies of factors influencin…
stat.AP2008
Bayesian outlier detection in Capital Asset Pricing Model
Maria Elena De Giuli, Mario Alessandro Maggi, Claudia Tarantola
We propose a novel Bayesian optimisation procedure for outlier detection in the Capital Asset Pricing Model. We use a parametric product partition model to robustly estimate the sy…