87 citations · 266 across the 25 of their papers we have counts for
28 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…
Modelling a storage system of a wind farm with a ramp-rate limitation: a semi-Markov modulated Brownian bridge approach
Abel Azze, Guglielmo D'Amico, Bernardo D'Auria +1
We propose a new methodology to simulate the discounted penalty applied to a wind-farm operator by violating ramp-rate limitation policies. It is assumed that the operator manages…
Randentropy: a software to measure inequality in random systems
Guglielmo D'Amico, Stefania Scocchera, Loriano Storchi
The software Randentropy is designed to estimate inequality in a random system where several individuals interact moving among many communities and producing dependent random quant…
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…
Confidence sets for dynamic poverty indexes
Guglielmo D'Amico, Riccardo De Blasis, Philippe Regnault
In this study, we extend the research on the dynamic poverty indexes, namely the dynamic Headcount ratio, the dynamic income-gap ratio, the dynamic Gini and the dynamic Sen, propos…
A review of the Dividend Discount Model: from deterministic to stochastic models
Guglielmo D'Amico, Riccardo De Blasis
This chapter presents a review of the dividend discount models starting from the basic models (Williams 1938, Gordon and Shapiro 1956) to more recent and complex models (Ghezzi and…
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…
Generalized semi-Markovian dividend discount model: risk and return
Guglielmo D'Amico
The article presents a general discrete time dividend valuation model when the dividend growth rate is a general continuous variable. The main assumption is that the dividend growt…
Tornadoes and related damage costs: statistical modeling with a semi-Markov approach
Chiara Corini, Guglielmo D'Amico, Filippo Petroni +2
We propose a statistical approach to tornadoes modeling for predicting and simulating occurrences of tornadoes and accumulated cost distributions over a time interval. This is achi…
Performance Indicators of Wind Energy Production
G. D'Amico, F. Petroni, F. Prattico
Modeling wind speed is one of the key element when dealing with the production of energy through wind turbines. A good model can be used for forecasting, site evaluation, turbines…
Operational risk of a wind farm energy production by Extreme Value Theory and Copulas
Guglielmo D'Amico, Filippo Petroni, Flavio Prattico
In this paper we use risk management techniques to evaluate the potential effects of those operational risks that affect the energy production of a wind farm. We concentrate our at…
Forecasting wind speed financial return
Guglielmo D'Amico, Filippo Petroni, Flavio Prattico
The prediction of wind speed is very important when dealing with the production of energy through wind turbines. In this paper, we show a new nonparametric model, based on semi-Mar…
Semi-Markov Models in High Frequency Finance: A Review
G. D'Amico, F. Petroni, F. Prattico
In this paper we describe three stochastic models based on a semi-Markov chains approach and its generalizations to study the high frequency price dynamics of traded stocks. The th…
Reliability measures for indexed semi-Markov chains applied to wind energy production
Guglielmo D'Amico, Filippo Petroni, Flavio Prattico
The computation of the dependability measures is a crucial point in the planning and development of a wind farm. In this paper we address the issue of energy production by wind tur…
Wind speed forecasting at different time scales: a non parametric approach
Guglielmo D'Amico, Filippo Petroni, Flavio Prattico
The prediction of wind speed is one of the most important aspects when dealing with renewable energy. In this paper we show a new nonparametric model, based on semi-Markov chains,…
Multivariate high-frequency financial data via semi-Markov processes
Guglielmo D'Amico, Filippo Petroni
In this paper we propose a bivariate generalization of a weighted indexed semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that financial r…
A Semi-Markov Modulated Interest Rate Model
Guglielmo D'Amico, Raimondo Manca, Giovanni Salvi
In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated…
Reliability measures of second order semi-Markov chain applied to wind energy production
Guglielmo D'Amico, Filippo Petroni, Flavio Prattico
In this paper we consider the problem of wind energy production by using a second order semi-Markov chain in state and duration as a model of wind speed. The model used in this pap…
Performability analysis of the second order semi-Markov chains: an application to wind energy production
Guglielmo D'Amico, Filippo Petroni, Flavio Prattico
In this paper a general second order semi-Markov reward model is presented. Equations for the higher order moments of the reward process are presented for the first time and applie…
Weighted-indexed semi-Markov models for modeling financial returns
Guglielmo D'Amico, Filippo Petroni
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the fina…
First and second order semi-Markov chains for wind speed modeling
Guglielmo D'Amico, Filippo Petroni, Flavio Prattico
The increasing interest in renewable energy, particularly in wind, has given rise to the necessity of accurate models for the generation of good synthetic wind speed data. Markov c…