21 citations · 27 across the 10 of their papers we have counts for
14 papers
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…