87 citations · 266 across the 25 of their papers we have counts for
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math.PR2011
Bivariate Semi-Markov Process for Counterparty Credit Risk
Guglielmo D'Amico, Raimondo Manca, Giovanni Salvi
We consider the problem of constructing an appropriate multivariate model for the study of the counterparty credit risk in credit rating migration problem. For this financial probl…
q-fin.ST2011★ 26 cited
A semi-Markov model with memory for price changes
Guglielmo D'Amico, Filippo Petroni
We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by…
q-fin.ST2011★ 37 cited
A semi-Markov model for price returns
Guglielmo D'Amico, Filippo Petroni
We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday return are described by a…