67 citations · 77 across the 5 of their papers we have counts for
7 papers
Filtering and Smoothing with Score-Driven Models
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi +1
Score-driven models are, by construction, purely predictive filters. When such models are read as filters for an underlying latent process, rather than as data generating processes…
From rotational to scalar invariance: Enhancing identifiability in score-driven factor models
Giuseppe Buccheri, Fulvio Corsi, Emilija Dzuverovic
We show that, for a certain class of scaling matrices including the commonly used inverse square-root of the conditional Fisher Information, score-driven factor models are identifi…
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi +1
The analysis of the intraday dynamics of correlations among high-frequency returns is challenging due to the presence of asynchronous trading and market microstructure noise. Both…
Robust filtering and smoothing via perturbation methods
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi +1
Using a perturbation technique, we derive a new approximate filtering and smoothing methodology generalizing along different directions several existing approaches to robust filter…
Experimental investigation of the trachea oscillation and its role in the pitch production
G. Buccheri, E. De Lauro, S. De Martino +1
Several experiments have been performed to investigate the mechanical vibrations associated with trachea and larynx when Italian vowels are emitted. The mechanical measurements hav…
Evolution of correlation structure of industrial indices of US equity markets
Giuseppe Buccheri, Stefano Marmi, Rosario N. Mantegna
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properti…
Electroweak Radiative Corrections to Higgs Production via Vector Boson Fusion using SCET: Numerical Results
Fabio Siringo, Giuseppe Buccheri
Electroweak radiative corrections are computed for Higgs production through vector boson fusion, qq->qqH, which is one of the most promising channels for detecting and studying the…