3 citations · 4 across the 6 of their papers we have counts for
8 papers
Student t-Lévy regression model in YUIMA
Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara
The aim of this paper is to discuss an estimation and a simulation method in the \textsf{R} package YUIMA for a linear regression model driven by a Student- Lévy process with co…
Investigating Short-Term Dynamics in Green Bond Markets
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory…
A Hawkes model with CARMA(p,q) intensity
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
In this paper we introduce a new model named CARMA(p,q)-Hawkes process as the Hawkes model with exponential kernel implies a strictly decreasing behaviour of the autocorrelation fu…
Multivariate Mixed Tempered Stable Distribution
Asmerilda Hitaj, Friedrich Hubalek, Lorenzo Mercuri +1
The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its cap…
Parametric Risk Parity
Lorenzo Mercuri, Edit Rroji
Any optimization algorithm based on the risk parity approach requires the formulation of portfolio total risk in terms of marginal contributions. In this paper we use the independe…
Implementation of Lévy CARMA model in Yuima package
Stefano M. Iacus, Lorenzo Mercuri
The paper shows how to use the R package yuima available on CRAN for the simulation and the estimation of a general Lévy Continuous Autoregressive Moving Average (CARMA) model. The…