6 citations · 14 across the 16 of their papers we have counts for
Showing 2023Show all
2 papers · 1 filter
q-fin.TR2023
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…
math.ST2023
Quasi-Likelihood Analysis for Student-Lévy Regression
Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara
We consider the quasi-likelihood analysis for a linear regression model driven by a Student-t Lévy process with constant scale and arbitrary degrees of freedom. The model is observ…