18 citations · 25 across the 7 of their papers we have counts for
7 papers
State-Dependent Autoregressive Models: Properties, Estimation and Forecasting
Fabio Gobbi, Sabrina Mulinacci
This paper studies some temporal dependence properties and addresses the issue of parametric estimation for a class of state-dependent autoregressive models for nonlinear time seri…
A systemic shock model for too big to fail financial institutions
Sabrina Mulinacci
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a commo…
Gaussian autoregressive process with dependent innovations. Some asymptotic results
Fabio Gobbi, Sabrina Mulinacci
In this paper we introduce a modified version of a gaussian standard first-order autoregressive process where we allow for a dependence structure between the state variable $Y_{t-1…
-mixing and moments properties of a non-stationary copula-based Markov process
Fabio Gobbi, Sabrina Mulinacci
This paper provides conditions under which a non-stationary copula-based Markov process is -mixing. We introduce, as a particular case, a convolution-based gaussian Markov proce…
Granger Independent Martingale Processes
Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci +1
We introduce a new class of processes for the evaluation of multivariate equity derivatives. The proposed setting is well suited for the application of the standard copula function…
Systemic Risk with Exchangeable Contagion: Application to the European Banking System
Umberto Cherubini, Sabrina Mulinacci
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of obligors, a set of idiosy…