7 citations · 7 across the 3 of their papers we have counts for
3 papers
math.ST2020
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…
q-fin.PR2016
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…
q-fin.MF2015★ 7 cited
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…