18 citations · 25 across the 7 of their papers we have counts for
Showing 2017Show all
3 papers · 1 filter
q-fin.MF2017
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…
math.ST2017
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…
math.ST2017
-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…