| Approximation of the variance gamma model with a finite mixture of normals A Loregian, L Mercuri, E Rroji Statistics & Probability Letters 82 (2), 217-224, 2012 | 23 | 2012 |
| Portfolio selection with independent component analysis A Hitaj, L Mercuri, E Rroji Finance Research Letters 15, 146-159, 2015 | 14 | 2015 |
| Mixed tempered stable distribution E Rroji, L Mercuri Quantitative Finance 15 (9), 1559-1569, 2015 | 12 | 2015 |
| COGARCH (p, q): Simulation and Inference with the yuima Package SM Iacus, L Mercuri, E Rroji Journal of Statistical Software 80 (4), 1-35, 2017 | 10 | 2017 |
| Implicit expectiles and measures of implied volatility F Bellini, L Mercuri, E Rroji Quantitative Finance 18 (11), 1851-1864, 2018 | 6 | 2018 |
| Option pricing in an exponential MixedTS Lévy process L Mercuri, E Rroji Annals of Operations Research 260 (1-2), 353-374, 2018 | 6 | 2018 |
| Risk attribution and semi-heavy tailed distributions E Rroji Università degli Studi di Milano-Bicocca, 2013 | 6 | 2013 |
| Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation SM Iacus, L Mercuri, E Rroji Journal of Time Series Analysis 39 (5), 787-809, 2018 | 3 | 2018 |
| Risk parity for Mixed Tempered Stable distributed sources of risk L Mercuri, E Rroji Annals of Operations Research 260 (1-2), 375-393, 2018 | 3 | 2018 |
| Estimation and Simulation of a COGARCH (p, q) model in the YUIMA project SM Iacus, L Mercuri, E Rroji arXiv preprint arXiv:1505.03914, 2015 | 3 | 2015 |
| On the dependence structure between S&P500, VIX and implicit Interexpectile Differences F Bellini, L Mercuri, E Rroji Quantitative Finance 20 (11), 1839-1848, 2020 | 2 | 2020 |
| Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization A Hitaj, L Mercuri, E Rroji Computational Management Science 16 (1-2), 71-95, 2019 | 2 | 2019 |
| On properties of the MixedTS distribution and its multivariate extension A Hitaj, F Hubalek, L Mercuri, E Rroji International Statistical Review 86 (3), 512-540, 2018 | 2 | 2018 |
| Measuring risk with cogarch (p, q) models F Bianchi, L Mercuri, E Rroji Available at SSRN 2852858, 2016 | 2 | 2016 |
| Multivariate mixed tempered stable distribution A Hitaj, F Hubalek, L Mercuri, E Rroji arXiv preprint arXiv:1609.00926, 2016 | 2 | 2016 |
| On multivariate extensions of the Mixed Tempered Stable distribution A Hitaj, F Hubalek, L Mercuri, E Rroji The International Statistical Institute/International Association for …, 2016 | 2 | 2016 |
| Parametric Risk Parity L Mercuri, E Rroji arXiv preprint arXiv:1409.7933, 2014 | 2 | 2014 |
| Risk measurement using the mixed tempered stable distribution L Mercuri, E Rroji Mathematical and statistical methods for actuarial sciences and finance, 137-140, 2014 | 2 | 2014 |
| Lévy CARMA models for shocks in mortality A Hitaj, L Mercuri, E Rroji Decisions in Economics and Finance 42 (1), 205-227, 2019 | 1 | 2019 |
| Some empirical evidence on the need of more advanced approaches in mortality modeling A Hitaj, L Mercuri, E Rroji Mathematical and Statistical Methods for Actuarial Sciences and Finance, 425-430, 2018 | 1 | 2018 |
Lorenzo MercuriUniversity of MilanVerifisert e-postadresse på unimi.it
