Suchergebnisse

Assessing Occurrence and Severity of Natural Catastrophes via a Correlated Vasicek and Geometric Brownian Process

Comparing Stochastic and Machine Learning Approaches to Currency Crises: A Case Study of Brazil

Time Series Forecasting With the CIR# Model: From Hectic Markets Sentiments to Regular Seasonal Tourism

In: Orlando, G., & Bufalo, M. (2023). Time series forecasting with the CIR# model: from hectic markets sentiments to regular seasonal tourism. 1., 29(4), 1216-1238–1216-1238. doi: 10.3846/tede.2023.19294 Technological and Economic Development of Economy

Improved Tourism Demand Forecasting With CIR# Model: A Case Study of Disrupted Data Patterns in Italy

In: Bufalo, M., & Orlando, G. (2023). Improved tourism demand forecasting with CIR# model: a case study of disrupted data patterns in Italy. Tourism Review, ahead-of-print(ahead-of-print). doi: 10.1108/TR-04-2023-0230 https://www.emerald.com/insight/content/doi/10.1108/TR-04-2023-0230/full/html

Empirical Evidences on the Interconnectedness between Sampling and Asset Returns' Distributions

In: Orlando, G.; Bufalo, M. Empirical Evidences on the Interconnectedness between Sampling and Asset Returns' Distributions. Risks 2021, 9, 88. https://doi.org/10.3390/risks9050088

Interest Rates Forecasting: Between Hull and White and the CIR#. How to Make a Single Factor Model Work

In: Orlando, G, Bufalo, M. Interest rates forecasting: between Hull and White and the CIR#. How to make a single factor model work. Journal of Forecasting. 2021. https://doi.org/10.1002/for.2783

Empirical Evidences on the Interconnectedness between Sampling and Asset Returns' Distributions

Skew–Brownian processes for estimating the volatility of crude oil Brent

In: International journal of forecasting

ISSN: 0169-2070

A Time-inhomogeneous Skew Vasicek Model With Jumps and Its Discrete-time Approximation

Modeling Volatility of Disaster-Affected Populations: A Non-Homogeneous Geometric-Skew Brownian Motion Approach

On the Ergodicity of a Three-Factor CIR Model

Financial Markets' Deterministic Aspects Modeled By A Low-Dimensional Equation

In: Orlando, G., Bufalo, M., & Stoop, R. (2022). Financial markets' deterministic aspects modeled by a low-dimensional equation. Scientific Reports, 12(1), 1693. doi: 10.1038/s41598-022-05765-z

Financial markets' deterministic aspects modeled by a low-dimensional equation

Financial markets' deterministic aspects modeled by a low-dimensional equation

A New Approach to Forecast Market Interest Rates Through the CIR Model

In: 'A New Approach to Forecast Market Interest Rates Through the CIR Model', with R.M. Mininni and M. Bufalo - Studies in Economics and Finance, Emerald Publishing, 20 Sept. 2019, DOI: 10.1108/SEF-03-2019-0116