Paolo Zaffaroni

6 published titles

Modelling nonlinearity and long memory in time series

(Contributor)

3 editions

Gaussian estimation of long-range dependent volatility in asset prices

1 edition

Aggregation of simple linear dynamics : exact asymptotic results

(Contributor)

1 edition

Pseudo-maximum likelihood estimation of ARCH [infinity] models

(Contributor)

1 edition

Model averaging and value-at-risk based evaluation of large multi-asset volatility models for risk management

(Contributor)

1 edition

Model averaging in risk management with an application to futures markets

(Contributor)

1 edition