A5063680445- Financial Risk and Volatility Modeling
- Complex Systems and Time Series Analysis
- Statistical Methods and Inference
- Monetary Policy and Economic Impact
- Neural Networks and Applications
- Market Dynamics and Volatility
- Hydrology and Drought Analysis
- Forecasting Techniques and Applications
- Sports Analytics and Performance
- Sports Performance and Training
- Probabilistic and Robust Engineering Design
- Sports Dynamics and Biomechanics
- Image and Signal Denoising Methods
- Management, Economics, and Public Policy
- Climate Change Communication and Perception
- Structural Health Monitoring Techniques
- Statistical Methods in Clinical Trials
- Gambling Behavior and Treatments
- GaN-based semiconductor devices and materials
- Spatial and Panel Data Analysis
- Consumer Market Behavior and Pricing
- Greenhouse Technology and Climate Control
- Ga2O3 and related materials
- Simulation Techniques and Applications
- Soil Geostatistics and Mapping
University of Padua
2011-2024
University of Bern
2023
We investigate the impact of Mg-doping on performance and degradation kinetics AlGaN-based UV-C light-emitting diodes (LEDs). By comparing LEDs from three wafers with different nominal doping levels [Mg/(Al+Ga) ratio: 0.15%, 0.5%, 1% in gas phase during epitaxy] AlGaN:Mg electron-blocking layer (EBL), we demonstrate following results: (i) A higher EBL results a optical power at low current levels, which is ascribed to an increased hole injection efficiency. (ii) The reduction follows...
Journal Article Looking for skewness in financial time series Get access Matteo Grigoletto, Grigoletto Department of Statistical Sciences, Via Cesare Battisti 241, 35121 Padova, Italy Search other works by this author on: Oxford Academic Google Scholar Francesco Lisi The Econometrics Journal, Volume 12, Issue 2, 1 July 2009, Pages 310–323, https://doi.org/10.1111/j.1368-423X.2009.00281.x Published: 21 2009 history Received: 01 April 2007 Accepted: December 2008
Understanding behavioral aspects of collective decision-making is an important challenge for eco-nomics, and narratives are a crucial group-based mechanism that influences human decision-making. This paper introduces the Character-Role Narrative Framework as tool to systematically analyze narratives, applies it study US climate change policy on Twitter over 2010-2021 period. We build idea so-called drama triangle suggests, within context topic, essence narrative captured by its characters in...
Abstract The Meixner distribution is a special case of the generalized z-distributions. Its properties make it potentially very useful in modeling short-term financial returns. This article proposes an algorithm to simulate distribution, and shows how obtain maximum likelihood estimators its parameters. A GARCH-type model then assessed, assuming that innovation standardized Meixner. Goodness-of-fit are investigated for some real time series, using bootstrap tests based on empirical process...
Due to its unique scoring system, in tennis it is possible win a match with fewer points or games than the opponent.This quirk has been called Quasi-Simpson paradox (QSP) and analyzed by Wright et al. (2013) for years 1990-2011.This work follows up that of extends that: i) QSP studied different, more recent, (2012-2017), allowing time comparison; ii) considered respect as well points; iii) considers both men women; iv) significance results verified means statistical tests; v) analyzes also...
We propose a method for fitting semiparametric models such as the proportional hazards (PH), additive risks (AR), and odds (PO) models. Each of these implies that some transformation conditional cumulative hazard function (at each t) depends linearly on covariates. The proposed is based nonparametric estimation function, forming weighted average over range t-values, subsequent use least squares to estimate parameters suggested by model. An approximation optimal weight given. This allows be...
In this paper we analyze the factors impacting on length of a men’s professional tennis match and propose model to simulate matches’ durations. Two distinctive features are that i) it considers all kinds events impact duration ii) is based only publicly available data. Once built, allows different formats or rule changes duration. The built validated using dataset including 19,961 matches played in period January 2011 – December 2018. simulated observed distributions durations compared with...
In the literature, information on rally length distribution is quite incomplete, fragmented and non-homogeneous. this paper we fill gap deeply analyzing of in professional tennis matches following directions: i) provide empirical length, not only for some categories, but each single length; ii) consider different distributions men women surfaces; iii) find statistical best fitting data surface; iv) show how depends variables, such as probabilities winning a point at serve players’ heights;...
Abstract In this article, we study goodness of fit tests for some distributions the innovations which are usually adopted to explain behavior financial time series. Inference is developed in context GARCH-type models. Functional bootstrap employed, assuming that conditional means and variances model correctly specified. The performances functional assessed with a Monte Carlo experiment, based on most common framework. results an application series squared residuals from PARCH(1,1) fitted...
In this paper we introduce a procedure to compute prediction intervals for FARIMA (p d q) processes, taking into account the variability due model identification and parameter estimation. To aim, particular bootstrap technique is developed. The performance of then assessed compared that standard percentile intervals. methods are applied time series Nile River annual minima.
In this paper the out-of-sample prediction of Value-at-Risk by means models accounting for higher moment dynamics is studied. We consider differing in terms skewness and urtosis and, particular, GARCHDSK model, which allows dynamic kurtosis. The issue VaR performance approached first a purely statistical viewpoint, studying properties correct coverage rates independence violations. Then, financial implications different models, market risk capital requirements, as defined Basel Accord, are...
In this work we propose a new class of long-memory models with time-varying fractional parameter. particular, the dynamics coefficient, $d$, is specified through stochastic recurrence equation driven by score predictive likelihood, as suggested Creal et al. (2013) and Harvey (2013). We demonstrate validity proposed model Monte Carlo experiment an application to two real time series.