A5045585124- Financial Risk and Volatility Modeling
- Advanced Statistical Methods and Models
- Monetary Policy and Economic Impact
- Market Dynamics and Volatility
- Statistical Methods and Inference
- Risk and Portfolio Optimization
- Stochastic processes and financial applications
- Advanced Statistical Process Monitoring
- Complex Systems and Time Series Analysis
- Mosquito-borne diseases and control
- Consumer Retail Behavior Studies
- Consumer Market Behavior and Pricing
- Malaria Research and Control
- Financial Markets and Investment Strategies
- Soil and Unsaturated Flow
- Complex Network Analysis Techniques
- Artificial Immune Systems Applications
- Digital Platforms and Economics
- Soil Geostatistics and Mapping
- Statistical Distribution Estimation and Applications
- Viral Infections and Vectors
- Stock Market Forecasting Methods
- Species Distribution and Climate Change
- Network Security and Intrusion Detection
- Insurance, Mortality, Demography, Risk Management
University of Parma
2015-2025
Robust Chip (United States)
2019
University of Pisa
2006
University of Padua
2002-2004
Various modelling techniques are available to understand the temporal and spatial variations of phenology species. Scientists often rely on correlative models, which establish a statistical relationship between response variable (such as species abundance or presence-absence) set predominantly abiotic covariates. The choice modeling approach, i.e., algorithm, is itself significant source variability, different algorithms applied same dataset can yield disparate outcomes. This inter-model...
Abstract Modelling approaches play a crucial role in supporting local public health agencies by estimating and forecasting vector abundance seasonality. However, the reliability of these models is contingent on availability standardized, high-quality data. Addressing this need, our study focuses collecting harmonizing egg count observations mosquito Aedes albopictus , obtained through ovitraps monitoring surveillance efforts across Albania, France, Italy, Switzerland from 2010 to 2022. We...
Various modelling techniques are available to understand the temporal and spatial variations of phenology species. Scientists often rely on correlative models, which establish a statistical relationship between response variable (such as species abundance or presence-absence) set predominantly abiotic covariates. The approach choice, i.e. algorithm, is crucial factor for addressing multiple sources variability that can lead disparate outcomes when different models applied same dataset. This...
Summary Motivated by the requirement of controlling number false discoveries that arises in several application fields, we study behaviour diagnostic procedures obtained from popular high‐breakdown regression estimators when no outlier is present data. We find empirical error rates for many available techniques are surprisingly far prescribed nominal level. Therefore, propose a simulation‐based approach to correct liberal diagnostics and reach reliable inferences. provide evidence our...
Abstract Stock returns exhibit heavy tails and volatility clustering. These features, motivating the use of GARCH models, make it difficult to predict times sizes losses that might occur. Estimation losses, like Value-at-Risk, often assume returns, normalized by level volatility, are Gaussian. Often under ARMA-GARCH modeling, such scaled tailed show extremal dependence, whose strength reduces when increasing extreme levels. We model with generalized Pareto distributions, while dependence can...
Several methods have been proposed for identifying clusters of extreme values leading to estimators the extremal index; latter represents,in limit, mean-size each cluster thresholds exceedances. The detection extremes is relevant class processes commonly used in financial econometrics, such as GARCH processes. paper illustrates a novel approach above identification that exploits additional knowledge trajectory process around events, and compares it traditional approaches, using simulation...
Since the beginning of consumer crisis, which in Italy can be traced back to second half 2008, there has been a significant development store brands? market share reached close 25% some leader groups (for example Coop, Conad, Esselunga). The acceleration rate penetration brands differs by category and format. main reason for this result is different purchase behavior. In framework, work aims at analyzing elements that have determined success format (hypermarket, supermarket, convenience...
We consider the problem of decontaminating a network infected by mobile virus. The goal is to perform task using as small team antiviral agents, avoiding any recontamination disinfected areas, and minimizing amount agents' movements across network. In all existing literature, it assumed that immunity level site nil. this paper we decontamination under new model recontamination: case when vertex, after cleaning agent has gone, will become recontaminated only if weak majority its neighbours...
Abstract The research presented in this paper aims at providing a statistical model that is capable of estimating soil water content based on weather data. was tested using long-time series field experimental data from continuous monitoring test site Oltrepò Pavese (northern Italy). An innovative function developed order to predict the evolution soil–water precipitation and air temperature. were analysed framework robust statistics by combination parametric non-parametric models....
Modelling approaches play a crucial role in supporting local public health agencies by estimating and forecasting vector abundance seasonality. However, the reliability of these models is contingent on availability standardized, high-quality data. Addressing this need, our study focuses collecting harmonizing egg count observations Aedes albopictus, obtained through ovitraps monitoring surveillance efforts across Albania, France, Italy, Switzerland from 2010 to 2022. We processed raw obtain...
Abstract Macroeconomic and financial time series are often tested for the presence of non‐linearity effects. Sometimes, small patches extremal observations may wrongly influence tests. In this paper, a robust analysis Lagrange multiplier (LM) test GARCH components is suggested. With Monte‐Carlo simulation we show that extreme might cause over‐estimation number components, with main contribution consisting by introducing forward search method into model family. Using estimators regression...
Purpose The study develops a decision support system for the spatial distribution of store flyers, identifying number factors related to demand and competition influencing complexities their allocation target population. Design/methodology/approach model was developed incorporating insights found in existing marketing literature bypassing limitations managerial practices. To this end, an in-depth discussion with panel retailers held. tested collaboration retail chain. Findings proposed is...
We consider the problem of decontaminating a network infected by mobile virus. The goal is to perform task using as small team antiviral agents, avoiding any recontamination disinfected areas, and minimizing amount agents' movements across network. In all existing literature, it assumed that immunity level site nil. this paper we decontamination under new model recontamination: case when vertex, after cleaning agent has gone, will become recontaminated only if weak majority its neighbours...
This paper focuses on an innovative asset allocation strategy for risk averse investors who operate very long-time horizons, such as endowments and the Italian foundations of banking origin (FBOs). FBOs play a pivotal role in supporting economic, financial sustainable growth long term. In search model which optimizes FBO portfolio choices light regulatory constraints their sizeable investable portfolio, we highlight risk-adjusted performances obtained using robust conditional VaR (R-CVaR)...
Abstract Generalized autoregressive conditionally heteroskedastic (GARCH) processes are widely used for modelling financial returns, with their extremal properties being of interest market risk management. For GARCH( $$p,q$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"><mml:mrow><mml:mi>p</mml:mi><mml:mo>,</mml:mo><mml:mi>q</mml:mi></mml:mrow></mml:math> ) $$\max (p,q) = 1$$...
Probabilistic electricity price forecasting (PEPF) is subject of increasing interest, following the demand for proper quantification prediction uncertainty, to support operation in complex power markets with share renewable generation. Distributional neural networks ensembles have been recently shown outperform state art PEPF benchmarks. Still, they require critical reliability enhancements, as fail pass coverage tests at various steps on horizon. In this work, we propose a novel approach...
Nel corso degli ultimi anni si e assistito nel nostro Paese ad una rilevante crescita in quota della marca commerciale all’interno delle insegne leader distribuzione moderna. Tuttavia, uno scenario pur favorevole, la ha messo evidenza disomogeneita dei risultati di a livello canale distributivo, territorio singola categoria merceologica. In tale prospettiva, il presente paper intende approfondire tema determinanti alla base dello sviluppo mercato del largo consumo, verificando fenomeno nei...