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Publications in Uncertainty

Efficient Versus Inefficient Hedging Strategies in the Presence of Financial and Longevity (Value At) Risk

Insurance: Mathematics and Economics

English

Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean

Journal of Time Series Analysis

Applied Mathematics

English

Time-Consistent Mean–variance Portfolio Optimization: A Numerical Impulse Control Approach

Insurance: Mathematics and Economics

English

On the Distribution Estimation of Power Threshold Garch Processes

Journal of Time Series Analysis

Applied Mathematics

English

A Generalised Fractional Differencing Bootstrap for Long Memory Processes

Journal of Time Series Analysis

Applied Mathematics

English

On a Multivariate Pareto Distribution

Insurance: Mathematics and Economics

English

Estimation of the Long-Memory Stochastic Volatility Model Parameters That Is Robust to Level Shifts and Deterministic Trends

Journal of Time Series Analysis

Applied Mathematics

English

Time-Varying Multi-Regime Models Fitting by Genetic Algorithms

Journal of Time Series Analysis

Applied Mathematics

English

Small-Band Fixed-bAsymptotics for Weighted Covariance Estimation in Fractional Cointegration

Journal of Time Series Analysis

Applied Mathematics

English

Risk Aggregation in Solvency II Through Recursive Log-Normals

Insurance: Mathematics and Economics

English