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Department of Economics


Anno Tipologia Pubblicazione
Anno Tipologia Pubblicazione
2020 Articolo su rivista Pizzi Claudio, Parpinel Francesca, Frattarolo Lorenzo Combining permutation tests to rank systemically important banks in STATISTICAL METHODS & APPLICATIONS, vol. 29, pp. 581-596 (ISSN 1618-2510)
DOI - URL correlato - Scheda ARCA: 10278/3720781
2019 Articolo su rivista Billio M., R. Casarin, M. Costola, L. Frattarolo Opinion Dynamics and Disagreements on Financial Networks in ADVANCES IN DECISION SCIENCES, vol. 23/4 (ISSN 2090-3367)
- URL correlato - Scheda ARCA: 10278/3721761
2018 Articolo su libro Monica Billio, Roberto Casarin, Michele Costola, Lorenzo Frattarolo Disagreement in Signed Financial Networks , Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer Verlag, pp. 139-142 (ISBN 978-3-319-89824-7)
DOI - Scheda ARCA: 10278/3704081
2017 Articolo su rivista Casarin, R.; Frattarolo, L.; Rossini, L. A discussion on: Random-projection ensemble classification by T. Cannings and R. Samworth in JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B STATISTICAL METHODOLOGY, vol. 79, pp. 959-1035 (ISSN 1369-7412)
DOI - URL correlato - Scheda ARCA: 10278/3691788
2016 Articolo su rivista Monica, Billio; Lorenzo, Frattarolo; Hayette, Gatfaoui; Philippe, De Peretti Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone in DOCUMENTS DE TRAVAIL DU CENTRE D'ÉCONOMIE DE LA SORBONNE, vol. 2016.46 (ISSN 1955-611X)
DOI - Scheda ARCA: 10278/3685276
2016 Articolo su rivista Billio, M.; Frattarolo, L.; Pelizzon, L. Hedge fund tail risk: An investigation in stressed markets in THE JOURNAL OF ALTERNATIVE INVESTMENTS, vol. 18, pp. 109-124 (ISSN 1520-3255)
DOI - Scheda ARCA: 10278/3676334
2016 Articolo su rivista Frattarolo, Lorenzo; Parpinel, Francesca; Pizzi, Claudio SYSTEMICALLY IMPORTANT BANKS:A PERMUTATION TEST APPROACH in RIVISTA ITALIANA DI ECONOMIA, DEMOGRAFIA E STATISTICA, vol. LXX, pp. 41-52 (ISSN 0035-6832)
- URL correlato - Scheda ARCA: 10278/3685282
2016 Articolo su libro Costola, Michele; Frattarolo, Lorenzo; Lucchetta, Marcella; Paradiso, Antonio Do we need a stochastic trend in cay estimation? Yes. , WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE, Venice, Department of Economics Ca’ Foscari University of Venice, vol. No. 24/WP/2016, pp. 1-15 (ISBN 1827-3580) (ISSN 1827-3580)
- Scheda ARCA: 10278/3680914
2016 Working paper Lorenzo, Frattarolo; Francesca, Parpinel; Claudio, Pizzi Global Systemically Important Banks: A Permutation Test Approach (ISSN 1827-3580)
DOI - Scheda ARCA: 10278/3685280
2016 Working paper Monica, Billio; Loriana, Pelizzon; Lorenzo, Frattarolo; Massimiliano, Caporin Networks in risk spillovers: a multivariate GARCH perspective (ISSN 1827-3580)
DOI - Scheda ARCA: 10278/3685279
2014 Articolo su rivista M. Billio; L. Frattarolo; L. Pelizzon A time varying performance evaluation of hedge fund strategies through aggregation in RB BANKERS, MARKETS, INVESTORS, vol. 129, pp. 38-56 (ISSN 2101-9304)
- Scheda ARCA: 10278/42425
2014 Articolo su libro L. Frattarolo; D. Guégan Orthogonal Polynomials Derivative for Empirical Copula , Contributions in infinite-dimensional statistics and related topics, Soc. Editrice Esculapio srl, pp. 119-124 (ISBN 8874887639; 9788874887637)
DOI - Scheda ARCA: 10278/42536
2013 Articolo su rivista Lorenzo, Frattarolo; Dominique Guegan Empirical Projected Copula Process and Conditional Independence An Extended Version in DOCUMENTS DE TRAVAIL DU CENTRE D'ÉCONOMIE DE LA SORBONNE, vol. 2013.68 (ISSN 1955-611X)
- Scheda ARCA: 10278/3685277
2013 Articolo in Atti di convegno L. Frattarolo; M. Billio; M.Caporin; L. Pelizzon Proximity-structured multivariate volatility models for systemic risk , Advances in Latent Variables, Milano, Vita e Pensiero, Convegno: SIS 2013 (ISBN 9788834325568)
- Scheda ARCA: 10278/42537