FREZZA, Massimiliano
FREZZA, Massimiliano
Dipartimento di Economia e Giurisprudenza
A distribution-based method to gauge market liquidity through scale invariance between investment horizons
2019-01-01 Bianchi, Sergio; Pianese, Augusto; Frezza, Massimiliano
Fair Volatility in the Fractional Stochastic Regularity Model
2024-01-01 Bianchi, Sergio; Angelini, Daniele; Frezza, Massimiliano; Palazzo, Anna Maria; Pianese, Augusto
Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process
2022-01-01 Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto
Fractal analysis of market (in)efficiency during the COVID-19
2021-01-01 Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto
Fractal stock markets: International evidence of dynamical (in)efficiency
2017-01-01 Bianchi, Sergio; Frezza, Massimiliano
Liquidity, Efficiency and the 2007-2008 Global Financial Crisis
2018-01-01 Bianchi, Sergio; Frezza, Massimiliano
L’impatto della pandemia Covid-19 sull’efficienza dei mercati azionari
2020-01-01 Bianchi, Sergio; Frezza, Massimiliano; Pianese, Augusto
Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity
2023-01-01 Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto
Rough volatility via the Lamperti transform
2023-01-01 Bianchi, Sergio; Angelini, Daniele; Pianese, Augusto; Frezza, Massimiliano
Stochastic dominance in the outer distributions of the α-efficiency domain
2020-01-01 Bianchi, Sergio; Pianese, Augusto; Frezza, Massimiliano; Palazzo, Anna Maria
| Titolo | Data di pubblicazione | Autore(i) | File |
|---|---|---|---|
| A distribution-based method to gauge market liquidity through scale invariance between investment horizons | 1-gen-2019 | Bianchi, Sergio; Pianese, Augusto; Frezza, Massimiliano | |
| Fair Volatility in the Fractional Stochastic Regularity Model | 1-gen-2024 | Bianchi, Sergio; Angelini, Daniele; Frezza, Massimiliano; Palazzo, Anna Maria; Pianese, Augusto | |
| Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process | 1-gen-2022 | Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto | |
| Fractal analysis of market (in)efficiency during the COVID-19 | 1-gen-2021 | Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto | |
| Fractal stock markets: International evidence of dynamical (in)efficiency | 1-gen-2017 | Bianchi, Sergio; Frezza, Massimiliano | |
| Liquidity, Efficiency and the 2007-2008 Global Financial Crisis | 1-gen-2018 | Bianchi, Sergio; Frezza, Massimiliano | |
| L’impatto della pandemia Covid-19 sull’efficienza dei mercati azionari | 1-gen-2020 | Bianchi, Sergio; Frezza, Massimiliano; Pianese, Augusto | |
| Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity | 1-gen-2023 | Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto | |
| Rough volatility via the Lamperti transform | 1-gen-2023 | Bianchi, Sergio; Angelini, Daniele; Pianese, Augusto; Frezza, Massimiliano | |
| Stochastic dominance in the outer distributions of the α-efficiency domain | 1-gen-2020 | Bianchi, Sergio; Pianese, Augusto; Frezza, Massimiliano; Palazzo, Anna Maria |