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Giovanni De Luca

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This is information that was supplied by Giovanni De Luca in registering through RePEc. If you are Giovanni De Luca , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Giovanni
Middle Name:
Last Name: De Luca
Suffix:

RePEc Short-ID: pde357

Email:
Homepage: http://www.economia.uniparthenope.it/siti_docenti/Deluca/home.html
Postal Address:
Phone:

Affiliation

Dipartimento di Studi Aziendali ed Economici
Università degli Studi di Napoli - "Parthenope"
Location: Napoli, Italy
Homepage: http://www.economia.uniparthenope.it/
Email:
Phone: +39 081 5525784
Fax: +39 081 5522556
Postal: Via Generale Parisi, 13 - 80132 Napoli
Handle: RePEc:edi:fenavit (more details at EDIRC)

Works

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Working papers

  1. De Luca, Giovanni & Zuccolotto, Paola, 2013. "A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering," MPRA Paper 50129, University Library of Munich, Germany.
  2. Giovanni De Luca & Giampiero Gallo, 2010. "A Time-varying Mixing Multiplicative Error Model for Realized Volatility Abstract: In this paper we model the dynamics of realized volatility as a Multiplicative Error Model with a mixture of distribu," Econometrics Working Papers Archive wp2010_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  3. Giovanni De Luca & Giampiero M. Gallo, 2005. "Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometrics Working Papers Archive wp2005_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".

Articles

  1. Giovanni De Luca & Paola Zuccolotto, 2011. "A tail dependence-based dissimilarity measure for financial time series clustering," Advances in Data Analysis and Classification, Springer, vol. 5(4), pages 323-340, December.
  2. Giovanni Luca & Giampiero Gallo, 2009. "Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 102-120.
  3. Giovanni De Luca & Giorgia Rivieccio, 2009. "Archimedean copulae for risk measurement," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(8), pages 907-924.
  4. De Luca, Giovanni & Zuccolotto, Paola, 2006. "Regime-switching Pareto distributions for ACD models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2179-2191, December.
  5. De Luca Giovanni & Gallo Giampiero M., 2004. "Mixture Processes for Financial Intradaily Durations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-20, May.
  6. Giovanni De Luca & Paola Zuccolotto, 2003. "Finite and infinite mixtures for financial durations," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 431-455.
  7. Bartolucci, F. & De Luca, G., 2003. "Likelihood-based inference for asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 445-449, March.

NEP Fields

3 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (2) 2007-01-28 2010-05-08. Author is listed
  2. NEP-ETS: Econometric Time Series (2) 2007-01-28 2010-05-08. Author is listed
  3. NEP-FOR: Forecasting (1) 2010-05-08. Author is listed
  4. NEP-MST: Market Microstructure (1) 2007-01-28. Author is listed
  5. NEP-ORE: Operations Research (1) 2010-05-08. Author is listed
  6. NEP-RMG: Risk Management (1) 2013-10-02. Author is listed

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