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Lorenzo Mercuri

Personal Details

First Name:Lorenzo
Middle Name:
Last Name:Mercuri
Suffix:
RePEc Short-ID:pme464
http://www.unimi.it/chiedove/schedaPersonaXML.jsp?matricola=17819

Affiliation

Dipartimento di Economia, Management e Metodi Quantitativi (DEMM)
Università degli Studi di Milano

Milano, Italy
http://www.demm.unimi.it/
RePEc:edi:damilit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Asmerilda Hitaj & Friedrich Hubalek & Lorenzo Mercuri & Edit Rroji, 2016. "Multivariate Mixed Tempered Stable Distribution," Papers 1609.00926, arXiv.org, revised Oct 2016.
  2. Lorenzo Mercuri & Fabio Bellini, 2014. "Option Pricing in a Dynamic Variance-Gamma Model," Papers 1405.7342, arXiv.org.
  3. Edit Rroji & Lorenzo Mercuri, 2014. "Mixed Tempered Stable distribution," Papers 1405.7603, arXiv.org.
  4. Lorenzo Mercuri & Edit Rroji, 2014. "Parametric Risk Parity," Papers 1409.7933, arXiv.org.

Articles

  1. Lorenzo Mercuri & Edit Rroji, 2018. "Option pricing in an exponential MixedTS Lévy process," Annals of Operations Research, Springer, vol. 260(1), pages 353-374, January.
  2. Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.
  3. Iacus, Stefano M. & Mercuri, Lorenzo & Rroji, Edit, 2017. "COGARCH(p, q): Simulation and Inference with the yuima Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 80(i04).
  4. Hitaj, Asmerilda & Mercuri, Lorenzo & Rroji, Edit, 2015. "Portfolio selection with independent component analysis," Finance Research Letters, Elsevier, vol. 15(C), pages 146-159.
  5. Stefano Iacus & Lorenzo Mercuri, 2015. "Implementation of Lévy CARMA model in Yuima package," Computational Statistics, Springer, vol. 30(4), pages 1111-1141, December.
  6. Edit Rroji & Lorenzo Mercuri, 2015. "Mixed tempered stable distribution," Quantitative Finance, Taylor & Francis Journals, vol. 15(9), pages 1559-1569, September.
  7. Fabio Bellini & Lorenzo Mercuri, 2014. "Option pricing in a conditional Bilateral Gamma model," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 373-390, June.
  8. Asmerilda Hitaj & Lorenzo Mercuri, 2013. "Portfolio allocation using multivariate variance gamma models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 65-99, March.
  9. Loregian, Angela & Mercuri, Lorenzo & Rroji, Edit, 2012. "Approximation of the variance gamma model with a finite mixture of normals," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 217-224.
  10. Mercuri Lorenzo, 2011. "Pricing Asian Options In Affine Garch Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(02), pages 313-333.
  11. Mercuri, Lorenzo, 2008. "Option pricing in a Garch model with tempered stable innovations," Finance Research Letters, Elsevier, vol. 5(3), pages 172-182, September.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Asmerilda Hitaj & Friedrich Hubalek & Lorenzo Mercuri & Edit Rroji, 2016. "Multivariate Mixed Tempered Stable Distribution," Papers 1609.00926, arXiv.org, revised Oct 2016.

    Cited by:

    1. Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.

  2. Lorenzo Mercuri & Fabio Bellini, 2014. "Option Pricing in a Dynamic Variance-Gamma Model," Papers 1405.7342, arXiv.org.

    Cited by:

    1. Rombouts, Jeroen V.K. & Stentoft, Lars, 2011. "Multivariate option pricing with time varying volatility and correlations," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2267-2281, September.
    2. Loregian, Angela & Mercuri, Lorenzo & Rroji, Edit, 2012. "Approximation of the variance gamma model with a finite mixture of normals," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 217-224.
    3. Fabio Bellini & Lorenzo Mercuri, 2014. "Option pricing in a conditional Bilateral Gamma model," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 373-390, June.

  3. Edit Rroji & Lorenzo Mercuri, 2014. "Mixed Tempered Stable distribution," Papers 1405.7603, arXiv.org.

    Cited by:

    1. Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.
    2. Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization," Computational Management Science, Springer, vol. 16(1), pages 71-95, February.
    3. Sampaio, Jhames M. & Morettin, Pedro A., 2020. "Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models," Econometrics and Statistics, Elsevier, vol. 15(C), pages 67-83.
    4. Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Lévy CARMA models for shocks in mortality," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 205-227, June.
    5. Hasan Fallahgoul & Gregoire Loeper, 2021. "Modelling tail risk with tempered stable distributions: an overview," Annals of Operations Research, Springer, vol. 299(1), pages 1253-1280, April.
    6. Asmerilda Hitaj & Friedrich Hubalek & Lorenzo Mercuri & Edit Rroji, 2016. "Multivariate Mixed Tempered Stable Distribution," Papers 1609.00926, arXiv.org, revised Oct 2016.
    7. Hitaj, Asmerilda & Mercuri, Lorenzo & Rroji, Edit, 2015. "Portfolio selection with independent component analysis," Finance Research Letters, Elsevier, vol. 15(C), pages 146-159.
    8. Lorenzo Mercuri & Edit Rroji, 2018. "Option pricing in an exponential MixedTS Lévy process," Annals of Operations Research, Springer, vol. 260(1), pages 353-374, January.
    9. Lorenzo Mercuri & Edit Rroji, 2014. "Parametric Risk Parity," Papers 1409.7933, arXiv.org.

Articles

  1. Lorenzo Mercuri & Edit Rroji, 2018. "Option pricing in an exponential MixedTS Lévy process," Annals of Operations Research, Springer, vol. 260(1), pages 353-374, January.

    Cited by:

    1. Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
    2. Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization," Computational Management Science, Springer, vol. 16(1), pages 71-95, February.
    3. Asmerilda Hitaj & Friedrich Hubalek & Lorenzo Mercuri & Edit Rroji, 2016. "Multivariate Mixed Tempered Stable Distribution," Papers 1609.00926, arXiv.org, revised Oct 2016.

  2. Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.

    Cited by:

    1. Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization," Computational Management Science, Springer, vol. 16(1), pages 71-95, February.
    2. Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.

  3. Iacus, Stefano M. & Mercuri, Lorenzo & Rroji, Edit, 2017. "COGARCH(p, q): Simulation and Inference with the yuima Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 80(i04).

    Cited by:

    1. Lorenzo Mercuri & Andrea Perchiazzo & Edit Rroji, 2020. "Finite Mixture Approximation of CARMA(p,q) Models," Papers 2005.10130, arXiv.org, revised May 2020.
    2. Mohammadi, M. & Rezakhah, S. & Modarresi, N., 2020. "Semi-Lévy driven continuous-time GARCH process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    3. Francesco Bianchi & Lorenzo Mercuri & Edit Rroji, 2022. "Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 57-85, March.

  4. Hitaj, Asmerilda & Mercuri, Lorenzo & Rroji, Edit, 2015. "Portfolio selection with independent component analysis," Finance Research Letters, Elsevier, vol. 15(C), pages 146-159.

    Cited by:

    1. Shu, Lei & Lu, Feiyang & Chen, Yu, 2023. "Robust forecasting with scaled independent component analysis," Finance Research Letters, Elsevier, vol. 51(C).
    2. Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization," Computational Management Science, Springer, vol. 16(1), pages 71-95, February.
    3. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," LIDAM Reprints LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
    4. Lassance, Nathan & Vrins, Frédéric, 2019. "Robust portfolio selection using sparse estimation of comoment tensors," LIDAM Discussion Papers LFIN 2019007, Université catholique de Louvain, Louvain Finance (LFIN).
    5. Francesco Bianchi & Lorenzo Mercuri & Edit Rroji, 2022. "Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 57-85, March.
    6. Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.
    7. Asmerilda Hitaj & Friedrich Hubalek & Lorenzo Mercuri & Edit Rroji, 2016. "Multivariate Mixed Tempered Stable Distribution," Papers 1609.00926, arXiv.org, revised Oct 2016.
    8. Fan, Liwei & Pan, Sijia & Li, Zimin & Li, Huiping, 2016. "An ICA-based support vector regression scheme for forecasting crude oil prices," Technological Forecasting and Social Change, Elsevier, vol. 112(C), pages 245-253.

  5. Stefano Iacus & Lorenzo Mercuri, 2015. "Implementation of Lévy CARMA model in Yuima package," Computational Statistics, Springer, vol. 30(4), pages 1111-1141, December.

    Cited by:

    1. Iacus, Stefano M. & Mercuri, Lorenzo & Rroji, Edit, 2017. "COGARCH(p, q): Simulation and Inference with the yuima Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 80(i04).
    2. Lorenzo Mercuri & Andrea Perchiazzo & Edit Rroji, 2020. "Finite Mixture Approximation of CARMA(p,q) Models," Papers 2005.10130, arXiv.org, revised May 2020.
    3. Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Lévy CARMA models for shocks in mortality," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 205-227, June.
    4. Peter J. Brockwell & Alexander Lindner, 2021. "Aspects of non‐causal and non‐invertible CARMA processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(5-6), pages 777-790, September.
    5. Francesco Bianchi & Lorenzo Mercuri & Edit Rroji, 2022. "Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 57-85, March.

  6. Edit Rroji & Lorenzo Mercuri, 2015. "Mixed tempered stable distribution," Quantitative Finance, Taylor & Francis Journals, vol. 15(9), pages 1559-1569, September.
    See citations under working paper version above.
  7. Fabio Bellini & Lorenzo Mercuri, 2014. "Option pricing in a conditional Bilateral Gamma model," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 373-390, June.

    Cited by:

    1. Haibin Xie & Xinyu Wu & Pengying Fan, 2021. "Accelerating FHS Option Pricing Under Linear GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 395-411, August.
    2. Kazi Wahadul Hasan & Maliha Binte Hanif, 2022. "A pricing model for real-estate business in Bangladesh incorporating the uncertainty in buyer’s readiness: considerations during COVID-19 pandemic," SN Business & Economics, Springer, vol. 2(10), pages 1-16, October.
    3. Xie, Haibin & Wang, Shouyang & Lu, Zudi, 2018. "The behavioral implications of the bilateral gamma process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 259-264.
    4. Luiz Vitiello & Ivonia Rebelo, 2015. "A note on the pricing of multivariate contingent claims under a transformed-gamma distribution," Review of Derivatives Research, Springer, vol. 18(3), pages 291-300, October.

  8. Asmerilda Hitaj & Lorenzo Mercuri, 2013. "Portfolio allocation using multivariate variance gamma models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 65-99, March.

    Cited by:

    1. Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.
    2. Yuan Hu & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation," Papers 1908.05419, arXiv.org.
    3. Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization," Computational Management Science, Springer, vol. 16(1), pages 71-95, February.
    4. Hitaj, Asmerilda & Zambruno, Giovanni, 2016. "Are Smart Beta strategies suitable for hedge fund portfolios?," Review of Financial Economics, Elsevier, vol. 29(C), pages 37-51.
    5. Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.
    6. Asmerilda Hitaj & Friedrich Hubalek & Lorenzo Mercuri & Edit Rroji, 2016. "Multivariate Mixed Tempered Stable Distribution," Papers 1609.00926, arXiv.org, revised Oct 2016.
    7. Hitaj, Asmerilda & Mercuri, Lorenzo & Rroji, Edit, 2015. "Portfolio selection with independent component analysis," Finance Research Letters, Elsevier, vol. 15(C), pages 146-159.
    8. Lorenzo Mercuri & Edit Rroji, 2014. "Parametric Risk Parity," Papers 1409.7933, arXiv.org.

  9. Loregian, Angela & Mercuri, Lorenzo & Rroji, Edit, 2012. "Approximation of the variance gamma model with a finite mixture of normals," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 217-224.

    Cited by:

    1. Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.
    2. Iacus, Stefano M. & Mercuri, Lorenzo & Rroji, Edit, 2017. "COGARCH(p, q): Simulation and Inference with the yuima Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 80(i04).
    3. Lorenzo Mercuri & Andrea Perchiazzo & Edit Rroji, 2020. "Finite Mixture Approximation of CARMA(p,q) Models," Papers 2005.10130, arXiv.org, revised May 2020.
    4. Stefano Iacus & Lorenzo Mercuri, 2015. "Implementation of Lévy CARMA model in Yuima package," Computational Statistics, Springer, vol. 30(4), pages 1111-1141, December.
    5. Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Lévy CARMA models for shocks in mortality," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 205-227, June.
    6. Asmerilda Hitaj & Lorenzo Mercuri, 2013. "Portfolio allocation using multivariate variance gamma models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 65-99, March.
    7. Edit Rroji & Lorenzo Mercuri, 2014. "Mixed Tempered Stable distribution," Papers 1405.7603, arXiv.org.
    8. Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.
    9. Hiroki Masuda & Lorenzo Mercuri & Yuma Uehara, 2024. "Student t-L\'evy regression model in YUIMA," Papers 2403.12078, arXiv.org.
    10. Hitaj, Asmerilda & Mercuri, Lorenzo & Rroji, Edit, 2015. "Portfolio selection with independent component analysis," Finance Research Letters, Elsevier, vol. 15(C), pages 146-159.
    11. Lorenzo Mercuri & Edit Rroji, 2014. "Parametric Risk Parity," Papers 1409.7933, arXiv.org.

  10. Mercuri Lorenzo, 2011. "Pricing Asian Options In Affine Garch Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(02), pages 313-333.

    Cited by:

    1. Corsaro, Stefania & Kyriakou, Ioannis & Marazzina, Daniele & Marino, Zelda, 2019. "A general framework for pricing Asian options under stochastic volatility on parallel architectures," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1082-1095.

  11. Mercuri, Lorenzo, 2008. "Option pricing in a Garch model with tempered stable innovations," Finance Research Letters, Elsevier, vol. 5(3), pages 172-182, September.

    Cited by:

    1. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010. "Martingalized Historical approach for Option Pricing," PSE-Ecole d'économie de Paris (Postprint) halshs-00437927, HAL.
    2. Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.
    3. Küchler, Uwe & Tappe, Stefan, 2013. "Tempered stable distributions and processes," Stochastic Processes and their Applications, Elsevier, vol. 123(12), pages 4256-4293.
    4. Chorro, C. & Guégan, D. & Ielpo, F., 2010. "Martingalized historical approach for option pricing," Finance Research Letters, Elsevier, vol. 7(1), pages 24-28, March.
    5. Liang Wang & Weixuan Xia, 2022. "Power‐type derivatives for rough volatility with jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1369-1406, July.
    6. Uwe Kuchler & Stefan Tappe, 2019. "Tempered stable distributions and processes," Papers 1907.05141, arXiv.org.
    7. Fengler, Matthias & Melnikov, Alexander, 2017. "GARCH option pricing models with Meixner innovations," Economics Working Paper Series 1702, University of St. Gallen, School of Economics and Political Science.
    8. Edoardo Berton & Lorenzo Mercuri, 2021. "An Efficient Unified Approach for Spread Option Pricing in a Copula Market Model," Papers 2112.11968, arXiv.org, revised Feb 2023.
    9. Shin Kim, Young & Rachev, Svetlozar T. & Leonardo Bianchi, Michele & Fabozzi, Frank J., 2010. "Tempered stable and tempered infinitely divisible GARCH models," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2096-2109, September.
    10. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010. "Martingalized Historical approach for Option Pricing," Post-Print halshs-00437927, HAL.
    11. Sharif Mozumder & Bakhtear Talukdar & M. Humayun Kabir & Bingxin Li, 2024. "Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing," Review of Quantitative Finance and Accounting, Springer, vol. 62(1), pages 97-133, January.
    12. Küchler, Uwe & Tappe, Stefan, 2014. "Exponential stock models driven by tempered stable processes," Journal of Econometrics, Elsevier, vol. 181(1), pages 53-63.
    13. Uwe Kuchler & Stefan Tappe, 2019. "Exponential stock models driven by tempered stable processes," Papers 1907.05142, arXiv.org.
    14. Lorenzo Mercuri & Fabio Bellini, 2014. "Option Pricing in a Dynamic Variance-Gamma Model," Papers 1405.7342, arXiv.org.
    15. Fabio Bellini & Lorenzo Mercuri, 2014. "Option pricing in a conditional Bilateral Gamma model," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 373-390, June.
    16. Chih-Chung Yang & Yungho Leu & Chien-Pang Lee, 2014. "A Dynamic Weighted Distancedbased Fuzzy Time Series Neural Network with Bootstrap Model for Option Price Forecasting," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 115-129, June.
    17. Lorenzo Mercuri & Edit Rroji, 2014. "Parametric Risk Parity," Papers 1409.7933, arXiv.org.

More information

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Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (2) 2014-06-02 2016-09-11
  2. NEP-RMG: Risk Management (1) 2014-10-13

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