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Michele Leonardo Bianchi
Michele Leonardo Bianchi
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Title
Cited by
Cited by
Year
Financial models with Lévy processes and volatility clustering
ST Rachev, YS Kim, ML Bianchi, FJ Fabozzi
John Wiley & Sons, 2011
2282011
Financial market models with Lévy processes and time-varying volatility
YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi
Journal of Banking & Finance 32 (7), 1363-1378, 2008
1452008
Time series analysis for financial market meltdowns
YS Kim, ST Rachev, ML Bianchi, I Mitov, FJ Fabozzi
Journal of Banking & Finance 35 (8), 1879-1891, 2011
1262011
Tempered stable and tempered infinitely divisible GARCH models
YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi
Journal of Banking & Finance 34 (9), 2096-2109, 2010
1192010
The modified tempered stable distribution, GARCH-models and option pricing
YS Kim, ST Rachev, DM Chung, ML Bianchi
Probability and Mathematical statistics 29 (1), 91-117, 2009
1142009
Computing VaR and AVaR in infinitely divisible distributions
YS Kim, S Rachev, ML Bianchi, FJ Fabozzi
Probability and Mathematical Statistics 30 (2), 223-245, 2010
952010
Tempered infinitely divisible distributions and processes
M Bianchi, ST Rachev, YS Kim, FJ Fabozzi
Теория вероятностей и ее применения 55 (1), 59-86, 2010
762010
Tempered stable distributions and processes in finance: numerical analysis
ML Bianchi, ST Rachev, YS Kim, FJ Fabozzi
Mathematical and statistical methods for actuarial sciences and finance, 33-42, 2010
592010
A new tempered stable distribution and its application to finance
YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi
Risk Assessment: Decisions in Banking and Finance, 77-109, 2009
572009
Tempered stable Ornstein–Uhlenbeck processes: A practical view
ML Bianchi, ST Rachev, FJ Fabozzi
Communications in Statistics-Simulation and Computation 46 (1), 423-445, 2017
292017
Multi‐tail generalized elliptical distributions for asset returns
S Kring, ST Rachev, M Höchstötter, FJ Fabozzi, ML Bianchi
The Econometrics Journal 12 (2), 272-291, 2009
292009
The performance of the Italian housing market and its effects on the financial system
Banca d'Italia, 2009
27*2009
Handbook of heavy-tailed distributions in asset management and risk management
ML Bianchi, SV Stoyanov, GL Tassinari, FJ Fabozzi, SM Focardi
World Scientific, 2019
222019
Riding with the four horsemen and the multivariate normal tempered stable model
ML BIANCHI, GL TASSINARI, FJ FABOZZI
International Journal of Theoretical and Applied Finance 19 (4), 2016
222016
A modified tempered stable distribution with volatility clustering
YS Kim, ST Rachev, DM Chung, ML Bianchi
New Developments in Financial Modelling 344, 344-365, 2008
222008
Forward-looking portfolio selection with multivariate non-Gaussian models
ML Bianchi, GL Tassinari
Quantitative Finance 20 (10), 1645-1661, 2020
19*2020
Non-Gaussian models for CoVaR estimation
ML Bianchi, G De Luca, G Rivieccio
International Journal of Forecasting 39 (1), 391-404, 2023
182023
Investigating the performance of non-Gaussian stochastic intensity models in the calibration of credit default swap spreads
ML Bianchi, FJ Fabozzi
Computational Economics 46, 243-273, 2015
18*2015
Calibrating The Smile With Multivariate Time-Changed Brownian Motion And The Esscher Transform
GL Tassinari, ML Bianchi
International Journal of Theoretical and Applied Finance 17 (4), 2014
182014
Measuring CoVaR: An Empirical Comparison
ML Bianchi, AM Sorrentino
Computational Economics 55, 511-528, 2020
132020
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