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syrto-project documents
Economy & Finance
Network Connectivity and Systematic Risk - Monica Billio. December, 15 2014
Documents
Systemic Risk Tomography: Project Overview - Roberto Savona. december, 15 2014
Economy & Finance
Detecting Financial Danger Zones with Machine Learning - Marika Vezzoli. December, 15 2014
Economy & Finance
Measuring the behavioral component of financial fluctuaction. An analysis based on the S&P 500 - Caporin M., Corazzini L., Costola M. - November 8, 2013
Data & Analytics
Communication impacting financial markets - Jørgen Vitting Andersen, Ioannis Vrontos, Petros Dellaportas and Serge Galam. December, 14 2013
Economy & Finance
Measuring the behavioral component of financial fluctuation: an analysis based on the S&P500 - Caporin M., Corazzini L., Costola M. June, 27 2013
Documents
Spillover dynamics for systemic risk measurement using spatial financial time series models - Blasques F., Koopman S.J., Lucas A., Schaumburg J. June, 12 2014
Economy & Finance
Spatial GAS Models for Systemic Risk Measurement - Blasques F., Koopman S.J., Lucas A., Schaumburg J. January, 9 2014
Economy & Finance
Measuring credit risk in a large banking system: econometric modeling and empirics - Andre Lucas, Bernd Schwaab, Xin Zhang. June, 7 2013
Economy & Finance
On the (ab)use of Omega? - Caporin M., Costola M., Jannin G., Maillet B. December 15, 2013
Data & Analytics
A GARCH analysis of dark-pool trades - Philippe de Peretti, Oren J. Tapiero .December, 15 2013
Economy & Finance
Sovereign credit risk, liquidity, and the ecb intervention: deus ex machina? - Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno. June, 5 2014
Documents
Regulation et risque systémique - Monica Billio. April, 7-11 2013
Economy & Finance
Blind Signal Separation & Multivariate Non-Linear Dependency Measures - Peter Addo. December, 15 2014
Economy & Finance
Spillover dynamics for sistemic risk measurement using spatial financial time series models. Julia Schaumburg, Andre Lucas, Siem Jan Koopman, and Francisco Blasques. Toulouse, August
Data & Analytics
Finding number of groups using a penalized internal cluster quality index - Marica Manisera, , Marika Vezzoli. September, 19 2013
Economy & Finance
Bayesian Graphical Models for Structural Vector Autoregressive Processes - D. F. Ahelegbey, M. Billio, R. Casarin. November 21, 2013
Economy & Finance
The microstructure of the european sovereign bond market. Loriana Pellizzon. May, 9 2013
Documents
Score-driven models for forecasting - Blasques F., Koopman S.J., Lucas A.. June, 14 2014
Economy & Finance
Conditional probabilities for euro area sovereign default risk - Andre Lucas, Bernd Schwaab, Xin Zhang. September, 6 2013
Data & Analytics
Model averaging and ensemble methods for risk corporate estimation - Silvia Figini, Marika Vezzoli. September, 18 2013
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