| Approximation of the variance gamma model with a finite mixture of normals A Loregian, L Mercuri, E Rroji Statistics & Probability Letters 82 (2), 217-224, 2012 | 38 | 2012 |
| Portfolio selection with independent component analysis A Hitaj, L Mercuri, E Rroji Finance Research Letters 15, 146-159, 2015 | 19 | 2015 |
| Implicit expectiles and measures of implied volatility F Bellini, L Mercuri, E Rroji Quantitative Finance 18 (11), 1851-1864, 2018 | 15 | 2018 |
| COGARCH (p, q): simulation and inference with Yuima package SM Iacus, L Mercuri, E Rroji Journal of Statistical Software 80, 1-49, 2017 | 15 | 2017 |
| Mixed tempered stable distribution E Rroji, L Mercuri Quantitative Finance 15 (9), 1559-1569, 2015 | 15 | 2015 |
| The determinants of lapse rates in the Italian life insurance market E Barucci, T Colozza, D Marazzina, E Rroji European Actuarial Journal 10, 149-178, 2020 | 11 | 2020 |
| On the dependence structure between S&P500, VIX and implicit Interexpectile Differences F Bellini, L Mercuri, E Rroji Quantitative Finance 20 (11), 1839-1848, 2020 | 7 | 2020 |
| Option pricing in an exponential MixedTS Lévy process L Mercuri, E Rroji Annals of Operations Research 260, 353-374, 2018 | 7 | 2018 |
| Risk attribution and semi-heavy tailed distributions E Rroji Università degli Studi di Milano-Bicocca, 2013 | 7 | 2013 |
| Finite mixture approximation of CARMA (p, q) models L Mercuri, A Perchiazzo, E Rroji SIAM Journal on Financial Mathematics 12 (4), 1416-1458, 2021 | 6 | 2021 |
| Lévy CARMA models for shocks in mortality A Hitaj, L Mercuri, E Rroji Decisions in Economics and Finance 42, 205-227, 2019 | 6 | 2019 |
| Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation SM Iacus, L Mercuri, E Rroji Journal of Time Series Analysis 39 (5), 787-809, 2018 | 6 | 2018 |
| A machine learning algorithm for stock picking built on information based outliers E Barucci, M Bonollo, F Poli, E Rroji Expert Systems with Applications 184, 115497, 2021 | 5 | 2021 |
| Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization A Hitaj, L Mercuri, E Rroji Computational Management Science 16, 71-95, 2019 | 4 | 2019 |
| On properties of the MixedTS distribution and its multivariate extension A Hitaj, F Hubalek, L Mercuri, E Rroji International Statistical Review 86 (3), 512-540, 2018 | 4 | 2018 |
| Risk parity for Mixed Tempered Stable distributed sources of risk L Mercuri, E Rroji Annals of Operations Research 260, 375-393, 2018 | 4 | 2018 |
| Estimation and Simulation of a COGARCH (p, q) model in the YUIMA project SM Iacus, L Mercuri, E Rroji arXiv preprint arXiv:1505.03914, 2015 | 4 | 2015 |
| Implicit quantiles and expectiles F Bellini, E Rroji, C Sala Annals of Operations Research, 1-21, 2022 | 3 | 2022 |
| Multivariate mixed tempered stable distribution A Hitaj, F Hubalek, L Mercuri, E Rroji arXiv preprint arXiv:1609.00926, 2016 | 3 | 2016 |
| A Hawkes model with CARMA (p, q) intensity L Mercuri, A Perchiazzo, E Rroji Insurance: Mathematics and Economics 116, 1-26, 2024 | 2 | 2024 |
Lorenzo MercuriUniversity of Milan在 unimi.it 的电子邮件经过验证
