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Runs tests for assessing volatility forecastability in financial time series

Bellini, Fabio; Figa-Talamanca, Gianna - In: European Journal of Operational Research 163 (2005) 1, pp. 102-114

Persistent link: https://www.econbiz.de/10005337714

Stationarity domains for [delta]-power Garch process with heavy tails

Bellini, Fabio; Bottolo, Leonardo - In: Statistics & Probability Letters 77 (2007) 13, pp. 1418-1427

We show that the characterization of the strict stationarity domain for a [delta]-power stable Garch model obtained in Mittnik et al. [2002. Stationarity of stable power-GARCH processes. J. Econometrics 106, 97-107] can be extended to general innovations, regardless of the existence of their...

Persistent link: https://www.econbiz.de/10005223669

On the Existence of Minimax Martingale Measures

BELLINI, FABIO; FRITTELLI, MARCO - In: Mathematical Finance 12 (2002) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10005193378

On Haezendonck risk measures

Bellini, Fabio; Rosazza Gianin, Emanuela - In: Journal of Banking & Finance 32 (2008) 6, pp. 986-994

We study the Haezendonck risk measure (introduced by [Haezendonck, J., Goovaerts, M., 1982. A new premium calculation principle based on Orlicz norms. Insurance: Mathematics and Economics 1, 41-53] and by [Goovaerts, M.J., Kaas, R., Dhaene, J., Tang, Q., 2003. A unified approach to generate risk...

Persistent link: https://www.econbiz.de/10005194748

Risk measures with the CxLS property

Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; … - In: Finance and stochastics 20 (2016) 2, pp. 433-453

Persistent link: https://www.econbiz.de/10011471250

Robust return risk measures

Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, … - In: Mathematics and financial economics 12 (2018) 1, pp. 5-32

Persistent link: https://www.econbiz.de/10011963258

Conditional expectiles, time consistency and mixture convexity properties

Bellini, Fabio; Bignozzi, Valeria; Puccetti, Giovanni - In: Insurance / Mathematics & economics 82 (2018), pp. 117-123

Persistent link: https://www.econbiz.de/10011929844

Independent component analysis and immunization : an exploratory study

Bellini, Fabio; Salinelli, Ernesto - In: International journal of theoretical and applied finance 6 (2003) 7, pp. 721-738

Persistent link: https://www.econbiz.de/10001820880

On the existence of minimax martingale measures

Bellini, Fabio; Frittelli, Marco - In: Mathematical finance : an international journal of … 12 (2002) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10001686149

Haezendonck-Goovaerts risk measures and Orlicz quantiles

Bellini, Fabio; Rosazza Gianin, Emanuela - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 107-114

Persistent link: https://www.econbiz.de/10009558264