Giovanni De Luca : Citation Profile


Are you Giovanni De Luca?

Università degli Studi di Napoli - "Parthenope"

6

H index

5

i10 index

84

Citations

RESEARCH PRODUCTION:

9

Articles

4

Papers

RESEARCH ACTIVITY:

   12 years (2003 - 2015). See details.
   Cites by year: 7
   Journals where Giovanni De Luca has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 5 (5.62 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pde357
   Updated: 2020-01-15    RAS profile: 2016-03-29    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Giovanni De Luca.

Is cited by:

Hautsch, Nikolaus (10)

Gallo, Giampiero (7)

Otranto, Edoardo (6)

Bauwens, Luc (6)

Malec, Peter (4)

Schienle, Melanie (4)

Wirjanto, Tony (3)

Loperfido, Nicola (3)

Bartolucci, Francesco (3)

Sosvilla-Rivero, Simon (3)

Durante, Fabrizio (3)

Cites to:

Engle, Robert (13)

Gallo, Giampiero (8)

Diebold, Francis (4)

Bauwens, Luc (3)

Bollerslev, Tim (3)

Harvey, David (3)

Clements, Michael (2)

Peña, Daniel (2)

Ghysels, Eric (2)

Jagannathan, Ravi (2)

Goldfajn, Ilan (2)

Main data


Where Giovanni De Luca has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"3

Recent works citing Giovanni De Luca (2018 and 2017)


YearTitle of citing document
2017A double clustering algorithm for financial time series based on extreme events. (2017). Luca, DE ; Paola, Zuccolotto . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:34:y:2017:i:1-2:p:1-12:n:2.

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2017On log-symmetric duration models applied to high frequency financial data. (2017). Saulo, Helton ; Leo, Jeremias . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00030.

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2019Modelling bimodality of length of tourist stay. (2019). Perez-Rodriguez, J V ; Gomez-Deniz, E. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:131-151.

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2019Asymptotic properties of the maximum likelihood estimator in regime switching econometric models. (2019). Kasahara, Hiroyuki ; Shimotsu, Katsumi. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:442-467.

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2018Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18.

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2017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_02.

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2017Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:16-:d:95642.

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2019Threshold Stochastic Conditional Duration Model for Financial Transaction Data. (2019). Wirjanto, Tony S ; Kolkiewicz, Adam W ; Men, Zhongxian. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:88-:d:230954.

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2018A Maximal Tail Dependence-Based Clustering Procedure for Financial Time Series and Its Applications in Portfolio Selection. (2018). Liu, Xin ; Jiang, Wenjun ; Yang, Chen ; Wu, Jiang. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:115-:d:174402.

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2017Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions. (2017). Parolya, Nestor ; Mazur, Stepan ; Bodnar, Taras. In: Working Papers. RePEc:hhs:oruesi:2017_005.

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2019“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”. (2019). Sosvilla-Rivero, Simon ; Gomez-Deniza, Emilio ; Perez-Rodriguez, Jorge. In: IREA Working Papers. RePEc:ira:wpaper:201907.

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2017Adaptive Quadrature for Maximum Likelihood Estimation of a Class of Dynamic Latent Variable Models. (2017). Bartolucci, Francesco ; Cagnone, Silvia . In: Computational Economics. RePEc:kap:compec:v:49:y:2017:i:4:d:10.1007_s10614-016-9573-4.

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2018Clustering of financial instruments using jump tail dependence coefficient. (2018). Yang, Chen ; Li, Zhichuan ; Liu, Xin ; Wu, Jiang ; Jiang, Wenjun. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:27:y:2018:i:3:d:10.1007_s10260-017-0411-1.

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2017Dynamic tail dependence clustering of financial time series. (2017). de Luca, Giovanni ; Zuccolotto, Paola . In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:3:d:10.1007_s00362-015-0718-7.

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2017Nonparametric predictive inference for stock returns. (2017). Baker, Rebecca M ; Coolen-Maturi, Tahani. In: Journal of Applied Statistics. RePEc:taf:japsta:v:44:y:2017:i:8:p:1333-1349.

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2017Maximum likelihood estimation for stochastic volatility in mean models with heavy‐tailed distributions. (2017). Cardoso, Michel V ; Chen, Minghui ; Langrock, Roland ; Abantovalle, Carlos A. In: Applied Stochastic Models in Business and Industry. RePEc:wly:apsmbi:v:33:y:2017:i:4:p:394-408.

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Works by Giovanni De Luca:


YearTitleTypeCited
2004Mixture Processes for Financial Intradaily Durations In: Studies in Nonlinear Dynamics & Econometrics.
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article19
2003Likelihood-based inference for asymmetric stochastic volatility models In: Computational Statistics & Data Analysis.
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article10
2006Regime-switching Pareto distributions for ACD models In: Computational Statistics & Data Analysis.
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article13
2005Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models In: Econometrics Working Papers Archive.
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paper13
2006Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models.(2006) In: Econometrics Working Papers Archive.
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This paper has another version. Agregated cites: 13
paper
2009Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models.(2009) In: Econometric Reviews.
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This paper has another version. Agregated cites: 13
article
2010A Time-varying Mixing Multiplicative Error Model for Realized Volatility In: Econometrics Working Papers Archive.
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paper1
2003Finite and infinite mixtures for financial durations In: Metron - International Journal of Statistics.
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article6
2013A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering In: MPRA Paper.
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paper1
2011A tail dependence-based dissimilarity measure for financial time series clustering In: Advances in Data Analysis and Classification.
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article10
2014Predicting U.S. recessions through a combination of probability forecasts In: Empirical Economics.
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article2
2015Modelling multivariate skewness in financial returns: a SGARCH approach In: The European Journal of Finance.
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article6
2009Archimedean copulae for risk measurement In: Journal of Applied Statistics.
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article3

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