Mathematical and Statistical Methods for Actuarial Sciences and Finance

144 C. Franceschini and N. Loperfido 2 Third moment The third moment of ap-dimensional random vectorzis defined asμ 3 (z) = E ( ...

A skewed GARCH-type model for multivariate financial time series 145 HenceE ( ZiZjZk ) is in theith row and in thejth column of ...

146 C. Franceschini and N. Loperfido whereδiis theith component ofδandφdenotes the pdf of a standard normal distribution. The th ...

A skewed GARCH-type model for multivariate financial time series 147 By assumption the distribution ofztis multivariate skew-nor ...

148 C. Franceschini and N. Loperfido Fig. 1.Scatterplots and histograms for DAX30, IBEX35 and S&PMIB ...

A skewed GARCH-type model for multivariate financial time series 149 We shall measure skewness using the following indices, defi ...

150 C. Franceschini and N. Loperfido structure and their heavy tails make it difficult to understand its sampling properties. On ...

A skewed GARCH-type model for multivariate financial time series 151 Ta b le 2 .Tests statistics Indices Frequency Statistic p-v ...

152 C. Franceschini and N. Loperfido Genton, M.G., He, L., Liu, X.: Moments of skew-normal random vectors and their quadratic f ...

Financial time series and neural networks in a minority game context Luca Grilli, Massimo Alfonso Russo, and Angelo Sfrecola Abs ...

154 L. Grilli, M.A. Russo, and A. Sfrecola more details. Empirical studies also show cluster formations and other anomalies in f ...

Financial time series and neural networks in a minority game context 155 The main point is that we suppose that players make the ...

156 L. Grilli, M.A. Russo, and A. Sfrecola decision and superscript+indicates the updated value of a parameter, the vector of mi ...

Financial time series and neural networks in a minority game context 157 (^94005101520253035404550) 950 960 970 980 990 1000 101 ...

158 L. Grilli, M.A. Russo, and A. Sfrecola in long-term bonds, so the expectations about the market evolution are so similar tha ...

Financial time series and neural networks in a minority game context 159 (^00) 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 100 200 300 ...

160 L. Grilli, M.A. Russo, and A. Sfrecola (^60005101520253035404550) 610 620 630 640 650 660 670 680 M Predictions Total observ ...

Financial time series and neural networks in a minority game context 161 (^57005101520253035404550) 580 590 600 610 620 630 640 ...

162 L. Grilli, M.A. Russo, and A. Sfrecola Hart, M., Jefferies, P., Johnson, N.F., Hui, P.M.: Crowd-anticrowd model of the Mino ...

Robust estimation of style analysis coefficients Michele La Rocca and Domenico Vistocco Abstract.Style analysis, as originally p ...