Tumminello, Michele
- When do improved covariance matrix estimators enhance portfolio\n optimization? An empirical comparative study of nine estimators
2010/04/24 by Ester Pantaleo, Michele Tumminello, Pantaleo, Ester +5 · 3 citations
Economics, Econometrics and Finance · Social Sciences · #FOS: Economics and business #FOS: Physical sciences #Financial Markets and Investment Strategies #Insurance, Mortality, Demography, Risk Management #Monetary Policy and Economic Impact #Physics and Society (physics.soc-ph) #Portfolio Management (q-fin.PM) #Risk Management (q-fin.RM)
- Pricing sovereign contingent convertible debt
2018/04/04 by Consiglio, Andrea, Tumminello, Michele, Zenios, Stavros A. · 1 citation
#FOS: Economics and business #Pricing of Securities (q-fin.PR)
- Emergence of statistically validated financial intraday lead-lag\n relationships
2014/01/02 by Chester Curme, Michele Tumminello, Curme, Chester +7 · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Network Analysis Techniques #Complex Systems and Time Series Analysis #FOS: Economics and business #Statistical Finance (q-fin.ST)