Andrea Bucci
- A smooth transition autoregressive model for matrix-variate time series
2022/12/16 by Andrea Bucci, Bucci, Andrea · 2 citations
Computer Science · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Econometrics (econ.EM) #FOS: Computer and information sciences #FOS: Economics and business #Matrix Theory and Algorithms #Methodology (stat.ME) #Stochastic processes and financial applications
- Market Regime Detection via Realized Covariances: A Comparison between Unsupervised Learning and Nonlinear Models
2021/04/08 by Andrea Bucci, Bucci, Andrea, Vito Ciciretti +1 · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Market Dynamics and Volatility #Financial Risk and Volatility Modeling