A Generalized Error Distribution Copula-based method for portfolios risk assessment

Journal article

Cerqueti, R., Giacalone, M. and Panarello, D. (2019). A Generalized Error Distribution Copula-based method for portfolios risk assessment. Physica A: Statistical Mechanics and its Applications. 524, pp. 687-695. https://doi.org/10.1016/j.physa.2019.04.077
AuthorsCerqueti, R., Giacalone, M. and Panarello, D.
Abstract

In this paper, we deal with the evaluation of Conditional Value-at-Risk in the framework of portfolio theory by using a modified Gaussian Copula – where the modification is obtained by introducing the Generalized Correlation Coefficient – and by assuming a Generalized Error Distribution with properly estimated shape parameter for the returns of the considered risky assets. In so doing, we add to the connection between standard Copula theory and financial risk assessment. A comparison analysis of our findings with those obtainable through a standard Gaussian Copula-based procedure in a set of real data is also presented.

Year2019
JournalPhysica A: Statistical Mechanics and its Applications
Journal citation524, pp. 687-695
PublisherElsevier BV
ISSN0378-4371
Digital Object Identifier (DOI)https://doi.org/10.1016/j.physa.2019.04.077
Web address (URL)https://www.sciencedirect.com/science/article/pii/S0378437119304327?via%3Dihub
Publication dates
PrintJun 2019
Online02 May 2019
Publication process dates
Accepted17 Jan 2019
Deposited19 Feb 2020
Accepted author manuscript
License
File Access Level
Open
Permalink -

https://openresearch.lsbu.ac.uk/item/8906y

Download files

Accepted author manuscript
CGP_Rev1_17012019.pdf
License: CC BY-NC-ND 4.0
File access level: Open

  • 126
    total views
  • 187
    total downloads
  • 0
    views this month
  • 1
    downloads this month

Export as

Related outputs

Investors attention and network spillover for commodity market forecasting
Cerqueti, R., Ficcadenti, V. and Mattera, R. (2024). Investors attention and network spillover for commodity market forecasting. Socio-Economic Planning Sciences. 95, p. 102023. https://doi.org/10.1016/j.seps.2024.102023
Portfolio decision analysis for pandemic sentiment assessment based on finance and web queries
Cerqueti, R., Cesarone, F. and Ficcadenti, V. (2024). Portfolio decision analysis for pandemic sentiment assessment based on finance and web queries. Annals of Operations Research. https://doi.org/10.1007/s10479-024-05966-x
Economic keywords in political communications and financial markets
Ficcadenti, V. and Cerqueti, R. (2024). Economic keywords in political communications and financial markets. Annals of Operations Research. https://doi.org/10.1007/s10479-024-05905-w
Anxiety about the pandemic and trust in financial markets
Cerqueti, R. and Ficcadenti, V. (2023). Anxiety about the pandemic and trust in financial markets. The Annals of Regional Science. https://doi.org/10.1007/s00168-023-01243-0
Clustering networked funded European research activities through rank-size laws
Cerqueti, R., Iovanella, A. and Mattera, R. (2023). Clustering networked funded European research activities through rank-size laws. Annals of Operations Research. https://doi.org/10.1007/s10479-023-05321-6
Green finance instruments: Exploring minibonds issuance in I taly
Cerqueti, R., Deffains‐Crapsky, C. and Storani, S. (2023). Green finance instruments: Exploring minibonds issuance in I taly. Corporate Social Responsibility and Environmental Management. https://doi.org/10.1002/csr.2467
Multiway clustering with time-varying parameters.
Cerqueti, R., Mattera, R. and Scepi, G. (2022). Multiway clustering with time-varying parameters. Computational statistics. https://doi.org/10.1007/s00180-022-01294-5
A new family of modified Gaussian copulas for market consistent valuation of government guarantees
Cerqueti, R., Cesarone, F., Heusch. M.C. and Mottura, C.D. (2022). A new family of modified Gaussian copulas for market consistent valuation of government guarantees. Review of Managerial Science. https://doi.org/10.1007/s11846-022-00600-1
Similarity-based heterogeneity and cohesiveness of networked companies issuing minibonds
Cerqueti, R., Deffains-Crapsky, C. and Storani, S. (2022). Similarity-based heterogeneity and cohesiveness of networked companies issuing minibonds. Chaos, Solitons & Fractals. 164, p. 112654. https://doi.org/10.1016/j.chaos.2022.112654
Markov Chain Monte Carlo for generating ranked textual data
Ficcadenti, V., Cerqueti, R., Dhesi, G. and Ausloos, M. (2022). Markov Chain Monte Carlo for generating ranked textual data. Information Sciences. 610, pp. 425-439. https://doi.org/10.1016/j.ins.2022.07.137
The complex interplay between COVID-19 and economic activity
Cerqueti, R., Tramontana, F. and Ventura, M. (2022). The complex interplay between COVID-19 and economic activity. Mathematical social sciences. 119, pp. 97-107. https://doi.org/10.1016/j.mathsocsci.2022.07.003
Monte Carlo Markov chains constrained on graphs for a target with disconnected support
Cerqueti, R. and De Santis, E. (2022). Monte Carlo Markov chains constrained on graphs for a target with disconnected support. Electronic Journal of Statistics. 16 (2), pp. 4379-4397. https://doi.org/10.1214/22-EJS2043
The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets
Cerqueti, R. and Rotundo, G. (2022). The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets. Journal of Economic Interaction and Coordination. https://doi.org/10.1007/s11403-022-00364-7
Correction to: Financial interbanking networks resilience under shocks propagation
Cerqueti, R., Cinelli, M., Ferraro, G. and Iovanella, A. (2022). Correction to: Financial interbanking networks resilience under shocks propagation. Annals of Operations Research. https://doi.org/10.1007/s10479-022-04585-8
Mitigating Contagion Risk by ESG Investing
Cerqueti, R., Ciciretti, R., Dalò, A. and Nicolosi, M. (2022). Mitigating Contagion Risk by ESG Investing. Sustainability. 14 (7), p. e3805. https://doi.org/10.3390/su14073805
Statistical methods for decision support systems in finance: How Benford's law predicts financial risk
Cerqueti, R., Maggi, M. and Riccioni, J. (2022). Statistical methods for decision support systems in finance: How Benford's law predicts financial risk. Annals of Operations Research. https://doi.org/10.1007/s10479-022-04742-z
Combining rank-size and k-means for clustering countries over the COVID-19 new deaths per million.
Cerqueti, R. and Ficcadenti, V. (2022). Combining rank-size and k-means for clustering countries over the COVID-19 new deaths per million. Chaos, Solitons and Fractals. 158, p. 111975. https://doi.org/10.1016/j.chaos.2022.111975
A rank-size approach to analyse soccer competitions and teams: the case of the Italian football league “Serie A"
Ficcadenti, V., Cerqueti, R. and Hosseini Varde'i, C. (2022). A rank-size approach to analyse soccer competitions and teams: the case of the Italian football league “Serie A". Annals of Operations Research. https://doi.org/10.1007/s10479-022-04609-3
A note on the role of social impact investments in minimum variance portfolios
Cerqueti, R., Biasin, M., Giacomini, E., Marinelli, N., Quaranta, A.G. and Riccetti, L. (2022). A note on the role of social impact investments in minimum variance portfolios. Highlights of Sustainability. 1, pp. 5-11. https://doi.org/10.54175/hsustain1010002
Financial interbanking networks resilience under shocks propagation
Cerqueti, R., Cinelli, M., Ferraro, G. and Iovanella, A. (2022). Financial interbanking networks resilience under shocks propagation. Annals of Operations Research. https://doi.org/10.1007/s10479-022-04567-w
A new measure of the resilience for networks of funds with applications to socially responsible investments
Cerqueti, R., Ciciretti, Rocco, Dalò, A. and Nicolosi, Marco (2022). A new measure of the resilience for networks of funds with applications to socially responsible investments. Physica A: Statistical Mechanics and its Applications. 593, p. 126976. https://doi.org/10.1016/j.physa.2022.126976
Dangerous liasons and hot customers for banks
Cerqueti, R., Quaranta, A.G. and Pampurini, F. (2022). Dangerous liasons and hot customers for banks. Review of Quantitative Finance and Accounting. https://doi.org/10.1007/s11156-022-01039-x
Clusters of social impact firms: A complex network approach
Cerqueti, R., Biasin, M., Giacomini, E., Marinelli, N., Quaranta, A.G. and Riccetti, L. (2022). Clusters of social impact firms: A complex network approach. Global Finance Journal. 52, p. 100697. https://doi.org/10.1016/j.gfj.2021.100697
Weighted score-driven fuzzy clustering of time series with a financial application
Cerqueti, R., D’Urso, P., De Giovanni, L., Giacalone, M. and Mattera, R. (2022). Weighted score-driven fuzzy clustering of time series with a financial application. Expert Systems with Applications. 198, p. 116752. https://doi.org/10.1016/j.eswa.2022.116752
Model-based fuzzy time series clustering of conditional higher moments
Cerqueti, R., Giacalone, M. and Mattera, R. (2021). Model-based fuzzy time series clustering of conditional higher moments. International Journal of Approximate Reasoning. 134, pp. 34-52. https://doi.org/10.1016/j.ijar.2021.03.011
Testing for localization with entropy-based measures
Cerqueti, R. and Cutrini, E. (2021). Testing for localization with entropy-based measures. Social Indicators Research. https://doi.org/10.1007/s11205-021-02820-6
Segregation with social linkages: Evaluating Schelling’s model with networked individuals
Cerqueti, R., De Benedictis, L. and Leone Sciabolazza, V. (2021). Segregation with social linkages: Evaluating Schelling’s model with networked individuals. Metroeconomica. https://doi.org/10.1111/meca.12367
Some New Tests of Conformity with Benford's Laws
Cerqueti, R. and Lupi, C. (2021). Some New Tests of Conformity with Benford's Laws. Stats. 4, p. 745–761. https://doi.org/10.3390/stats4030044
Rank–size distributions for banks: A cross-country analysis
Cerqueti, R., Lupi, C, Pietrovito, F and Pozzolo, A.F. (2021). Rank–size distributions for banks: A cross-country analysis. Physica A: Statistical Mechanics and its Applications. 585 (126336). https://doi.org/10.1016/j.physa.2021.126336
A framework for modelling economic regional location processes under uncertainty
Cerqueti, R. and Cutrini, E. (2021). A framework for modelling economic regional location processes under uncertainty. Journal of Quantitative Economics. https://doi.org/10.1007/s40953-021-00248-w
Influence of blockchain adoption on technology transfer, performance and supply chain integration, exibility and responsiveness. A case study from IT&C medium size enterprises
Ceptureanu, S., Cerqueti, R., Alexandru, A., Popescu, D., Dhesi, G. and Ceptureanu, E. (2021). Influence of blockchain adoption on technology transfer, performance and supply chain integration, exibility and responsiveness. A case study from IT&C medium size enterprises. Studies in Informatics and Control. 30 (3), pp. 61-74. https://doi.org/10.24846/v30i3y202106
The sooner the better: lives saved by the lockdown during the COVID-19 outbreak. The case of Italy
Cerqueti, R., Coppier, R., Girardi, A. and Ventura, M. (2021). The sooner the better: lives saved by the lockdown during the COVID-19 outbreak. The case of Italy. The Econometrics Journal. 25 (1), pp. 46-70. https://doi.org/10.1093/ectj/utab027
A new concept of reliability system and applications in finance
Cerqueti, R. (2021). A new concept of reliability system and applications in finance. Annals of Operations Research. https://doi.org/10.1007/s10479-021-04150-9
ESG investing: A chance to reduce systemic risk
Cerqueti, R., Ciciretti, R., Dalò, A. and Nicolosi, M. (2021). ESG investing: A chance to reduce systemic risk. Journal of Financial Stability. 54, p. 100887. https://doi.org/10.1016/j.jfs.2021.100887
Outdoor light pollution and COVID-19: The Italian case
Argentiero, A., Cerqueti, R. and Maggi, M. (2021). Outdoor light pollution and COVID-19: The Italian case. Environmental Impact Assessment Review. 90, p. 106602. https://doi.org/10.1016/j.eiar.2021.106602
Does social capital explain the Solow residual? A DSGE approach
Argentiero, A., Cerqueti, R. and Sabatini, F. (2021). Does social capital explain the Solow residual? A DSGE approach. Structural Change and Economic Dynamics. 58, pp. 35-53. https://doi.org/10.1016/j.strueco.2021.04.008
Municipal waste management: A complex network approach with an application to Italy.
Cerqueti, R., Cinelli, M. and Minervini, L.F. (2021). Municipal waste management: A complex network approach with an application to Italy. Waste management (New York, N.Y.). 126, pp. 597-607. https://doi.org/S0956-053X(21)00177-X
Innovation ambidexterity and impact on the performance in IT companies: the moderating role of business experience
Ceptureanu, S. I., Ceptureanu, E. G. and Cerqueti, Roy (2021). Innovation ambidexterity and impact on the performance in IT companies: the moderating role of business experience. Technology Analysis & Strategic Management. https://doi.org/10.1080/09537325.2021.1918337
Bribes, Lobbying and Industrial Structure
Cerqueti, R, Coppier, R and Piga, G (2021). Bribes, Lobbying and Industrial Structure. Italian Economic Journal. https://doi.org/10.1007/s40797-021-00150-7
Predicting future cancer burden in the United States by artificial neural networks
Piva, F., Tartari, F., Giulietti, M., Aiello, M.M., Cheng, L., Lopez-Beltran, A., Mazzucchelli, R., Cimadamore, A., Cerqueti, R., Battelli, N., Montironi, R. and Santoni, M. (2021). Predicting future cancer burden in the United States by artificial neural networks. Future Oncology. 17 (2), pp. 159-168. https://doi.org/10.2217/fon-2020-0359
Preface: recent developments in financial modelling and risk management
Cerqueti, R, D’Ecclesia, RL and Levantesi, S (2021). Preface: recent developments in financial modelling and risk management. Annals of Operations Research. 299 (1-2), pp. 1-5. https://doi.org/10.1007/s10479-021-03958-9
Data validity and statistical conformity with Benford's Law
Cerqueti, R and Maggi, M (2021). Data validity and statistical conformity with Benford's Law. Chaos, Solitons & Fractals. 144, pp. 110740-110740. https://doi.org/10.1016/j.chaos.2021.110740
Does Death Anxiety Inhibit Product Innovation?An Exploratory Study In Small Manufacturing Companies
Cerqueti, R., Ceptureanu, S.I., Ceptureanu, E.G., Dhesi, G. and Luchian, I. (2021). Does Death Anxiety Inhibit Product Innovation?An Exploratory Study In Small Manufacturing Companies. Economic Computation and Economic Cybernetics Studies and Research. 55 (1/2021), pp. 135-147. https://doi.org/10.24818/18423264/55.1.21.09
Multiple breaks detection in financial interval-valued time series
Cappelli, C., Cerqueti, R., D’Urso, P. and Di Iorio, F. (2021). Multiple breaks detection in financial interval-valued time series. Expert Systems with Applications. 164, pp. 113775-113775. https://doi.org/10.1016/j.eswa.2020.113775
Tsallis Entropy for Cross-Shareholding Network Configurations.
Cerqueti, R., Rotundo, G. and Ausloos, Marcel (2020). Tsallis Entropy for Cross-Shareholding Network Configurations. Entropy (Basel, Switzerland). 22 (6). https://doi.org/e22060676
External solicitations, pollution and patterns of water stock: remarks and some modeling proposals
Cerqueti, R. (2020). External solicitations, pollution and patterns of water stock: remarks and some modeling proposals. in: Gadomski, A (ed.) Water in Biomechanical & Related Systems Springer.
Simple Approaches on How to Discover Promising Strategies for Efficient Enterprise Performance, at Time of Crisis in the Case of SMEs: Voronoi Clustering and Outlier Effects Perspective
Cerqueti, R., Bartolacci, F., Castellano, N. and Ausloos, M. (2020). Simple Approaches on How to Discover Promising Strategies for Efficient Enterprise Performance, at Time of Crisis in the Case of SMEs: Voronoi Clustering and Outlier Effects Perspective. in: Miskiewicz, J and Grech, D (ed.) Simplicity of Complexity in Economic and Social Systems Springer.
Stratified cohesiveness in complex business networks
Cerqueti, R., Clemente, G.P. and Grassi, R. (2020). Stratified cohesiveness in complex business networks. Journal of Business Research. https://doi.org/10.1016/j.jbusres.2020.04.005
Optimal concession contracts for oil exploitation
Cerqueti, R. and Ventura, M. (2020). Optimal concession contracts for oil exploitation. Energy Policy. 147, pp. 111900-111900. https://doi.org/10.1016/j.enpol.2020.111900
An optimization model for minimizing systemic risk
Castellano, R., Cerqueti, R., Clemente, G.P. and Grassi, R. (2020). An optimization model for minimizing systemic risk. Mathematics and Financial Economics. https://doi.org/10.1007/s11579-020-00279-6
Words ranking and Hirsch index for identifying the core of the hapaxes in political texts
Ficcadenti, V., Cerqueti, R., Ausloos, M. and Dhesi, G. (2020). Words ranking and Hirsch index for identifying the core of the hapaxes in political texts. Journal of Informetrics. 14 (3), pp. 101054-101054. https://doi.org/10.1016/j.joi.2020.101054
Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
Cerqueti, R, Giacalone, M and Mattera, R (2020). Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. Information Sciences. 527, pp. 1-26. https://doi.org/10.1016/j.ins.2020.03.075
Exploring the financial risk of a temperature index: a fractional integrated approach
Castellano, R., Cerqueti, R. and Rotundo, G. (2020). Exploring the financial risk of a temperature index: a fractional integrated approach. Annals of Operations Research. 284 (1), pp. 225-242. https://doi.org/10.1007/s10479-018-3063-0
The Skew Normal multivariate risk measurement framework
Bernardi, M., Cerqueti, R. and Palestini, A. (2020). The Skew Normal multivariate risk measurement framework. Computational Management Science. 17 (1), pp. 105-119. https://doi.org/10.1007/s10287-019-00350-8
Sustainable consumption behaviours in P2P accommodation platforms: an exploratory study
Ceptureanu, E.G., Ceptureanu, S., Herteliu, C. and Cerqueti, R. (2020). Sustainable consumption behaviours in P2P accommodation platforms: an exploratory study. Soft Computing. pp. 1-8. https://doi.org/10.1007/s00500-020-04681-6
Systemic risk assessment through high order clustering coefficient
Cerqueti, R, Clemente, GP and Grassi, R (2020). Systemic risk assessment through high order clustering coefficient. Annals of Operations Research. https://doi.org/10.1007/s10479-020-03525-8
Teams in New Ventures: Gender, Human Capital and Motivation
Cerqueti, R., Lucarelli, C., Marinelli, N. and Micozzi, A. (2020). Teams in New Ventures: Gender, Human Capital and Motivation. International Journal of Gender and Entrepreneurship. https://doi.org/10.1108/IJGE-07-2019-0115
Political Corruption
Cerqueti, R and Coppier, R (2019). Political Corruption. in: Marciano, A and Ramello, G (ed.) Encyclopedia of Law and Economics New York Springer.
Optimization Problems
Cerqueti, R and Coppier, R (2019). Optimization Problems. in: Marciano, A and Ramello, G (ed.) Encyclopedia of Law and Economics Springer.
Panel stationary tests against changes in persistence
Cerqueti, R., Costantini, M., Gutierrez, L. and Westerlund, J. (2019). Panel stationary tests against changes in persistence. Statistical Papers. 60 (4), pp. 1079-1100. https://doi.org/10.1007/s00362-016-0864-6
Long run analysis of crude oil portfolios
Cerqueti, R., Fanelli, V. and Rotundo, G. (2019). Long run analysis of crude oil portfolios. Energy Economics. 79, pp. 183-205. https://doi.org/10.1016/j.eneco.2017.12.005
Genitourinary Tumors: Update on Molecular Biomarkers for Diagnosis, Prognosis and Prediction of Response to Therapy
Cimadamore, A., Scarpelli, M., Santoni, M., Massari, F., Tartari, F., Cerqueti, R., Lopez-Beltran, A., Cheng, L. and Montironi, R. (2019). Genitourinary Tumors: Update on Molecular Biomarkers for Diagnosis, Prognosis and Prediction of Response to Therapy. Current Drug Metabolism. 20 (4), pp. 305-312. https://doi.org/10.2174/1389200220666190225124352
A Network-Based Measure of the Socio-Economic Roots of the Migration Flows
Cerqueti, R., Clemente, G.P. and Grassi, R. (2019). A Network-Based Measure of the Socio-Economic Roots of the Migration Flows. Social Indicators Research. 146 (1-2), pp. 187-204. https://doi.org/10.1007/s11205-018-1883-6
Measuring network resilience through connection patterns
Cerqueti, R., Ferraro, G. and Iovanella, A. (2019). Measuring network resilience through connection patterns. Reliability Engineering & System Safety. 188, pp. 320-329. https://doi.org/10.1016/j.ress.2019.03.030
Civic capital and support for the welfare state
Cerqueti, R, Sabatini, F and Ventura, M (2019). Civic capital and support for the welfare state. Social Choice and Welfare. 53 (2), pp. 313-336. https://doi.org/10.1007/s00355-019-01185-7
Public debt management and tax evasion
Argentiero, A and Cerqueti, R (2019). Public debt management and tax evasion. Macroeconomic Dynamics. https://doi.org/10.1017/s1365100519000361
An economic efficiency indicator for assessing income opportunities in sustainable waste management
Bartolacci, F., Cerqueti, R., Paolini, A. and Soverchia, M. (2019). An economic efficiency indicator for assessing income opportunities in sustainable waste management. Environmental Impact Assessment Review. 78, pp. 106279-106279. https://doi.org/10.1016/j.eiar.2019.05.001
Macro Asset Allocation with Social Impact Investments
Biasin, M., Cerqueti, R., Giacomini, E., Marinelli, N., Quaranta, A.G. and Riccetti, L. (2019). Macro Asset Allocation with Social Impact Investments. Sustainability. 11 (11), pp. 3140-3140. https://doi.org/https://www.doi.org/10.3390/su11113140
Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall
Bernardi, M., Cerqueti, R. and Palestini, A. (2019). Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall. Journal of the Operational Research Society. https://doi.org/10.1080/01605682.2019.1686958
Long memory and crude oil’s price predictability
Cerqueti, R. and Fanelli, V. (2019). Long memory and crude oil’s price predictability. Annals of Operations Research. pp. 1-12. https://doi.org/10.1007/s10479-019-03376-y
Influence measures in subnetworks using vertex centrality
Cerqueti, R., Clemente, G.P. and Grassi, R. (2019). Influence measures in subnetworks using vertex centrality. Soft Computing. https://doi.org/10.1007/s00500-019-04428-y
A joint text mining-rank size investigation of the rhetoric structures of the US Presidents’ speeches
Ficcadenti, V, Cerqueti, R. and Ausloos, M. (2019). A joint text mining-rank size investigation of the rhetoric structures of the US Presidents’ speeches. Expert Systems with Applications. 123, pp. 127-142. https://doi.org/10.1016/j.eswa.2018.12.049
A Generalized Error Distribution-BasedMethod for Conditional Value-at-Risk Evaluation
Cerqueti, R., Giacalone, M. and Panarello, D. (2018). A Generalized Error Distribution-BasedMethod for Conditional Value-at-Risk Evaluation. in: Corazza, M, Durban, M, Grane, A, Perna, C and Sibillo, M (ed.) Mathematical and StatisticalMethods for Actuarial Sciences and Finance, Springer. pp. 209-212
Exploring how innovation strategies at time of crisis influence performance: a cluster analysis perspective
Ausloos, M., Bartolacci, F., Castellano, N.G. and Cerqueti, R. (2018). Exploring how innovation strategies at time of crisis influence performance: a cluster analysis perspective. Technology Analysis & Strategic Management. 30 (4), pp. 484-497. https://doi.org/10.1080/09537325.2017.1337889
Stochastic Ising model with flipping sets of spins and fast decreasing temperature
Cerqueti, R. and De Santis, E. (2018). Stochastic Ising model with flipping sets of spins and fast decreasing temperature. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques. 54 (2), pp. 757-789. https://doi.org/10.1214/17-aihp820
Intriguing yet simple skewness: kurtosis relation in economic and demographic data distributions, pointing to preferential attachment processes
Ausloos, M. and Cerqueti, R. (2018). Intriguing yet simple skewness: kurtosis relation in economic and demographic data distributions, pointing to preferential attachment processes. Journal of Applied Statistics. 45 (12), pp. 2202-2218. https://doi.org/10.1080/02664763.2017.1413077
Regular paths in financial markets: Investigating the Benford's law
Riccioni, J and Cerqueti, R (2018). Regular paths in financial markets: Investigating the Benford's law. Chaos, Solitons and Fractals. 107, pp. 186-194. https://doi.org/10.1016/j.chaos.2018.01.008
Does the U.S. exercise contagion on Italy? A theoretical model and empirical evidence
Cerqueti, R, Fenga, L and Ventura, M (2018). Does the U.S. exercise contagion on Italy? A theoretical model and empirical evidence. Physica A: Statistical Mechanics and its Applications. 499, pp. 436-442. https://doi.org/10.1016/j.physa.2018.02.073
Investigating the Configurations in Cross-Shareholding: A Joint Copula-Entropy Approach
Cerqueti, R, Rotundo, G and Ausloos, M (2018). Investigating the Configurations in Cross-Shareholding: A Joint Copula-Entropy Approach. Entropy. 20 (2), pp. 134-134. https://doi.org/10.3390/e20020134
Data on the annual aggregated income taxes of the Italian municipalities over the quinquennium 2007–2011
Ausloos, M, Cerqueti, R and Mir, T. A (2018). Data on the annual aggregated income taxes of the Italian municipalities over the quinquennium 2007–2011. Data in Brief. 18, pp. 156-159. https://doi.org/10.1016/j.dib.2018.02.082
Copulas, uncertainty, and false discovery rate control
Cerqueti, R and Lupi, C (2018). Copulas, uncertainty, and false discovery rate control. International Journal of Approximate Reasoning. 100, pp. 105-114. https://doi.org/10.1016/j.ijar.2018.06.002
SME investment best strategies. Outliers for assessing how to optimize performance
Ausloos, M, Cerqueti, R, Bartolacci, F and Castellano, N. G (2018). SME investment best strategies. Outliers for assessing how to optimize performance. Physica A: Statistical Mechanics and its Applications. 509, pp. 754-765. https://doi.org/10.1016/j.physa.2018.06.039
A new measure for community structures through indirect social connections
Cerqueti, R, Ferraro, G and Iovanella, A (2018). A new measure for community structures through indirect social connections. Expert Systems with Applications. 114, pp. 196-209. https://doi.org/10.1016/j.eswa.2018.07.040
A network approach to risk theory and portfolio selection
Cerqueti, R. and Lupi, C. (2017). A network approach to risk theory and portfolio selection. in: Corazza, M, Legros, F, Perna, C and Sibillo, M (ed.) Mathematical and Statistical Methods for Actuarial Sciences and Finance Springer.
A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping
Cerqueti, R., Falbo, P., Pelizzari, C., Ricca, F. and Scozzari, A. (2017). A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping. Annals of Operations Research. 248 (1-2), pp. 163-187. https://doi.org/10.1007/s10479-016-2181-9
Relevant states and memory in Markov chain bootstrapping and simulation
Cerqueti, R., Falbo, P. and Pelizzari, C. (2017). Relevant states and memory in Markov chain bootstrapping and simulation. European Journal of Operational Research. 256 (1), pp. 163-177. https://doi.org/10.1016/j.ejor.2016.06.006
Long-range properties and data validity for hydrogeological time series: The case of the Paglia river
Ausloos, M., Cerqueti, R. and Lupi, C. (2017). Long-range properties and data validity for hydrogeological time series: The case of the Paglia river. Physica A: Statistical Mechanics and its Applications. 470, pp. 39-50. https://doi.org/10.1016/j.physa.2016.11.137
Assessing the relationship between toxicity and economic cost of oncological target agents: A systematic review of clinical trials
Tartari, F., Conti, A. and Cerqueti, R. (2017). Assessing the relationship between toxicity and economic cost of oncological target agents: A systematic review of clinical trials. PLoS ONE. 12 (8), pp. e0183639-e0183639. https://doi.org/10.1371/journal.pone.0183639
Data science for assessing possible tax income manipulation: The case of Italy
Ausloos, M., Cerqueti, R. and Mir, T.A. (2017). Data science for assessing possible tax income manipulation: The case of Italy. Chaos, Solitons and Fractals. 104, pp. 238-256. https://doi.org/10.1016/j.chaos.2017.08.012
Corruption, evasion and environmental policy: a game theory approach
Cerqueti, R. and Coppier, R. (2016). Corruption, evasion and environmental policy: a game theory approach. IMA Journal of Management Mathematics. 27 (2), pp. 235-253. https://doi.org/10.1093/imaman/dpu019
Religion-based urbanization process in Italy: statistical evidence from demographic and economic data
Ausloos, M. and Cerqueti, R. (2016). Religion-based urbanization process in Italy: statistical evidence from demographic and economic data. Quality & Quantity. 50 (4), pp. 1539-1565. https://doi.org/10.1007/s11135-015-0220-2
Optimal Investment in Research and Development Under Uncertainty
Cerqueti, R, Marazzina, D and Ventura, M (2016). Optimal Investment in Research and Development Under Uncertainty. Journal of Optimization Theory and Applications. 168 (1), pp. 296-309. https://doi.org/10.1007/s10957-015-0751-7
Studies on Regional Wealth Inequalities: The Case of Italy
Ausloos, M and Cerqueti, R (2016). Studies on Regional Wealth Inequalities: The Case of Italy. Acta Physica Polonica A. 129 (5), pp. 959-964. https://doi.org/10.12693/aphyspola.129.959
Regularities and discrepancies of credit default swaps: a data science approach through Benford's law
Ausloos, M., Castellano, R. and Cerqueti, R. (2016). Regularities and discrepancies of credit default swaps: a data science approach through Benford's law. Chaos, Solitons and Fractals. 90, pp. 8-17. https://doi.org/10.1016/j.chaos.2016.03.002
Bayesian estimation and entropy for economic dynamic stochastic models: An exploration of overconsumption
Argentiero, A., Bovi, M. and Cerqueti, R. (2016). Bayesian estimation and entropy for economic dynamic stochastic models: An exploration of overconsumption. Chaos, Solitons and Fractals. 88, pp. 143-157. https://doi.org/10.1016/j.chaos.2016.03.003
Non-exchangeable copulas and multivariate total positivity
Cerqueti, R. and Lupi, C. (2016). Non-exchangeable copulas and multivariate total positivity. Information Sciences. 360, pp. 163-169. https://doi.org/10.1016/j.ins.2016.04.026
Sustainable management of fossil fuels: A dynamic stochastic optimization approach with jump-diffusion
Castellano, R., Cerqueti, R. and Spinesi, L. (2016). Sustainable management of fossil fuels: A dynamic stochastic optimization approach with jump-diffusion. European Journal of Operational Research. 255 (1), pp. 288-297. https://doi.org/10.1016/j.ejor.2016.04.052
Risk measures on networks and expected utility
Cerqueti, R. and Lupi, C. (2016). Risk measures on networks and expected utility. Reliability Engineering & System Safety. 155, pp. 1-8. https://doi.org/10.1016/j.ress.2016.04.017
Innovation, imitation and policy inaction
Cerqueti, R., Quaranta, A.G. and Ventura, M. (2016). Innovation, imitation and policy inaction. Technological Forecasting and Social Change. 111, pp. 22-30. https://doi.org/10.1016/j.techfore.2016.06.001
Forecasting macroeconomic fundamentals in economic crises
Bovi, M. and Cerqueti, R. (2016). Forecasting macroeconomic fundamentals in economic crises. Annals of Operations Research. 247 (2), pp. 451-469. https://doi.org/10.1007/s10479-015-1879-4
A Universal Rank-Size Law
Ausloos, M. and Cerqueti, R. (2016). A Universal Rank-Size Law. PLoS ONE. 11 (11). https://doi.org/10.1371/journal.pone.0166011
A theory of misperception in a stochastic dominance framework and its application to structured financial products
Castellano, R. and Cerqueti, R. (2016). A theory of misperception in a stochastic dominance framework and its application to structured financial products. IMA Journal of Management Mathematics. 29 (1), pp. 23-37. https://doi.org/10.1093/imaman/dpw007
A game for exploring political and bureaucratic corruption
Cerqueti, R. and Coppier, R. (2016). A game for exploring political and bureaucratic corruption. IMA Journal of Management Mathematics. 29 (2), pp. 151-173. https://doi.org/10.1093/imaman/dpw017
Signatures of systems with non-exchangeable lifetimes: some implications in the analysis of financial risk
Cerqueti, R and Spizzichino, F. (2015). Signatures of systems with non-exchangeable lifetimes: some implications in the analysis of financial risk. in: Kitzos, C (ed.) Springer Proceedingsin Mathematics & Statistics Springer.
Approximating Markov Chains for Bootstrapping and Simulation
Cerqueti, R., Falbo, P., Guastaroba, G. and Pelizzari, C. (2015). Approximating Markov Chains for Bootstrapping and Simulation. in: Steland, A (ed.) Stochastic Models, Statistics and Their Applications,Springer Proceedings in Mathematics & Statistics Switzerland Springer.
The impact of innovation on companies’ performance: an entropy-based analysis of the STAR market segment of the Italian Stock Exchange
Bartolacci, F., Castellano, N.G. and Cerqueti, R. (2015). The impact of innovation on companies’ performance: an entropy-based analysis of the STAR market segment of the Italian Stock Exchange. Technology Analysis & Strategic Management. 27 (1), pp. 102-123. https://doi.org/10.1080/09537325.2014.952624
Patent Valuation under Spatial Point Processes with Delayed and Decreasing Jump Intensity
Cerqueti, R. and Ventura, M. (2015). Patent Valuation under Spatial Point Processes with Delayed and Decreasing Jump Intensity. The B.E. Journal of Theoretical Economics. 15 (2). https://doi.org/10.1515/bejte-2013-0104
Risk and uncertainty in the patent race: a probabilistic model
Cerqueti, R and Ventura, M (2015). Risk and uncertainty in the patent race: a probabilistic model. IMA Journal of Management Mathematics. 26 (1), pp. 39-62. https://doi.org/10.1093/imaman/dpt020
On the coexistence of innovators and imitators
Cerqueti, R., Tramontana, F. and Ventura, M. (2015). On the coexistence of innovators and imitators. Technological Forecasting and Social Change. 90 (B), pp. 487-496. https://doi.org/10.1016/j.techfore.2014.03.011
A review of aggregation techniques for agent-based models: understanding the presence of long-term memory
Cerqueti, R. and Rotundo, G. (2015). A review of aggregation techniques for agent-based models: understanding the presence of long-term memory. Quality & Quantity. 49 (4), pp. 1693-1717. https://doi.org/10.1007/s11135-014-9995-9
Evidence of economic regularities and disparities of Italian regions from aggregated tax income size data
Cerqueti, R. and Ausloos, M. (2015). Evidence of economic regularities and disparities of Italian regions from aggregated tax income size data. Physica A: Statistical Mechanics and its Applications. 421, pp. 187-207. https://doi.org/10.1016/j.physa.2014.11.027
Corruptibility and tax evasion
Cerqueti, R. and Coppier, R. (2015). Corruptibility and tax evasion. European Journal of Law and Economics. 39 (2), pp. 355-373. https://doi.org/10.1007/s10657-013-9406-z
Approximating multivariate Markov chains for bootstrapping through contiguous partitions
Cerqueti, R., Falbo, P., Guastaroba, G. and Pelizzari, C. (2015). Approximating multivariate Markov chains for bootstrapping through contiguous partitions. OR Spectrum. 37 (3), pp. 803-841. https://doi.org/10.1007/s00291-015-0397-8
Socio-economical analysis of Italy: The case of hagiotoponym cities
Cerqueti, R. and Ausloos, M. (2015). Socio-economical analysis of Italy: The case of hagiotoponym cities. The Social Science Journal. 52 (4), pp. 561-564. https://doi.org/10.1016/j.soscij.2015.03.004
Cross ranking of cities and regions: population versus income
Cerqueti, R. and Ausloos, M. (2015). Cross ranking of cities and regions: population versus income. Journal of Statistical Mechanics: Theory and Experiment. 2015 (7), pp. P07002-P07002. https://doi.org/10.1088/1742-5468/2015/07/p07002
A disutility-based drift control for exchange rates
Castellano, R, Cerqueti, R and D'Ecclesia, R. L (2014). A disutility-based drift control for exchange rates. Optimization. 63 (2), pp. 255-269. https://doi.org/10.1080/02331934.2011.641016
A quantitative view on policymakers’ goal, institutions and tax evasion
Bovi, M and Cerqueti, R (2014). A quantitative view on policymakers’ goal, institutions and tax evasion. Quality & Quantity. 48 (3), pp. 1493-1510. https://doi.org/10.1007/s11135-013-9849-x
Mean–Variance portfolio selection in presence of infrequently traded stocks
Castellano, R and Cerqueti, R (2014). Mean–Variance portfolio selection in presence of infrequently traded stocks. European Journal of Operational Research. 234 (2), pp. 442-449. https://doi.org/10.1016/j.ejor.2013.04.024
Exhaustion of resources: a marked temporal process framework
Cerqueti, R (2014). Exhaustion of resources: a marked temporal process framework. Stochastic Environmental Research and Risk Assessment. 28 (4), pp. 1023-1033. https://doi.org/10.1007/s00477-013-0798-7
Symmetries of systems with spatially bounded domains
Cerqueti, R and Sarnari, F (2014). Symmetries of systems with spatially bounded domains. Journal of Advanced Research in Dynamical and Control Systems. 6 (1), pp. 11-25.
Benford’s law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions
Mir, T. A, Ausloos, M and Cerqueti, R (2014). Benford’s law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions. The European Physical Journal B. 87 (11). https://doi.org/10.1140/epjb/e2014-50525-2
New results on the convergence of random matrices
Cerqueti, R and Costantini, M (2013). New results on the convergence of random matrices. Statistics. 47 (4), pp. 663-671. https://doi.org/10.1080/02331888.2011.648639
Roots and effects of financial misperception in a stochastic dominance framework
Castellano, R and Cerqueti, R (2013). Roots and effects of financial misperception in a stochastic dominance framework. Quality & Quantity. 47 (6), pp. 3371-3389. https://doi.org/10.1007/s11135-012-9726-z
Extension of dependence properties to semi-copulas and applications to the mean–variance model
Cerqueti, R and Spizzichino, F (2013). Extension of dependence properties to semi-copulas and applications to the mean–variance model. Fuzzy Sets and Systems. 220, pp. 99-108. https://doi.org/10.1016/j.fss.2012.08.011
A Tabu Search heuristic procedure in Markov chain bootstrapping
Cerqueti, R, Falbo, P, Guastaroba, G and Pelizzari, C (2013). A Tabu Search heuristic procedure in Markov chain bootstrapping. European Journal of Operational Research. 227 (2), pp. 367-384. https://doi.org/10.1016/j.ejor.2012.11.009
Economic interactions and social tolerance: A dynamic perspective
Cerqueti, R, Correani, L and Garofalo, G (2013). Economic interactions and social tolerance: A dynamic perspective. Economics Letters. 120 (3), pp. 458-463. https://doi.org/10.1016/j.econlet.2013.05.032
Illegal finance and usurers behaviour
Barone, R, Cerqueti, R and Quaranta, A. G. (2012). Illegal finance and usurers behaviour. European Journal of Law and Economics. 34 (2), pp. 265-277. https://doi.org/10.1007/s10657-010-9183-x
The perspective of a bank in granting credits: an optimization model
Cerqueti, R and Quaranta, A. G (2012). The perspective of a bank in granting credits: an optimization model. Optimization Letters. 6 (5), pp. 867-882. https://doi.org/10.1007/s11590-011-0310-6
Financing policies via stochastic control: a dynamic programming approach
Cerqueti, R (2012). Financing policies via stochastic control: a dynamic programming approach. Journal of Global Optimization. 53 (3), pp. 539-561. https://doi.org/10.1007/s10898-011-9725-y
The role of diversity in persistence aggregation
Cerqueti, R and Rotundo, G (2012). The role of diversity in persistence aggregation. International Journal of Intelligent Systems. 27 (2), pp. 176-187. https://doi.org/10.1002/int.21519
Corruption, growth and ethnic fractionalization: a theoretical model
Cerqueti, R, Coppier, R and Piga, G (2012). Corruption, growth and ethnic fractionalization: a theoretical model. Journal of Economics. 106 (2), pp. 153-181. https://doi.org/10.1007/s00712-011-0253-5
Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach
Castellano, R and Cerqueti, R (2012). Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach. Applied Mathematics and Computation. 218 (12), pp. 6887-6898. https://doi.org/10.1016/j.amc.2011.12.065
Why is the Tax Evasion so Persistent?
Cerqueti, R and Bovi, M (2011). Why is the Tax Evasion so Persistent? in: Tavidze, A (ed.) Progress in Economics Nova Science Publishers, Inc..
The optimal bid/ask spread in a Specialist System
Castellano, R and Cerqueti, R (2011). The optimal bid/ask spread in a Specialist System. Economic Modelling. 28 (5), pp. 2247-2253. https://doi.org/10.1016/j.econmod.2011.06.019
Economic growth, corruption and tax evasion
Cerqueti, R and Coppier, R (2011). Economic growth, corruption and tax evasion. Economic Modelling. 28 (1-2), pp. 489-500. https://doi.org/10.1016/j.econmod.2010.07.006
Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels
Cerqueti, R and Costantini, M (2011). Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels. Journal of Banking & Finance. 35 (10), pp. 2598-2605. https://doi.org/10.1016/j.jbankfin.2011.02.011
Memory Property in Heterogeneously Populated Markets
Cerqueti, R and Rotundo, G (2010). Memory Property in Heterogeneously Populated Markets. in: Greco, S, Marques Pereira, RA, Squillante, M, Yager, RR and Kacprzyk, J (ed.) Preferences and Decisions - Studies in Fuzziness and Soft Computing Berlin Springer. pp. 53-69
Firms clustering in presence of technological renewal processes
Cerqueti, R and Rotundo, G (2010). Firms clustering in presence of technological renewal processes. in: Puu, T and Panchuk, A (ed.) Nonlinear economic dynamics Nova Science Publishers, Inc..
Light Stocks and Wealth Allocation
Cerqueti, R and Castellano, R (2010). Light Stocks and Wealth Allocation. in: Kasımbeyli, R, Dinçer, C, Özpeynirci, S and Sakalauskas, L (ed.) 24th mini euro conference on continuous optimization and information based technologies in the financial sector - MEC EUROPT 2010: selected papers Vilnius "Technika".
Some Nonparametric Asymptotic Results for a Class of Stochastic Processes
Cerqueti, R and Costantini, M (2010). Some Nonparametric Asymptotic Results for a Class of Stochastic Processes. Communications in Statistics - Theory and Methods. 39 (14), pp. 2552-2560. https://doi.org/10.1080/03610920903061021
Options with underlying asset driven by a fractional brownian motion: crossing barriers estimates
Rotundo, G and Cerqueti, R (2010). Options with underlying asset driven by a fractional brownian motion: crossing barriers estimates. New Mathematics and Natural Computation. 06 (01), pp. 109-118. https://doi.org/10.1142/s1793005710001633
A Dynamic Stochastic Model of Asset Pricing with Heterogeneous Beliefs
Brianzoni, S, Cerqueti, R and Michetti, E (2010). A Dynamic Stochastic Model of Asset Pricing with Heterogeneous Beliefs. Computational Economics. 35 (2), pp. 165-188. https://doi.org/10.1007/s10614-009-9189-z
A Characterization of the Dickey-Fuller Distribution With Some Extensions to the Multivariate Case
Cerqueti, R, Costantini, M and Lupi, C (2009). A Characterization of the Dickey-Fuller Distribution With Some Extensions to the Multivariate Case. in: Martinez, WL (ed.) Proceedings of the Joint Statistical Meeting (Business and Economic Statistics Section), 1-6 August 2009, Washington DC, USA American Statistical Association.
Dynamic Programming via Measurable Selection
Cerqueti, R (2009). Dynamic Programming via Measurable Selection. Pacific Journal of Optimization. 5 (1), pp. 169-181.
Tax revenues, fiscal corruption and “shame” costs
Cerqueti, R and Coppier, R (2009). Tax revenues, fiscal corruption and “shame” costs. Economic Modelling. 26 (6), pp. 1239-1244. https://doi.org/10.1016/j.econmod.2009.06.005
A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts
Cerqueti, R, Foschi, R and Spizzichino, F (2009). A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts. Insurance: Mathematics and Economics. 45 (1), pp. 59-64. https://doi.org/10.1016/j.insmatheco.2009.03.001
Companies' decisions for profit maximization: a structural model
Cerqueti, R and Rotundo, G. (2009). Companies' decisions for profit maximization: a structural model. Applied Mathematical Sciences. 3 (27), pp. 1327-1340.
Asymptotic solutions of a generalized eigenvalue problem
Cerqueti, R. and Costantini, M. (2009). Asymptotic solutions of a generalized eigenvalue problem. Applied Mathematical Sciences. 3 (60), pp. 2985-2999.
On the asymptotic behaviour of random matrices in a multivariate statistical model
Cerqueti, R and Costantini, M (2008). On the asymptotic behaviour of random matrices in a multivariate statistical model. Statistics & Probability Letters. 78 (14), pp. 2039-2045. https://doi.org/10.1016/j.spl.2008.01.051
Dynamics of financial time series in an inhomogeneous framework
Cerqueti, R and Rotundo, G (2007). Dynamics of financial time series in an inhomogeneous framework. in: Sibillo, M and Perna, C (ed.) Mathematical and statistical methods in insurance and finance Berlin Springer. pp. 67-74
Productivity and costs for firms in presence of technology renewal processes
Cerqueti, R and Rotundo, G (2007). Productivity and costs for firms in presence of technology renewal processes. International Transactions in Operational Research. 14 (6), pp. 521-534. https://doi.org/10.1111/j.1475-3995.2007.00611.x
Microeconomic modeling of financial time series with long term memory
Cerqueti, R and Rotundo, G (2003). Microeconomic modeling of financial time series with long term memory. 2003 IEEE International Conference on Computational Intelligence for Financial Engineering. Proceedings. Institute of Electrical and Electronics Engineers (IEEE). https://doi.org/10.1109/cifer.2003.1196260