Arturo Leccadito

Università degli Studi della Calabria

Ponte Bucci, Cubo 3C

Rende , Cosenza 87036

Italy

  • Università degli Studi della Calabria

SCHOLARLY PAPERS

8

DOWNLOADS

1,183

TOTAL CITATIONS

3

Scholarly Papers (8)

Actions:
Email selected abstracts
1.

Pricing and Hedging Basket Options with Exact Moment Matching

Number of pages: 29 Posted: 18 Dec 2013 Last Revised: 28 May 2014
Tommaso Paletta, Arturo Leccadito and Radu Tunaru
University of Kent - Kent Business School, Università degli Studi della Calabria and University of Sussex
Downloads 432 (137,929)
Citation 1

Abstract:

Loading...

Basket options, Shifted log-normal jump process, Hermite polynomials, Negative skewness, Option pricing and hedging

2.

CMCDS Premia Implicit in the Term Structure of Corporate CDS Spreads

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 48 Posted: 14 Oct 2008 Last Revised: 01 Oct 2020
Arturo Leccadito, Radu Tunaru and Giovanni Urga
Università degli Studi della Calabria, University of Sussex and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 245 (253,434)

Abstract:

Loading...

Constant Maturity Credit Default Swaps, Forward Credit Rates, Convexity Adjustment, Forward Rate Unbiasedness Hypothesis

3.

Testing for Spurious Long Memory: A Monte Carlo Comparison with an Application to Credit Default Swaps

Number of pages: 36 Posted: 17 Mar 2010
Arturo Leccadito, Omar Rachedi and Giovanni Urga
Università degli Studi della Calabria, ESADE Business School and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 136 (427,664)

Abstract:

Loading...

Fractional integration, Structural Break, Regime Switching

4.

Forecasting Total Energy’s CO2 Emissions

LIDAM Discussion Paper LFIN ; 2022/03 (2022) http://hdl.handle.net/2078.1/260961
Number of pages: 58 Posted: 31 May 2022
Leonardo Iania, Bernardina Algieri and Arturo Leccadito
Université catholique de Louvain, University of Calabria - Department of Economics and Statistics and Università degli Studi della Calabria
Downloads 117 (480,518)
Citation 1

Abstract:

Loading...

CO2 emissions, forecasting models, quantile forecast, climate change, drought severity, interannual variability

5.

Message in a Bottle: Forecasting Wine Prices

Number of pages: 43 Posted: 29 Mar 2023
Bernardina Algieri, Leonardo Iania, Arturo Leccadito and Giulia Meloni
University of Calabria - Department of Economics and Statistics, Université catholique de Louvain, Università degli Studi della Calabria and KU Leuven - Centre for Institutions and Economic Performance (LICOS)
Downloads 108 (509,831)

Abstract:

Loading...

Wine Prices, Forecasting, Agricultural Commodities, Big data

6.

Wave after Wave: Contagion Risk from Commodity Markets

ZEF – Discussion Papers on Development Policy No.237
Number of pages: 40 Posted: 07 Jun 2017
Bernardina Algieri and Arturo Leccadito
University of Calabria - Department of Economics and Statistics and Università degli Studi della Calabria
Downloads 91 (572,055)
Citation 1

Abstract:

Loading...

Commodity markets, Contagion risk, ΔCoVaR

7.

Investigating Time-Varying Correlations between Cryptocurrency and Financial Markets: A Gas-Based Approach

Number of pages: 49 Posted: 02 Nov 2024
KOKULO LAWUOBAHSUMO, Arturo Leccadito, Federico P. Cortese and Bernardina Algieri
University of Calabria, Università degli Studi della Calabria, CNR - IMATI and University of Calabria
Downloads 29 (958,996)

Abstract:

Loading...

Time-varying correlation, Asymmetric Student-t Distribution, Cryptocurrency, Generalized Autoregressive Score

8.

On Binomial Discretizations of Correlated Skew Brownian Motions: Applications to Option Pricing

Number of pages: 1 Posted: 06 Dec 2024
Emilio Russo, Arturo Leccadito and Alessandro Staino
University of Calabria, Università degli Studi della Calabria and University of Calabria
Downloads 25 (990,079)

Abstract:

Loading...

Correlated skew Brownian motions, binomial trees, lattice models, financial derivatives