Michele Leonardo Bianchi

Bank of Italy

Via Nazionale 91

00184 Rome, I - 00184

Italy

SCHOLARLY PAPERS

10

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SSRN CITATIONS
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Top 11,480

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0

CROSSREF CITATIONS

95

Scholarly Papers (10)

1.

Computing VAR and AVaR in Infinitely Divisible Distributions

Yale ICF Working Paper No. 09-07
Number of pages: 37 Posted: 08 May 2009
Young Shin Kim, Svetlozar Rachev, Michele Leonardo Bianchi and Frank J. Fabozzi
University of Karlsruhe, Texas Tech University, Bank of Italy and EDHEC Business School
Downloads 286 (116,761)
Citation 12

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tempered stable distribution, infinitely divisible distribution, value-at-risk, conditional value-at-risk, average value-at-risk

2.

An Empirical Comparison of Alternative Credit Default Swap Pricing Models

Bank of Italy Temi di Discussione (Working Paper) No. 882
Number of pages: 64 Posted: 23 Oct 2012
Michele Leonardo Bianchi
Bank of Italy
Downloads 147 (217,229)
Citation 23

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credit default swap, Cox-Ingersoll-Ross, non-Gaussian Ornstein-Uhlenbeck processes, Lévy processes, Sato processes, filtering methods, unscented Kalman filter, particle filter

3.

The Performance of the Italian Housing Market and its Effects on the Financial System

Bank of Italy Occasional Paper No. 59
Number of pages: 68 Posted: 27 Oct 2010
Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy, University of Cambridge - Faculty of Economics and Politics, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 139 (227,199)
Citation 2

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housing market cycle, transactions, rentals, residential house prices, mortgages, real-estate investment funds, taxation of residential housing

4.

Italian Real Estate Investment Funds: Market Structure and Risk Measurement

Bank of Italy Occasional Paper No. 120
Number of pages: 34 Posted: 23 May 2012
Michele Leonardo Bianchi and Agostino Chiabrera
Bank of Italy and Bank of Italy
Downloads 124 (248,255)
Citation 1

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real estate investment funds, asset management, firm value model, non-normal distributions, Monte Carlo simulation

5.

Italian Open-End Funds: Performance of Asset Management Companies

Bank of Italy Temi di Discussione (Working Paper) No. 795
Number of pages: 38 Posted: 10 May 2011
Michele Leonardo Bianchi and Maria Grazia Miele
Bank of Italy and Bank of Italy
Downloads 91 (307,189)

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open-end funds, asset management companies, panel data, robust estimators, normal inverse Gaussian distribution

6.

Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View

Bank of Italy Temi di Discussione (Working Paper) No. 912
Number of pages: 52 Posted: 21 Jun 2013
Michele Leonardo Bianchi, Svetlozar Rachev and Frank J. Fabozzi
Bank of Italy, Texas Tech University and EDHEC Business School
Downloads 68 (364,282)
Citation 18

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Ornstein-Uhlenbeck processes, tempered stable distributions, tempered infinitely divisible distributions, integrated processes, acceptance-rejection sampling, maximum likelihood estimation

7.

Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models

Bank of Italy Temi di Discussione (Working Paper) No. 944
Number of pages: 54 Posted: 25 Mar 2014
Michele Leonardo Bianchi, Frank J. Fabozzi and Svetlozar Rachev
Bank of Italy, EDHEC Business School and Texas Tech University
Downloads 67 (367,176)
Citation 43

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volatility smile, option pricing, non-Gaussian Ornstein-Uhlenbeck processes, Lévy processes, tempered stable processes and distributions, stochastic volatility models, time-changed Lévy processes, GARCH model, filtered historical simulation, particle filter

8.

Are the Log-Returns of Italian Open-End Mutual Funds Normally Distributed? A Risk Assessment Perspective

Bank of Italy Temi di Discussione (Working Paper) No. 957
Number of pages: 24 Posted: 09 Jul 2014
Michele Leonardo Bianchi
Bank of Italy
Downloads 43 (449,322)
Citation 2

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open-end mutual funds, normal distribution, tempered stable distributions, value at risk, average value at risk

9.

Multi-Tail Generalized Elliptical Distributions for Asset Returns

Econometrics Journal, Vol. 12, Issue 2, pp. 272-291, July 2009
Number of pages: 20 Posted: 08 Oct 2009
University of Karlsruhe, Texas Tech University, affiliation not provided to SSRN, EDHEC Business School and Bank of Italy
Downloads 1 (709,099)
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index-linked bonds, fair-value, structured products, mispricing