Antonietta Mira

Università della Svizzera italiana - InterDisciplinary Institute of Data Science

Prof.

Via Giuseppe Buffi 13

CH-6900 Lugano, CH-6904

Switzerland

SCHOLARLY PAPERS

4

DOWNLOADS

548

CITATIONS

1

Scholarly Papers (4)

1.

A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns

Number of pages: 46 Posted: 20 Feb 2012 Last Revised: 21 May 2014
Stefano Peluso, Fulvio Corsi and Antonietta Mira
University of Lugano and Swiss Finance Institute, Ca' Foscari University of Venice and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 180 (126,165)
Citation 1

Abstract:

asinchronicity, data augmentation, Gibbs sampler, missing observations, realized covariance

2.

A Bayesian Semiparametric Multiplicative Error Model with an Application to Realized Volatility

Number of pages: 35 Posted: 11 Nov 2012 Last Revised: 18 May 2013
Reza Solgi and Antonietta Mira
Swiss Finance Institute and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 114 (177,729)

Abstract:

Dirichlet process mixture model, multiplicative error model, slice sampler, realized volatility, parameter expansion

3.

A Bayesian Estimate of the Pricing Kernel

Swiss Finance Institute Research Paper No. 16-14
Number of pages: 47 Posted: 19 Feb 2016 Last Revised: 21 Mar 2017
Giovanni Barone-Adesi, Chiara Legnazzi and Antonietta Mira
Swiss Finance Institute, Swiss Finance Institute and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 0 (184,412)

Abstract:

Pricing Kernel, pricing kernel puzzle, Poisson-Dirichlet Process

4.

Option-Implied State Prices and Misspecified Stochastic Discount Factors

Swiss Finance Institute Research Paper No. 15-66
Number of pages: 57 Posted: 23 Jan 2016 Last Revised: 22 May 2017
Carlo Sala, Giovanni Barone-Adesi and Antonietta Mira
ESADE Business School and USI, Swiss Finance Institute and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 0 (227,674)

Abstract:

Conditional Physical Measure, Pricing Kernel, Option Data, S&P 500