Antonietta Mira

Università della Svizzera italiana - InterDisciplinary Institute of Data Science

Prof.

Via Giuseppe Buffi 13

CH-6900 Lugano, CH-6904

Switzerland

  • Università della Svizzera italiana - InterDisciplinary Institute of Data Science

SCHOLARLY PAPERS

7

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1,355

SSRN CITATIONS
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in Total Papers Citations

14

CROSSREF CITATIONS

3

Scholarly Papers (7)

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1.

The Keys of Predictability: A Comprehensive Study

Swiss Finance Institute Research Paper No. 19-15
Number of pages: 69 Posted: 21 Mar 2019 Last Revised: 04 Apr 2019
Giovanni Barone-Adesi, Antonietta Mira and Matteo Pisati
University of Lugano, Università della Svizzera italiana - InterDisciplinary Institute of Data Science and Universita' della Svizzera Italiana
Downloads 365 (132,242)

Abstract:

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Markets Predictability, Machine Learning, Model Selection

2.

Option market trading activity and the estimation of the pricing kernel A Bayesian approach

Journal of Econometrics, Vol. 216, No. 2, 2020
Number of pages: 42 Posted: 23 Jan 2016 Last Revised: 07 Aug 2020
Giovanni Barone-Adesi, Nicola Fusari, Carlo Sala and Antonietta Mira
University of Lugano, Johns Hopkins University - Carey Business School, ESADE Business School and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 337 (144,191)
Citation 12

Abstract:

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Pricing kernelPricing kernel puzzlePhysical measureDirichlet processBayesian nonparametric estimationOptionsS&P 500 index

3.

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, University of Pisa - Department of Economics and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 247 (198,747)
Citation 3

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

4.

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: 28 Oct 2017
Giovanni Barone-Adesi, Chiara Legnazzi and Antonietta Mira
University of Lugano, Swiss Finance Institute and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 227 (215,649)

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Pricing Kernel, pricing kernel puzzle, Poisson-Dirichlet Process

5.

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 155 (302,613)

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

6.

Scientific Output of US and European Universities Scales Super-Linearly with Resources

SWPS 2018-22
Number of pages: 30 Posted: 23 Oct 2018
Benedetto Lepori, Aldo Geuna and Antonietta Mira
Università della Svizzera italiana, University of Turin - Department Cultures, Politics and Society and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 24 (781,576)
Citation 1

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Social Sciences/Economic Sciences

7.

Social Network Modeling

Annual Review of Statistics and Its Application, Vol. 5, Issue 1, pp. 343-369, 2018
Posted: 05 Apr 2018
Viviana Amati, Alessandro Lomi and Antonietta Mira
ETH Zürich, University of Lugano and Università della Svizzera italiana - InterDisciplinary Institute of Data Science

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