Francesco Esposito

Dublin City University Business School

Ph.D. candidate

Dublin 9

Ireland

SCHOLARLY PAPERS

3

DOWNLOADS

124

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Scholarly Papers (3)

1.

Multiple Hypothesis Testing of Market Risk Forecasting Models

Number of pages: 25 Posted: 11 Jun 2015
Francesco Esposito and Mark Cummins
Dublin City University Business School and Dublin City University Business School
Downloads 55 (365,656)

Abstract:

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value-at-risk, expected shortfall, bootstrap multiple hypothesis testing, generalized familywise error rate, multiple comparison map

2.

Determining Risk Model Confidence Sets

Finance Research Letters, Forthcoming
Number of pages: 16 Posted: 10 Feb 2017
Mark Cummins, Michael M. Dowling and Francesco Esposito
Dublin City University Business School, ESC Rennes School of Business and Dublin City University Business School
Downloads 47 (391,797)

Abstract:

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model confidence set, model selection, market risk models

3.

Filtering and Likelihood Estimation of Latent Factor Jump-Diffusions with an Application to Stochastic Volatility Models

Number of pages: 28 Posted: 11 Jun 2015
Francesco Esposito and Mark Cummins
Dublin City University Business School and Dublin City University Business School
Downloads 22 (506,735)

Abstract:

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latent state-variables, non-linear filtering, finite difference method, multi-variate jump-diffusions, likelihood estimation