Federico Severino

Université Laval

Assistant professor

Pavillon Palasis-Prince

2325 rue de la Terrasse

Québec, Quebec G1V 0A6

Canada

http://https://federicoseverino.org

affiliation not provided to SSRN

SCHOLARLY PAPERS

3

DOWNLOADS

526

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

A Persistence-Based Wold-Type Decomposition for Stationary Time Series

Number of pages: 50 Posted: 15 Dec 2011 Last Revised: 31 Jul 2019
Fulvio Ortu, Federico Severino, Andrea Tamoni and Claudio Tebaldi
Bocconi University - Department of Finance, Université Lavalaffiliation not provided to SSRN, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 321 (105,429)
Citation 1

Abstract:

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Wold decomposition, temporal aggregation, persistence heterogeneity, forecasting

2.

Isometric Operators on Hilbert Spaces and Wold Decomposition of Stationary Time Series

Decisions in Economics and Finance 39(2), 203-234, 2016
Number of pages: 34 Posted: 06 May 2015 Last Revised: 21 Sep 2018
Federico Severino
Université Lavalaffiliation not provided to SSRN
Downloads 108 (279,799)
Citation 2

Abstract:

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isometry, Hilbert space, Wold decomposition, stationary time series.

3.

Long-Term Risk with Stochastic Interest Rates

Number of pages: 55 Posted: 13 Feb 2018 Last Revised: 28 Mar 2019
Federico Severino
Université Lavalaffiliation not provided to SSRN
Downloads 97 (300,731)

Abstract:

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long-term risk, stochastic interest rates, yields, forward measure, pricing kernel