Piazza dei Cavalieri, 7
Pisa, 56126
Italy
http://homepage.sns.it/marmi/
Scuola Normale Superiore
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Valuation Ratios, Long Run Stock Market Returns
market efficiency, portfolio selection, bootstrap
financial innovation, leverage, diversification, endogenous risk, financial crises
credit ratings, market implied ratings, support vector machine, machine learning, credit default swaps, default risk
systemic risk, derivatives, credit default swap
Credit Default Swaps, Credit Rating, sovereign yields, rating agencies
price cojumps, Hawkes processes, systemic shocks, high frequency data
Stochastic Discounted Cash Flow, Asset Valuation, Valuation Uncertainty, Portfolio Strategy
Stochastic Discounted Cash Flow, Valuation Uncertainty, Valuation Factor, Kalman Filter.
volatility of volatility, non-parametric estimation, central limit theorem, stochastic volatility, Fourier analysis, high-frequency data.
(powers of) volatility estimation, quarticity, central limit theorem, Fourier analysis, high frequency data
systemic risk, backward-looking expectations, leverage cycles, financial innovations, policy, autoregressive dynamics, random dynamical systems
population dynamics, delays dynamical systems, strange attractor, chaotic livestock commodities cycles, Sinkhorn distance, statistical distances
