Maria Elena De Giuli

University of Pavia - Department of Political Economy and Quantitative Methods

27100 Pavia

Italy

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 21,082

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Top 21,082

in Total Papers Downloads

2,218

CITATIONS

2

Scholarly Papers (5)

1.

A New Approach for Firm Value and Default Probability Estimation Beyond Merton Models

Computational Economics, Forthcoming
Number of pages: 23 Posted: 12 Dec 2007
Dean Fantazzini, Maria Elena De Giuli and Mario Maggi
Moscow School of Economics, Moscow State University, University of Pavia - Department of Political Economy and Quantitative Methods and University of Pavia - Department of Economics and Management
Downloads 1,011 (20,970)
Citation 1

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Firm value, No arbitrage, Structural models, Bivariate option, Copula, Default Probability

2.

Enhanced Credit Default Models for Heterogeneous SME Segments

Journal of Financial Transformation, Forthcoming
Number of pages: 48 Posted: 24 Mar 2009
Silvia Figini, Maria Elena De Giuli, Paolo Giudici and Dean Fantazzini
University of Pavia, University of Pavia - Department of Political Economy and Quantitative Methods, University of Pavia - Faculty of Economics and Moscow School of Economics, Moscow State University
Downloads 616 (41,757)
Citation 1

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Longitudinal models, Bayesian panel models, Credit risk, Default probability, Loss function

3.

A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting

Applied Economics, Forthcoming
Number of pages: 18 Posted: 08 Apr 2008 Last Revised: 23 Dec 2011
Moscow School of Economics, Moscow State University, University of Pavia - Department of Political Economy and Quantitative Methods, University of Pavia - Department of Economics and Management, University of Pavia - Department of Economics and Management and affiliation not provided to SSRN
Downloads 591 (44,174)

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Forecasting, Industrial Production, Copula, VAR models, Vector Auto Regression

4.

Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study

Applied Financial Economics, Forthcoming
Posted: 20 Sep 2011 Last Revised: 02 Oct 2017
Carluccio Bianchi, Maria Elena De Giuli, Dean Fantazzini and Mario Maggi
University of Pavia - Department of Economics and Management, University of Pavia - Department of Political Economy and Quantitative Methods, Moscow School of Economics, Moscow State University and University of Pavia - Department of Economics and Management

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Copulas, Copula-GARCH models, Maximum Likelihood, Simulation, Small Sample Properties

5.

Copula-VAR and Copula-VAR-GARCH Modelling: Dangers for Value at Risk and Impulse Response Functions

THE RISK MODELING EVALUATION HANDBOOK, McGraw-Hill, pp. 321-338, 2010
Posted: 11 May 2010
Carluccio Bianchi, Maria Elena De Giuli, Mario Maggi and Dean Fantazzini
University of Pavia - Department of Economics and Management, University of Pavia - Department of Political Economy and Quantitative Methods, University of Pavia - Department of Economics and Management and Moscow School of Economics, Moscow State University

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