Matteo Grigoletto

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The Meixner distribution is a special case of the generalized z-distributions. Its properties make it potentially very useful in modeling short-term financial returns. This article proposes an algorithm to simulate the Meixner distribution, and shows how to obtain maximum likelihood estimators of its parameters. A GARCH-type model is then assessed, assuming(More)
We propose a method for fitting semiparametric models such as the proportional hazards (PH), additive risks (AR), and proportional odds (PO) models. Each of these semiparametric models implies that some transformation of the conditional cumulative hazard function (at each t) depends linearly on the covariates. The proposed method is based on nonparametric(More)
Riassunto: L'obiettivo del presente lavorò e studiare il comportamento di una nuova procedura per la determinazione di regioni di previsione per processi autoregressivi mul-tidimensionali. Le regioni di previsione, basate sulla tecnica bootstrap, non fanno affi-damento su alcuna assunzione distributiva per i disturbi ed inoltre tengono conto della(More)
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