| What drives cryptocurrency returns? A sparse statistical jump model approach FP Cortese, PN Kolm, E Lindström Digital Finance 5 (3), 483-518, 2023 | 10 | 2023 |
| Generalized information criteria for sparse statistical jump models F Cortese, P Kolm, E Linstrom Symposium i anvendt statistik-Copenhagen Business School, 68-78, 2023 | 9 | 2023 |
| Tail dependence in financial markets: A dynamic copula approach FP Cortese Risks 7 (4), 116, 2019 | 7 | 2019 |
| Generalized Information Criteria for High-Dimensional Sparse Statistical Jump Models FP Cortese, PN Kolm, E Lindstrom Available at SSRN 4774429, 2024 | 6 | 2024 |
| Statistical jump model for mixed-type data with missing data imputation FP Cortese, A Pievatolo arXiv preprint arXiv:2409.01208, 2024 | 1 | 2024 |
| Spatio-Temporal Jump Model for Urban Thermal Comfort Monitoring FP Cortese, A Pievatolo arXiv preprint arXiv:2411.09726, 2024 | | 2024 |
| Modelling and forecasting correlated failure F Cortese, A Pievatolo 2nd Italian Conference on Economic Statistics (ICES 2024), Statistical …, 2024 | | 2024 |
| Statistical Modeling and Temporal Clustering of Multivariate Time-Series with Applications to Financial Data F Cortese Università degli Studi di Milano-Bicocca, 2024 | | 2024 |
| Investigating Time-Varying Correlations between Cryptocurrency and Financial Markets: A Gas-Based Approach K LAWUOBAHSUMO, A Leccadito, FP Cortese, B Algieri Available at SSRN 5007834, 2024 | | 2024 |
| Maximum Likelihood Estimation of Multivariate Regime Switching Student‐t Copula Models FP Cortese, F Pennoni, F Bartolucci International Statistical Review 92 (3), 327-354, 2024 | | 2024 |
| A Regime switching Student-t copula model for the analysis of cryptocurrencies data F Cortese, F Bartolucci, F Pennoni Book of Abstracts Mathematical and Statistical Methods for Actuarial …, 2022 | | 2022 |
| Hidden Markov and regime switching copula models for state allocation in multiple time-series F Bartolucci, F Pennoni, FP Cortese CLADAG, 36, 2021 | | 2021 |
Petter KolmNYU Courant Institute of Mathematical SciencesVerified email at nyu.edu
