Volume 299, Issue 1-2 | Annals of Operations Research

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Volume 299, Issue 1-2

April 2021

Recent Developments in Financial Modelling and Risk Management. Editors: Rita L. D’Ecclesia, Roy Cerqueti, and Susanna Levantesi

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56 articles in this issue

Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
Matthew Norton
Valentyn Khokhlov
Stan Uryasev
S.I.: Recent Developments in Financial Modeling and Risk Management 25 October 2019 Pages: 1281 - 1315
Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?
Massimo Guidolin
Manuela Pedio
S.I.: Recent Developments in Financial Modeling and Risk Management 06 February 2020 Pages: 1317 - 1356
Atheoretical Regression Trees for classifying risky financial institutions
Carmela Cappelli
Francesca Di Iorio
Pierpaolo D’Urso
S.I.: Recent Developments in Financial Modeling and Risk Management 14 November 2019 Pages: 1357 - 1377
Trimmed fuzzy clustering of financial time series based on dynamic time warping
Pierpaolo D’Urso
Livia De Giovanni
Riccardo Massari
S.I.: Recent Developments in Financial Modeling and Risk Management 18 July 2019 Pages: 1379 - 1395
Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
Gurjeet Dhesi
Bilal Shakeel
Marcel Ausloos
S.I. : Recent Developments in Financial Modeling and Risk Management Open access 23 July 2019 Pages: 1397 - 1410
The multivariate mixture dynamics model: shifted dynamics and correlation skew
Damiano Brigo
Camilla Pisani
Francesco Rapisarda
S.I.: Recent Developments in Financial Modeling and Risk Management Open access 26 April 2019 Pages: 1411 - 1435