FREZZA, MASSIMILIANO

FREZZA, MASSIMILIANO  

DIPARTIMENTO DI METODI E MODELLI PER L'ECONOMIA, IL TERRITORIO E LA FINANZA  

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A distribution-based method to gauge market liquidity through scale invariance between investment horizons 2019 Bianchi, Sergio; Pianese, Augusto; Frezza, Massimiliano
A distribution-based method to gauge market liquidity through scale invariance between investment horizons 2020 Bianchi, Sergio; Pianese, Augusto; Frezza, Massimiliano
A fractal-based approach for modeling stock price variations 2018 Frezza, M.
Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process 2022 Frezza, M.; Bianchi, S.; Pianese, Augusto
Fractal analysis of market (in)efficiency during the COVID-19 2021 Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto
Fractal stock markets: International evidence of dynamical (in)efficiency 2017 Bianchi, Sergio; Frezza, Massimiliano
Goodness of fit assessment for a fractal model of stock markets 2014 Frezza, M.
Liquidity, Efficiency and the 2007-2008 Global Financial Crisis 2018 Bianchi, Sergio; FREZZA, MASSIMILIANO
L’impatto della pandemia Covid-19 sull’efficienza dei mercati azionari 2020 Bianchi, Sergio; Frezza, Massimiliano; Pianese, Augusto
Modeling the time-changing dependence in stock markets 2012 Frezza, Massimiliano
Modelling H-Volatility with Fractional Brownian Bridge 2022 Bianchi, Sergio; Frezza, Massimiliano; Pianese, Augusto; Palazzo Anna, Maria
Nonlinearity of the volume–volatility correlation filtered through the pointwise Hurst–Hölder regularity 2023 Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto
Rough volatility via the Lamperti transform 2023 Bianchi, Sergio; Angelini, Daniele; Pianese, Augusto; Frezza, Massimiliano
Simulation of Historical Time Series Using MPRE, a Focus on Correlation in Squared Returns 2011 Pantanella, Alexandre; Frezza, Massimiliano
Stochastic dominance in the outer distributions of the alfa-efficiency domain 2020 Bianchi, Sergio; Pianese, Augusto; Frezza, Massimiliano; Palazzo, Anna Maria
The volume-volatility relationship: A fractal analysis for a stock index 2020 Frezza, Massimiliano