Gianmarco Vacca
Names
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Gianmarco |
| last: |
Vacca |
Identifer
Contact
Affiliations
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Università Cattolica del Sacro Cuore
/ Dipartimenti e Istituti di Scienze Economiche
/ Dipartimento di Politica Economica
Research profile
author of:
- Modeling Portfolios with Leptokurtic and Dependent Risk Factors (RePEc:arx:papers:2106.04218)
by Piero Quatto & Gianmarco Vacca & Maria Grazia Zoia - Bootstrap cointegration tests in ARDL models (RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002310)
by Bertelli, Stefano & Vacca, Gianmarco & Zoia, Maria - A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors (RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001443)
by Quatto, Piero & Vacca, Gianmarco & Zoia, Maria Grazia - Kurtosis analysis in GARCH models with Gram–Charlier-like innovations (RePEc:eee:ecolet:v:183:y:2019:i:c:33)
by Vacca, Gianmarco & Zoia, Maria Grazia - Dating financial bubbles via online multiple testing procedures (RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006104)
by Genoni, Giulia & Quatto, Piero & Vacca, Gianmarco - Sentiment dynamics and volatility: A study based on GARCH-MIDAS and machine learning (RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002083)
by Riso, Luigi & Vacca, Gianmarco - Forecasting in GARCH models with polynomially modified innovations (RePEc:eee:intfor:v:38:y:2022:i:1:p:117-141)
by Vacca, Gianmarco & Zoia, Maria Grazia & Bagnato, Luca - Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-Like Expansions (RePEc:gam:jrisks:v:8:y:2020:i:4:p:123-:d:445689)
by Maria Grazia Zoia & Gianmarco Vacca & Laura Barbieri - %ERA: A SAS Macro for Extended Redundancy Analysis (RePEc:jss:jstsof:v:074:c01)
by Lovaglio, Pietro Giorgio & Vacca, Gianmarco - Human capital estimation in higher education (RePEc:spr:advdac:v:10:y:2016:i:4:d:10.1007_s11634-016-0259-5)
by Pietro Giorgio Lovaglio & Gianmarco Vacca & Stefano Verzillo - Detecting bubbles via FDR and FNR based on calibrated p-values (RePEc:taf:quantf:v:24:y:2024:i:10:p:1463-1491)
by Giulia Genoni & Piero Quatto & Gianmarco Vacca