Federico Cortese
PhD in Statistics, Università degli Studi di Milano-Bicocca, Italy; MSc Finance and Insurance, Università della Calabria - Rende (CS), Italy; BSc Mathematics, Università della Calabria - Rende (CS), Italy.
Research Activity
Hidden Markov Models, Time-Series Analysis, Machine Learning, Unsupervised Learning, Cluster Analysis
Projects
-
Maximum likelihood estimation of regime switching Student-t copula model (2024)
Cortese, Federico P.; Pennoni, Fulvia; Bartolucci, Francesco;
International Statistical Review
-
What drives cryptocurrency returns? A sparse statistical jump model approach (2023)
Cortese, Federico P.; Kolm, Petter N.; Lindstrom, Erik;
Springer Digital Finance -
Generalized information criteria for sparse statistical jump models (2023)
Cortese, Federico P.; Kolm, Petter N.; Lindstrom, Erik;
Symposium i anvendt statistik - Copenhagen Business School -
A regime switching Student-t copula model for the analysis of cryptocurrencies data (2022)
Cortese, Federico P.; Bartolucci, Francesco; Pennoni, Fulvia;
Book of Abstracts, Mathematical and Statistical Methods for Actuarial Sciences and Finance -
Hidden Markov and regime switching copula models for state allocation in multiple
time-series (2021)
Bartolucci, Francesco; Pennoni, Fulvia; Cortese, Federico P.
Book of abstracts and short papers, CLADAG, Firenze University Press -
Tail dependence in financial markets: A dynamic copula approach (2019)
Cortese, Federico P.
Risks
