Fabrizio Laurini

Available identifiers

Publication	Date of Publication	Type
Reliable Robust Regression Diagnostics	2023-11-10	Paper
Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints	2023-06-27	Paper
Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes	2022-12-09	Paper
Covariance matrices of S robust regression estimators	2022-03-24	Paper
https://portal.mardi4nfdi.de/entity/Q5856805	2021-03-29	Paper
The extremal index for GARCH(1,1) processes	2016-01-25	Paper
Robust estimation of efficient mean-variance frontiers	2014-04-01	Paper
Smoothing sample extremes: the mixed model approach	2010-04-01	Paper
A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity	2010-03-30	Paper
Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures	2009-03-17	Paper
Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes	2006-01-27	Paper
Analysis of economic time series: effects of extremal observations on testing heteroscedastic components	2005-05-20	Paper
New estimators for the extremal index and other cluster characteristics	2004-09-24	Paper

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