Fabio Trojani - Pubblicazioni all'USI
Riviste scientifiche (con peer review)
- Audrino F., Trojani F.Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent. Journal of Financial Econometrics.
Link esterno - La Vecchia D., Trojani F.Infinitesimal Robustness for Diffusions. Journal of American Statistical Association.
- Gagliardini P., Porchia P., Trojani F. (2008). Ambiguity Aversion and the Term Structure of Interest Rates. Review of Financial Studies.
- Audrino F., Trojani F. (2006). Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets. Journal of Applied Econometrics 21, No. 3, 345-369..
Link esterno - Mancini L., Ronchetti E., Trojani F. (2005). Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models. Journal of the American Statistical Association, Vol. 100, 628-641.
Link esterno - Gagliardini P., Trojani F., Urga G. (2005). Robust GMM Tests for Structural Breaks. Journal of Econometrics, 129, 139-182.
- Leippold M., Trojani F., Vanini P. (2004). A Geometric Approach To Multiperiod Mean Variance Optimization of Assets and Liabilities. Journal of Economic Dynamics and Control, Volume 28, p. 1079-1113.
Link esterno - Ortelli C., Trojani F. (2004). Robust Efficient Method of Moments. Journal of Econometrics, forthcoming.
Link esterno - Trojani F., Vanini P. (2004). Robustness and Ambiguity Aversion in General Equilibrium. Review of Finance, 2, p. 279-324.
Link esterno - Trojani F., Vanini P., Vignola L. (2003). A Note on the Three-Portfolios Matching Problem. European Financial Management Journal, Vol. 9, 1, March.
Link esterno - Leippold M., Trojani F., Vanini P. (2003). Efficient Portfolios with Endogenous Liabilities. Submitted Annals of Operations Research, 2nd round.
Link esterno - Dell Aquila R., Ronchetti E., Trojani F. (2003). Robust GMM Analysis of Models for the Short Rate Process. Journal of Empirical Finance, Vol. 10, pp. 373-397.
Link esterno - Trojani F., Vanini P. (2002). A Note on Robustness in Merton´s Model of Intertemporal Consumption and Portfolio Choice. Journal of Economic Dynamics and Control, 26, 423-435.
Link esterno - Trojani F., Vanini P. (2002). A note on robustness in Merton´s model of intertemporal consumption and portfolio choice . Journal Economic Dynamics and Control, Vol. 26, Issue 3, March, 423-435 .
- Trojani F., Vanini P. (2002). Perturbative Solutions of Hamilton Jacobi Bellman Equations in Robust Decision Making. Submitted Mathematical Finance.
Link esterno - Ronchetti E., Trojani F. (2001). Robust Inference with GMM Estimators. Journal of Econometrics, Vol. 101, pp. 37 - 69.
Link esterno - Barone-Adesi G., Gagliardini P., Trojani F. (2001). Short-Term Volatility Timing Reduces Downside Risk. International Journal of Finance, 13, Nr. 2, 1794-1825.
Contributi a libri
- Ortelli C., Trojani F. (2003). Robust Efficient Method of Moments Estimation. Theory and Applications of Recent Robust Methods, M. Hubert, G. Pison, A. Struyf and S. Van Aelst eds., Series: Statistics for Industry and Technology, Birkhauser, Basel.
Link esterno - Trojani F., Vanini P. (2002). A Review of Perturbative Approaches for Robust Optimal Portfolio Problems. Computational Methods in Decision-Making, Economics and Finance\', Kluwer Applied Optimization Series.
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Conferenze con proceedings
- Leippold M., Trojani F., Vanini P. (2002). Optimization of Assets and Liabilities. Proceedings of the International Scientific School \'\'Modelling and Analysis of Safety, Risk and Quality in Complex Systems\'\', Saint-Petersburg, Russian Foundation of Fundamental Research.
Link esterno - Trojani F. (2001). Robust Statistical Analysis of Financial Models for the Short Term Rate. Bulletin of the International Statistical Institute, 53rd ISI Session Proceedings.
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Working papers
- La Vecchia D., Ronchetti E., Trojani F. (2009). Higher--Order Robustness. Workin Paper.
Link esterno - Piatti A., Trojani F., Zaffalon M. (2006). Learning from Quasi Perfect Observations under Prior Ignorance. Submitted.
- Piatti A., Zaffalon M., Trojani F., Hutter M. (2006). Learning under Prior Ignorance. Submitted.
- Mancini L., Trojani F. (2004). Robust Volatility Estimation for VaR Predictions.
- Ferretti R., Trojani F. (2003). Existence and Regularity of Optimal Policies in Partial Equilibrium Economies. Preprint.
Conferenze
- Trojani F. (2003). Equilibrium Impact of Value at Risk Regulation. International Workshop on Risk and Regulation, Collegium Budapest, Budapest.
Link esterno - Trojani F. (2003). Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets. Econometric Symposium on New Frontiers in Financial Volatility Modelling, Florence.
Link esterno - Trojani F. (2003). Model Uncertainty, Bond Pricing and the non-Robustness of Affine Term Structures. Annual Meeting of the European Finance Association, Glasgow.
Link esterno - Trojani F. (2003). Model Uncertainty, Bond Pricing and the non-Robustness of Affine Term Structures. CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland.
Link esterno - Trojani F. (2003). Model Uncertainty, Bond Pricing and the non-Robustness of Affine Term Structures. European Mathematical Society Conference on Applied Mathematics and Applications of Mathematics.
Link esterno - Trojani F. (2003). Robust Efficient Method of Moments. International Workshop on Econometric Time Series Analysis - Methods and Applications, University of Linz, Austria.
Link esterno - Trojani F. (2003). Robust Efficient Method of Moments Estimation. International Conference on Robust Statistics, Antwerp.
Link esterno - Trojani F. (2003). Saddlepoint Approximations and Test Statistics for Accurate Finite Sample GMM Inference in overidentified Moment Conditions Models. European Meeting of the Econometric Society, Stockholm.
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