11573/1746759 - 2025 -
Kolmogorov–Smirnov estimation of self-similarity in long-range dependent fractional processes Angelini, Daniele; Bianchi, Sergio - 01a Articolo in rivista
paper: PHYSICA D-NONLINEAR PHENOMENA (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. - - issn: 0167-2789 - wos: (0) - scopus: (0)
11573/1742884 - 2025 -
A new tool to detect financial data scaling Bianchi, S.; Pianese, A.; Frezza, M.; Angelini, D. - 01a Articolo in rivista
paper: FRONTIERS IN APPLIED MATHEMATICS AND STATISTICS (Lausanne : Frontiers Media S.A., 2015-) pp. - - issn: 2297-4687 - wos: WOS:001435085200001 (0) - scopus: 2-s2.0-85219473044 (0)
11573/1716010 - 2024 -
Fair Volatility in the Fractional Stochastic Regularity Model Bianchi, Sergio; Angelini, Daniele; Frezza, Massimiliano; Maria Palazzo, Anna; Pianese, Augusto - 04b Atto di convegno in volume
conference: 11th International Conference MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE (University of Le Havre)
book: MAF 2024, Mathematical and Statistical Methods for Actuarial Sciences and Finance, - ()
11573/1680387 - 2023 -
Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model Angelini, Daniele; Bianchi, Sergio - 01a Articolo in rivista
paper: CHAOS, SOLITONS & FRACTALS (Amsterdam : Elsevier Science) pp. - - issn: 1873-2887 - wos: WOS:001014380100001 (4) - scopus: 2-s2.0-85159763269 (4)
11573/1689682 - 2023 -
Rough volatility via the Lamperti transform Bianchi, Sergio; Angelini, Daniele; Pianese, Augusto; Frezza, Massimiliano - 01a Articolo in rivista
paper: COMMUNICATIONS IN NONLINEAR SCIENCE & NUMERICAL SIMULATION (Center for Nonlinear Science, Peking University) pp. - - issn: 1007-5704 - wos: WOS:001088334900001 (5) - scopus: 2-s2.0-85173619422 (5)