Arianna Agosto
Arianna Agosto
Post-doctoral Researcher, University of Pavia
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Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
A Agosto, G Cavaliere, D Kristensen, A Rahbek
Journal of Empirical Finance 38, 640-663, 2016
Variance matters (in stochastic dividend discount models)
A Agosto, E Moretto
Annals of Finance 11 (2), 283-295, 2015
Stochastic dividend discount model: covariance of random stock prices
A Agosto, A Mainini, E Moretto
Journal of Economics and Finance 43 (3), 552-568, 2019
Exploiting default probabilities in a structural model with nonconstant barrier
A Agosto, E Moretto
Applied Financial Economics 22 (8), 667-679, 2012
Spatial regression models to improve P2P credit risk management
A Agosto, P Giudici, T Leach
Frontiers in Artificial Intelligence 2, 6, 2019
Validation of PARX models for default count prediction
A Agosto, E Raffinetti
Frontiers in Artificial Intelligence 2, 9, 2019
Use of copulas for Value-At-Risk calculation and back-testing with an application to Italian data
A Arianna, A Mainini, E Moretto
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