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Fabio Trojani

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Related publications (3)

Please note that this is not a complete list of this person’s publications. It includes only semantically relevant works. For a full list, please refer to Infoscience.

Special Issue on Dimensionality Reduction, Learning, and Machines

Damir Filipovic, Fabio Trojani

OXFORD UNIV PRESS2021

Robust Value at Risk Prediction

Loriano Mancini, Fabio Trojani

This paper proposes a robust semiparametric bootstrap method to estimate predictive distributions of GARCH-type models. The method is based on a robust estimation of parametric GARCH models and a robustified resampling scheme for GARCH residuals that contr ...

Oxford University Press2011

Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models

Loriano Mancini, Fabio Trojani

This paper studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally Gauss ...

2005