Edit Profile (opens in new tab) Cerqueti, Roy Compute Distance To: Compute Author ID: cerqueti.roy Published as: Cerqueti, Roy External Links: ORCID · dblp Documents Indexed: 54 Publications since 2007 1 Contribution as Editor Co-Authors: 43 Co-Authors with 53 Joint Publications 337 Co-Co-Authors all top 5 Co-Authors 2 single-authored 7 Castellano, Rosella 6 Falbo, Paolo 6 Pelizzari, Cristian 5 Coppier, Raffaella 5 Costantini, Mauro 5 Rotundo, Giulia 5 Ventura, Marco 3 Guastaroba, Gianfranco 3 Lupi, Claudio 2 Ausloos, Marcel R. 2 Bovi, Maurizio 2 Clemente, Gian Paolo 2 D’Ecclesia, Rita Laura 2 Giacalone, Massimiliano 2 Grassi, Rosanna 2 Mattera, Raffaele 2 Spizzichino, Fabio L. 1 Argentiero, Amedeo 1 Bernardi, Mauro 1 Brianzoni, Serena 1 Ciciretti, Rocco 1 Correani, Luca 1 Dalò, Ambrogio 1 De Santis, Emilio 1 Fanelli, Viviana 1 Ficcadenti, Valerio 1 Foschi, Rachele 1 Garofalo, Giuseppe 1 Girardi, Alessandro 1 Gutierrez, Luciano 1 Levantesi, Susanna 1 Maggi, Mario Alessandro 1 Marazzina, Daniele 1 Michetti, Elisabetta 1 Nicolosi, Marco 1 Palestini, Arsen 1 Piga, Gustavo 1 Quaranta, Anna Grazia 1 Ricca, Federica 1 Sabatini, Fabio 1 Scozzari, Andrea 1 Spinesi, Luca 1 Westerlund, Joakim all top 5 Serials 7 Annals of Operations Research 5 European Journal of Operational Research 4 IMA Journal of Management Mathematics 2 Chaos, Solitons and Fractals 2 Information Sciences 2 International Journal of Approximate Reasoning 2 Journal of Statistical Mechanics: Theory and Experiment 1 Physica A 1 Applied Mathematics and Computation 1 Fuzzy Sets and Systems 1 Journal of Optimization Theory and Applications 1 Insurance Mathematics & Economics 1 Statistics & Probability Letters 1 Social Choice and Welfare 1 Statistics 1 Optimization 1 Journal of Economics 1 Economics Letters 1 Journal of Global Optimization 1 Communications in Statistics. Theory and Methods 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Computational Economics 1 Statistical Papers 1 International Transactions in Operational Research 1 The Econometrics Journal 1 Journal of Applied Statistics 1 OR Spectrum 1 Computational Management Science 1 New Mathematics and Natural Computation 1 Pacific Journal of Optimization 1 Mathematics and Financial Economics 1 Optimization Letters 1 Applied Mathematical Sciences (Ruse) 1 The B. E. Journal of Theoretical Economics all top 5 Fields 35 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 20 Statistics (62-XX) 11 Operations research, mathematical programming (90-XX) 10 Probability theory and stochastic processes (60-XX) 4 Linear and multilinear algebra; matrix theory (15-XX) 4 Systems theory; control (93-XX) 3 Statistical mechanics, structure of matter (82-XX) 1 General and overarching topics; collections (00-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Numerical analysis (65-XX) 1 Computer science (68-XX) 1 Geophysics (86-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 29 Publications have been cited 63 times in 53 Documents Cited by ▼ Year ▼ Mean-variance portfolio selection in presence of infrequently traded stocks. Zbl 1304.91183Castellano, Rosella; Cerqueti, Roy 10 2014 A tabu search heuristic procedure in Markov chain bootstrapping. Zbl 1292.90134Cerqueti, Roy; Falbo, Paolo; Guastaroba, Gianfranco; Pelizzari, Cristian 4 2013 Financing policies via stochastic control: a dynamic programming approach. Zbl 1250.90059Cerqueti, Roy 4 2012 Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach. Zbl 1241.91128Castellano, Rosella; Cerqueti, Roy 4 2012 Relevant states and memory in Markov chain bootstrapping and simulation. Zbl 1394.90553Cerqueti, Roy; Falbo, Paolo; Pelizzari, Cristian 4 2017 Economic interactions and social tolerance: a dynamic perspective. Zbl 1284.91484Cerqueti, Roy; Correani, Luca; Garofalo, Giuseppe 3 2013 The perspective of a bank in granting credits: an optimization model. Zbl 1254.90134Cerqueti, Roy; Quaranta, Anna Grazia 3 2012 A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts. Zbl 1231.91152Cerqueti, Roy; Foschi, Rachele; Spizzichino, Fabio 3 2009 Exploring the financial risk of a temperature index: a fractional integrated approach. Zbl 1430.91107Castellano, Rosella; Cerqueti, Roy; Rotundo, Giulia 3 2020 Dynamic programming via measurable selection. Zbl 1161.90516Cerqueti, Roy 2 2009 Extension of dependence properties to semi-copulas and applications to the mean-variance model. Zbl 1284.62306Cerqueti, Roy; Spizzichino, Fabio 2 2013 Copulas, uncertainty, and false discovery rate control. Zbl 1453.62489Cerqueti, Roy; Lupi, Claudio 2 2018 Sustainable management of fossil fuels: a dynamic stochastic optimization approach with jump-diffusion. Zbl 1346.91175Castellano, Rosella; Cerqueti, Roy; Spinesi, Luca 2 2016 A game theoretical analysis of the impact of income inequality and ethnic diversity on fiscal corruption. Zbl 1348.91213Cerqueti, Roy; Coppier, Raffaella 2 2016 Optimal investment in research and development under uncertainty. Zbl 1332.90123Cerqueti, Roy; Marazzina, Daniele; Ventura, Marco 1 2016 On the asymptotic behaviour of random matrices in a multivariate statistical model. Zbl 1283.62114Cerqueti, Roy; Costantini, Mauro 1 2008 A dynamic stochastic model of asset pricing with heterogeneous beliefs. Zbl 1183.91115Brianzoni, Serena; Cerqueti, Roy; Michetti, Elisabetta 1 2010 Bayesian estimation and entropy for economic dynamic stochastic models: an exploration of overconsumption. Zbl 1415.91188Argentiero, Amedeo; Bovi, Maurizio; Cerqueti, Roy 1 2016 Forecasting macroeconomic fundamentals in economic crises. Zbl 1357.90098Bovi, Maurizio; Cerqueti, Roy 1 2016 Corruption, growth and ethnic fractionalization: a theoretical model. Zbl 1294.91132Cerqueti, Roy; Coppier, Raffaella; Piga, Gustavo 1 2012 Some nonparametric asymptotic results for a class of stochastic processes. Zbl 1203.62168Cerqueti, Roy; Costantini, Mauro 1 2010 Approximating multivariate Markov chains for bootstrapping through contiguous partitions. Zbl 1318.91081Cerqueti, Roy; Falbo, Paolo; Guastaroba, Gianfranco; Pelizzari, Cristian 1 2015 Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. Zbl 1464.62416Cerqueti, Roy; Giacalone, Massimiliano; Mattera, Raffaele 1 2020 The skew normal multivariate risk measurement framework. Zbl 07205160Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen 1 2020 Model-based fuzzy time series clustering of conditional higher moments. Zbl 07414900Cerqueti, Roy; Giacalone, Massimiliano; Mattera, Raffaele 1 2021 Long memory and crude oil’s price predictability. Zbl 1476.91142Cerqueti, Roy; Fanelli, Viviana 1 2021 Non-exchangeable copulas and multivariate total positivity. Zbl 1433.62131Cerqueti, Roy; Lupi, Claudio 1 2016 Cross ranking of cities and regions: population versus income. Zbl 1456.91087Cerqueti, Roy; Ausloos, Marcel 1 2015 A theory of misperception in a stochastic dominance framework and its application to structured financial products. Zbl 1473.91033Castellano, Rosella; Cerqueti, Roy 1 2018 Model-based fuzzy time series clustering of conditional higher moments. Zbl 07414900Cerqueti, Roy; Giacalone, Massimiliano; Mattera, Raffaele 1 2021 Long memory and crude oil’s price predictability. Zbl 1476.91142Cerqueti, Roy; Fanelli, Viviana 1 2021 Exploring the financial risk of a temperature index: a fractional integrated approach. Zbl 1430.91107Castellano, Rosella; Cerqueti, Roy; Rotundo, Giulia 3 2020 Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. Zbl 1464.62416Cerqueti, Roy; Giacalone, Massimiliano; Mattera, Raffaele 1 2020 The skew normal multivariate risk measurement framework. Zbl 07205160Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen 1 2020 Copulas, uncertainty, and false discovery rate control. Zbl 1453.62489Cerqueti, Roy; Lupi, Claudio 2 2018 A theory of misperception in a stochastic dominance framework and its application to structured financial products. Zbl 1473.91033Castellano, Rosella; Cerqueti, Roy 1 2018 Relevant states and memory in Markov chain bootstrapping and simulation. Zbl 1394.90553Cerqueti, Roy; Falbo, Paolo; Pelizzari, Cristian 4 2017 Sustainable management of fossil fuels: a dynamic stochastic optimization approach with jump-diffusion. Zbl 1346.91175Castellano, Rosella; Cerqueti, Roy; Spinesi, Luca 2 2016 A game theoretical analysis of the impact of income inequality and ethnic diversity on fiscal corruption. Zbl 1348.91213Cerqueti, Roy; Coppier, Raffaella 2 2016 Optimal investment in research and development under uncertainty. Zbl 1332.90123Cerqueti, Roy; Marazzina, Daniele; Ventura, Marco 1 2016 Bayesian estimation and entropy for economic dynamic stochastic models: an exploration of overconsumption. Zbl 1415.91188Argentiero, Amedeo; Bovi, Maurizio; Cerqueti, Roy 1 2016 Forecasting macroeconomic fundamentals in economic crises. Zbl 1357.90098Bovi, Maurizio; Cerqueti, Roy 1 2016 Non-exchangeable copulas and multivariate total positivity. Zbl 1433.62131Cerqueti, Roy; Lupi, Claudio 1 2016 Approximating multivariate Markov chains for bootstrapping through contiguous partitions. Zbl 1318.91081Cerqueti, Roy; Falbo, Paolo; Guastaroba, Gianfranco; Pelizzari, Cristian 1 2015 Cross ranking of cities and regions: population versus income. Zbl 1456.91087Cerqueti, Roy; Ausloos, Marcel 1 2015 Mean-variance portfolio selection in presence of infrequently traded stocks. Zbl 1304.91183Castellano, Rosella; Cerqueti, Roy 10 2014 A tabu search heuristic procedure in Markov chain bootstrapping. Zbl 1292.90134Cerqueti, Roy; Falbo, Paolo; Guastaroba, Gianfranco; Pelizzari, Cristian 4 2013 Economic interactions and social tolerance: a dynamic perspective. Zbl 1284.91484Cerqueti, Roy; Correani, Luca; Garofalo, Giuseppe 3 2013 Extension of dependence properties to semi-copulas and applications to the mean-variance model. Zbl 1284.62306Cerqueti, Roy; Spizzichino, Fabio 2 2013 Financing policies via stochastic control: a dynamic programming approach. Zbl 1250.90059Cerqueti, Roy 4 2012 Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach. Zbl 1241.91128Castellano, Rosella; Cerqueti, Roy 4 2012 The perspective of a bank in granting credits: an optimization model. Zbl 1254.90134Cerqueti, Roy; Quaranta, Anna Grazia 3 2012 Corruption, growth and ethnic fractionalization: a theoretical model. Zbl 1294.91132Cerqueti, Roy; Coppier, Raffaella; Piga, Gustavo 1 2012 A dynamic stochastic model of asset pricing with heterogeneous beliefs. Zbl 1183.91115Brianzoni, Serena; Cerqueti, Roy; Michetti, Elisabetta 1 2010 Some nonparametric asymptotic results for a class of stochastic processes. Zbl 1203.62168Cerqueti, Roy; Costantini, Mauro 1 2010 A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts. Zbl 1231.91152Cerqueti, Roy; Foschi, Rachele; Spizzichino, Fabio 3 2009 Dynamic programming via measurable selection. Zbl 1161.90516Cerqueti, Roy 2 2009 On the asymptotic behaviour of random matrices in a multivariate statistical model. Zbl 1283.62114Cerqueti, Roy; Costantini, Mauro 1 2008 all cited Publications top 5 cited Publications all top 5 Cited by 116 Authors 15 Cerqueti, Roy 4 Pelizzari, Cristian 3 Castellano, Rosella 3 Falbo, Paolo 2 Ausloos, Marcel R. 2 Di, Hao 2 Dickhaus, Thorsten 2 Ventura, Marco 1 Abdi, Me’raj 1 Anteneodo, Celia 1 Archibald, Thomas Welsh 1 Balakrishnan, Narayanaswamy 1 Barrera, Javiera 1 Bastos, João A. 1 Berenbrink, Petra 1 Bodnar, Taras 1 Boomsma, Trine Krogh 1 Bovi, Maurizio 1 Brandimarte, Paolo 1 Caiado, Jorge 1 Camps-Valls, Gustavo 1 Casanova-Mateo, C. 1 Casillas-Perez, David 1 Ceptureanu, Eduard Gabriel 1 Ceptureanu, Sebastian 1 Chernonog, Tatyana 1 Consigli, Giorgio 1 Coppier, Raffaella 1 Costantini, Mauro 1 Cuadra, Lucas 1 Del Ser, Javier 1 Dhesi, Gurjeet S. 1 Dindo, Pietro 1 Dou, Ronggang 1 Duarte Queirós, Silvio M. 1 Elsässer, Robert 1 Ernstsen, Rune Ramsdal 1 Fan, Qi 1 Fanelli, Viviana 1 Fang, Jia 1 Feuerriegel, Stefan 1 Franzoni, Simona 1 Giacalone, Massimiliano 1 Gordon, Julius 1 Gu, Mengdi 1 Guastaroba, Gianfranco 1 Ha, Youngmin 1 Han, Yu 1 Hazır, Öncü 1 He, Yuchang 1 Herrera-Cáceres, Carlos Antonio 1 Herteliu, Claudiu 1 Huang, Dong 1 Huang, Xiaoxia 1 Ibeas, Asier 1 Jamalizadeh, Ahad 1 Ji, Xiang 1 Jia, Bin 1 Khmelnitsky, Eugene 1 Kuhn, Daniel 1 Kurita, Kenichi 1 Li, Shoude 1 Li, Xingyi 1 Li, Zhongfei 1 Lian, Wenjuan 1 Liang, Liang 1 Liang, Yongquan 1 Liu, Shiwen 1 Lupi, Claudio 1 Madadi, Mohsen 1 Managi, Shunsuke 1 Mancinelli, Marco 1 Marazzina, Daniele 1 Mattera, Raffaele 1 Meng, Xiangsong 1 Moreno, Eduardo 1 Morvai, Gusztáv 1 Neumann, André 1 Ngare, Philip 1 Pan, Min 1 Parolya, Nestor R. 1 Peng, Daiyan 1 Piles, M. 1 Ponsi, Giorgia 1 Possani, Edgar 1 Ricca, Federica 1 Salcedo-Sanz, Sancho 1 Sauerwald, Thomas 1 Schmid, Wolfgang 1 Schmidt, Klaus Werner 1 Scozzari, Andrea 1 Sendova, Kristina P. 1 Sewe, Stanley 1 Shakeel, Bilal 1 Shi, Yingying 1 Spartà, Gaetano T. 1 Spinesi, Luca 1 Stabile, Gabriele 1 Steffen, Nico 1 Susam, Selim Orhun ...and 16 more Authors all top 5 Cited in 30 Serials 12 Annals of Operations Research 8 European Journal of Operational Research 2 Chaos, Solitons and Fractals 2 International Journal of Approximate Reasoning 2 OR Spectrum 2 International Journal of Systems Science. Principles and Applications of Systems and Integration 1 Journal of the Franklin Institute 1 Physics Reports 1 Journal of Computational and Applied Mathematics 1 Journal of Multivariate Analysis 1 Journal of Optimization Theory and Applications 1 Insurance Mathematics & Economics 1 Statistics 1 Algorithmica 1 Economics Letters 1 Journal of Global Optimization 1 Computational Economics 1 Mathematical Problems in Engineering 1 Discrete Dynamics in Nature and Society 1 Journal of Applied Statistics 1 CEJOR. Central European Journal of Operations Research 1 Quantitative Finance 1 Journal of Applied Mathematics 1 Hacettepe Journal of Mathematics and Statistics 1 Journal of Statistical Theory and Practice 1 AStA. Advances in Statistical Analysis 1 The B. E. Journal of Theoretical Economics 1 Probability Surveys 1 Dynamic Games and Applications 1 Dependence Modeling all top 5 Cited in 15 Fields 33 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 18 Statistics (62-XX) 14 Operations research, mathematical programming (90-XX) 9 Probability theory and stochastic processes (60-XX) 6 Systems theory; control (93-XX) 4 Calculus of variations and optimal control; optimization (49-XX) 2 General and overarching topics; collections (00-XX) 2 Numerical analysis (65-XX) 2 Computer science (68-XX) 1 Combinatorics (05-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Quantum theory (81-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Biology and other natural sciences (92-XX) Citations by Year