Erindi Allaj
University of Parma(IT)
Publications by Year
Research Areas
Financial Risk and Volatility Modeling, Financial Markets and Investment Strategies, Stochastic processes and financial applications, Risk and Portfolio Optimization, Complex Systems and Time Series Analysis
Most-Cited Works
- → Two simple measures of variability for categorical data(2017)18 cited
- → The Black–Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation(2020)13 cited
- → Early Warning Systems for identifying financial instability(2022)11 cited
- → The Black-Litterman Model and Views from a Reverse Optimization Procedure: An Out-of-Sample Performance Evaluation(2017)10 cited
- → The Black–Litterman model: a consistent estimation of the parameter tau(2013)5 cited
- → On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?(2019)4 cited
- → Identifying the number of latent factors of stochastic volatility models(2024)3 cited
- → Measuring variability and association for categorical data(2020)3 cited
- → An Early Warning System for Identifying Financial Instability(2020)2 cited