Giuliano De Rossi

Quantiles, expectiles and splines

Giuliano De Rossi, Andrew Harvey · Journal of Econometrics · 2009 · 104 citations · Full text

Engineering, Statistical Inference, Probability Theory +3

Machine Learning for Active Portfolio Management

Söhnke M. Bartram, Jürgen Branke, Giuliano De Rossi et al. · The Journal of Financial Data Science · 2021 · 36 citations

Machine Learning, Portfolio Management, Reinforcement Learning (Educational Psychology) +21

Maximum Likelihood Estimation of the Cox–Ingersoll–Ross Model Using Particle Filters

Giuliano De Rossi · Computational Economics · 2010 · 31 citations

Parameter Estimation, Engineering, Maximum Likelihood Estimation +5

Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure

Giuliano De Rossi · Journal of Empirical Finance · 2003 · 31 citations

State Estimation, Nonlinear System Identification, Parameter Identification +8

Time-Varying Quantiles

Andrew Harvey, Giuliano De Rossi · Apollo (University of Cambridge) · 2006 · 27 citations · Full text