vai alle Pubblicazioni
Pubblicazioni antecedenti il 2004
P. Foschi and A. Pascucci, Calibration of the Hobson &
Rogers model: empirical tests, Computational Statistics and Data
Analysis (in press).
P. Foschi and A. Pascucci, Path dependent volatility, Decision
in Economics and Finance (2008), 31(1):13-32.
P. Foschi and A. Pascucci, Kolmogorov equations arising in
finance, direct and inverse problems, Lecture Notes of Seminario
Interdisciplinare di Matematica.
M. Di Francesco, P. Foschi and A. Pascucci, Analysis of an
uncertain volatility model, Journal of Applied Mathematics and
Decision Sciences (2006).
P. Foschi and E. J. Kontoghiorghes, A computational ly efficient
method for solving SUR models with orthogonal regressors,
Linear Algebra and its Applications
(2004), 388(1):193-200.
P.I. Yanev, P. Foschi and E. J. Kontoghiorghes, Algorithms for
computing the QR decomposition of a set of matrices with
common columns, Algoritmica, (2004) 39(1), 83-93.
P. Foschi and E. J. Kontoghiorghes, Estimating seemingly
unrelated regression models with vector autoregressive
disturbances, Journal of Economic Dynamics & Control
(2003), 28(1), 27-44.
P. Foschi, D. A. Belsley, and E. J. Kontoghiorghes, A
comparative study of algorithms for solving seemingly unrelated
regressions models, Computational Statistics and Data Analysis
(2003), 44(1-2), 3-35.
P. Foschi and E. J. Kontoghiorghes, Estimation of VAR models:
computational aspects, Computational Economics (2003), 21(1),
3-22.
P. Foschi and E. J. Kontoghiorghes, Seemingly unrelated
regression models with unequal size of observations:
computational aspects, Computational Statistics and Data
Analysis (2002), 41(1), 211-229.
C.G. Broyden and P. Foschi, Duality in conjugate gradient
methods, Numerical Algorithms (1999), 22(2), 113–128.
P. Foschi, D. Belsley and E.J. Kontoghiorghes, Estimation of
seemingly unrelated regression and vector autoregressive
models: computational aspects, In E.J. Kontoghiorghes and D.
Belsley, Editors, Handbook of Computational Econometrics,
of Handbooks series of Computing and Statistics with
Applications, Elsevier, 2008. (forthcoming).
P. Foschi, L. Garin, and E. J. Kontoghiorghes, Numerical and
Computational strategies for solving SUR models.,
Computational Methods in Decision-Making, Economics and
Finance (E.J. Kontoghiorghes, B. Rustem, and S. Siokos,
eds.), Applied Optimization, Kluwer Academic Publishers,
2001.
E. J. Kontoghiorghes and P. Foschi, Algorithms for solving SURE
models, Lecture Notes in Computer Science, Springer Verlag,
2000, pp. 490–497.
