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Paolo Foschi

Associate Professor

Department of Statistical Sciences "Paolo Fortunati"

Academic discipline: SECS-S/06 Mathematical Methods of Economics, Finance and Actuarial Sciences

Publications

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Publications prior to 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. 


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