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publications

Tail Dependence in Financial Markets: A Dynamic Copula Approach

Cortese, Federico P. (2019). "Tail Dependence in Financial Markets: A Dynamic Copula Approach." Risks.

Risks, 2019

Hidden Markov and Regime Switching Copula Models for State Allocation in Multiple Time-Series

Bartolucci, Francesco; Pennoni, Fulvia; Cortese, Federico P. (2021). "Hidden Markov and Regime Switching Copula Models for State Allocation in Multiple Time-Series."

CLADAG, 2021

A Regime Switching Student-t Copula Model for the Analysis of Cryptocurrencies Data

Cortese, Federico P.; Bartolucci, Francesco; Pennoni, Fulvia (2022). "A Regime Switching Student-t Copula Model for the Analysis of Cryptocurrencies Data."

Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2022

What Drives Cryptocurrency Returns? A Sparse Statistical Jump Model Approach

Cortese, Federico P.; Kolm, Petter N.; Lindström, Erik (2023). "What Drives Cryptocurrency Returns? A Sparse Statistical Jump Model Approach." Digital Finance.

Digital Finance, 2023

Generalized Information Criteria for Sparse Statistical Jump Models

Cortese, Federico P.; Kolm, Petter N.; Lindström, Erik (2023). "Generalized Information Criteria for Sparse Statistical Jump Models."

Symposium i anvendt statistik, 2023

Modelling and Forecasting Correlated Failure Counts

Cortese, Federico P. (2024). "Modelling and Forecasting Correlated Failure Counts."

ICES 2024, 2024

Maximum Likelihood Estimation of Regime Switching Student-t Copula Model

Cortese, Federico P.; Pennoni, Fulvia; Bartolucci, Francesco (2024). "Maximum Likelihood Estimation of Regime Switching Student-t Copula Model." International Statistical Review.

International Statistical Review, 2024

Fuzzy Jump Model for Asteroids Co-orbital Regimes Identification

Cortese, Federico P.; Pievatolo, Antonio; Alessi, Elisa Maria (2025). "Fuzzy Jump Model for Asteroids Co-orbital Regimes Identification."

Statistics for Innovation II - Springer Proceedings, 2025

Fuzzy Jump Models for Soft and Hard Clustering of Multivariate Time Series Data

Cortese, Federico P.; Pievatolo, Antonio; Alessi, Elisa Maria (2025). "Fuzzy Jump Models for Soft and Hard Clustering of Multivariate Time Series Data." arXiv.

arXiv, 2025

Statistical Jump Model for Mixed-Type Data with Missing Data Imputation

Cortese, Federico P.; Pievatolo, Antonio (2025). "Statistical Jump Model for Mixed-Type Data with Missing Data Imputation." Advances in Data Analysis and Classification.

Advances in Data Analysis and Classification, 2025

A Statistical Sparse Jump Model for Automatic Identification of Dynamical Transitions in the Co-orbital Regime

Cortese, Federico P.; Di Ruzza, Sara; Alessi, Elisa Maria (2025). "A Statistical Sparse Jump Model for Automatic Identification of Dynamical Transitions in the Co-orbital Regime." Nonlinear Dynamics.

Nonlinear Dynamics, 2025

Thermal Comfort Monitoring of Urban Areas: A Spatio-Temporal Jump Model Approach

Cortese, Federico P.; Pievatolo, Antonio (2025). "Thermal Comfort Monitoring of Urban Areas: A Spatio-Temporal Jump Model Approach."

Innovation & Society - Statistics and Data Science for Evaluation and Quality, 2025

Infinite hidden Markov models for cylindrical data

Cortese, Federico P.; Rossini, Luca (2026). "Infinite hidden Markov models for cylindrical data." Statistics & Probability Letters.

Statistics & Probability Letters, 2026

Generalized Information Criteria for High-Dimensional Sparse Statistical Jump Models

Cortese, Federico P.; Kolm, Petter N.; Lindström, Erik (2026). "Generalized Information Criteria for High-Dimensional Sparse Statistical Jump Models." AStA: Advances in Statistical Analysis.

AStA: Advances in Statistical Analysis, 2026

A comparison between initialization strategies for the infinite hidden Markov model

Cortese, Federico P.; Rossini, L. (2026). "A comparison between initialization strategies for the infinite hidden Markov model." Computational Statistics and Data Analysis.

Computational Statistics and Data Analysis, 2026

Robust State-Conditional Feature-Weighted Jump Models for Temporal Clustering

Cortese, Federico P.; Farcomeni, Alessio (2026). "Robust State-Conditional Feature-Weighted Jump Models for Temporal Clustering." arXiv.

arXiv, 2026

Spatio-Temporal Jump Model for Urban Thermal Comfort Monitoring

Cortese, Federico P.; Pievatolo, Antonio (2026). "Spatio-Temporal Jump Model for Urban Thermal Comfort Monitoring." Stochastic Environmental Research and Risk Assessment.

Stochastic Environmental Research and Risk Assessment, 2026

Fuzzy network jump models for soft dynamic clustering of graph-structured data

Cortese, Federico P. (2026). "Fuzzy network jump models for soft dynamic clustering of graph-structured data." arXiv.