Research papers: (available at SSRN)
Books and special issues:
- Using economic and financial information for stock selection, Computational Management Science 5 (2008) 317-335, (with I. Roko), available at SSRN
- A Data-Driven Optimization Heuristic for Downside Risk
Minimization, The Journal of Risk 8 (3) (2006) 1-18, (with E. Këllezi and H. Hysi), available at SSRN
- An Application of Extreme Value Theory for Measuring
Financial Risk, Computational Economics 27(2-3) (2006) 207-228,
(with E. Këllezi). [
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- A Global Optimization Heuristic for Estimating Agent Based
Models, Computational Statistics and Data Analysis 42 (2003)
299-312, (with P. Winker). [
- Solving Finite Difference Schemes Arising in Trivariate
Option Pricing, Journal of Economic Dynamics and Control 26
(2002) 1499-1515, (with E. Këllezi and G. Pauletto). [
Summary ] [
- The Threshold Accepting Heuristic for Index Tracking,
In Financial Engineering, E-Commerce, and Supply Chain,
(Eds. P. Pardalos and V.K. Tsitsiringos),
Kluwer Applied Optimization Series, 2002, 1--18, (with E. Këllezi).
- Portfolio Optimization with VaR and Expected Shortfall.
In Computational Methods in Decision-making, Economics and Finance,
(Eds. E.J. Kontoghiorghes, B. Rustem and S. Siokos),
Kluwer Applied Optimization Series, 2002, 167--183, (with E.
- Parallel Krylov Methods for Econometric Model
Simulation, Computational Economics, 16, 2000,
173-186, (with G. Pauletto).
- Using Catastrophe-Linked Securities to Diversify Insurance
Risk: A Financial Analysis of Cat-Bonds , The Journal of
Insurance Issues, 2, 1999, 125-146,
Donald Hardegree Memorial Outstanding Paper Award, (with
H. Loubergé and E. Këllezi).
- Modelling and forecasting the social contributions to the
Swiss Old Age and Survivor Insurance scheme, Swiss Journal
of Economics and Statistics, 3, 1999,
349-368, (with G. Aeschimann, G. Antille, F.
Carlevaro, J.-P. Chaze, G. Ferro-Luzzi, Y. Flückiger).
- Krylov Methods for Solving Models with Forward-Looking
Variables, Journal of Economic Dynamics and Control 22,
1998, 1275-1289, (with G.
- Sparse Direct Methods for Model Simulation, Journal
of Economic Dynamics and Control 21, 1997, 1093-1111,
(with G. Pauletto).
- Matchings, Covers, and Jacobian Matrices, Journal
of Economic Dynamics and Control 20, 1996, 1541-1556,
(with M. Garbely).
- Graph theory-based tools in the practice of
macroeconometric modelling, in Methods and Applications of
Economic Dynamics, L. Schoonbeek, E. Sterken, and S.K. Kuipers
(Eds.), Series: Contributions to Economic Analysis, North Holland,
- Econometric Model Simulation on Parallel Computers, Internat.
J. Supercomput. Appl. 7, 1993, 254-264,
(with G. Pauletto).
- Causal Ordering and Beyond, International Economic
Review 33, 1992, 957-972.
- Equation Orderings for Iterative Processes - A
Comment, Computer Science in Economics and Management 5,
1992, 147-153, (with M. Garbely et G. Pauletto).
- Qualitative Decomposition of the Eigenvalue Problem in a
Dynamic System, Journal of Economic Dynamics and
Control 15, 1991, 539-548, (with M. Garbely).
- Qualitative Solvability in Economic Models, Computer
Science in Economics and Management 4,
1991, 285-301, (with P. Fontaine et M. Garbely).
- A Comment: On the Number of Nonzero Eigenvalues of a
Dynamic Linear Econometric Model, Empirical Economics 15,
1990, 99-104, (with M. Garbely).
- How to Strip a Model to its Essential Elements, Computer
Science in Economics and Management 3,
1990, 199-214, (with G. Gallo).
- Editorial – 2nd special issue on applications of optimization heuristics to estimation and modelling
problems. Computational Statistics and Data Analysis 52(1), 2–3, 2007, (with P. Winker).
- Guest editor for the special issue on Applications of optimization heuristics to estimation and modelling
problems in Computational Statistics and Data Analysis, 47(2), 211–400, 2004, (with P. Winker).
- Guest editor for the special issue on Computational Finance in the journal Computational Economics 9, 1996, (with A.
Economic Systems. Models, Methods and Econometrics, Series:
Advances in Computational Economics, Kluwer Academic Publishers,
1995, 287 pages, (editor).