R
Rosella Castellano
Researcher at Sapienza University of Rome
Publications - 31
Citations - 218
Rosella Castellano is an academic researcher from Sapienza University of Rome. The author has contributed to research in topics: Credit default swap & Event study. The author has an hindex of 7, co-authored 28 publications receiving 185 citations. Previous affiliations of Rosella Castellano include University of Macerata.
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Mean–Variance portfolio selection in presence of infrequently traded stocks
Rosella Castellano,Roy Cerqueti +1 more
TL;DR: To model the dynamics of illiquid assets, pure-jump processes are introduced and this leads to the development of a portfolio selection model in a mixed discrete/continuous time setting.
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Exploring the financial risk of a temperature index: a fractional integrated approach
TL;DR: The theoretical results suggest that the single terms of the index drive the long memory of the overall aggregation; moreover, interestingly, the proper selection of the parameters of the model might lead both to cases of persistence and antipersistence.
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Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective
Rosella Castellano,Luisa Scaccia +1 more
TL;DR: It is shown that CDS indexes may provide investors and institutions with early warning signals of financial distresses in the stock market through a Markov switching model with states characterized by increasing levels of volatility.
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Regularities and discrepancies of credit default swaps: a data science approach through Benford's law
TL;DR: In this article, the authors fit the Benford's law to the daily changes in sovereign CDS spreads for 13 European countries, both inside and outside the European Union and European Monetary Union.
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CDS volatility: the key signal of credit quality
TL;DR: Overall, market participants seem to provide timely reactions around the event date and it is shown that the key element of signaling is represented by the changing volatility in CDS quotes, before and after the rating event.