PhD Thesis
Duttilo, P. (2024). Modelling financial returns with mixtures of generalized normal distributions. PhD Thesis, pp. 1-166, arXiv:2411.11847
Publications in international journals
Duttilo, P., Gattone, S.A. and Iannone, B. (2023). Mixtures of generalized normal distributions and EGARCH models to analyse returns and volatility of ESG and traditional investments. AStA Adv Stat Anal 108, 755–775 (2024), https://doi.org/10.1007/s10182-023-00487-7
Duttilo, P., Gattone, S.A. and Di Battista, T. (2021). Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic. Mathematics, 9(11), 1-18. DOI:10.3390/math9111212
Short papers in conference proceedings
Duttilo, P., Bertolini, M., Kume, A. and Gattone, S.A. (2024). High volatility, high emissions? a hidden-Markov model approach. In: “Methodological and Applied Statistics and Demography III, SIS 2024, Short Papers, Contributed Sessions 1, Conference proceedings”, Springer, pp., ISBN 978-3-031-64430-6
Duttilo, P., Di Battista, T. and Gattone, S.A. (2023). Impact of global turmoil days on the G7 stock markets during the Covid-19 pandemic and Russian-Ukrainian war. In: “Technology and Data Science for Economic and Social Development”, Book of Short Papers of the ASA Bologna Conference, Ital. J. Appl. Stat, Padua: Cleup, pp. 219-224, doi.org/10.26398/asaproc.0035
Duttilo, P., Caruso, G., Iannone, B. and Gattone, S.A. (2023). Evolutionary trends of start-up in Italy: a case study. In “Book of Short Papers IES 2023”, Il Viandante, pp. 677-681, ISBN 9791280333698
Duttilo, P., Kume A. and Gattone, S.A. (2023). Constrained Mixtures of Generalized Normal Distributions. In: “SEAS IN Book of short papers 2023”, Pearson, pp. 611-616, ISBN 9788891935618AAVV
Duttilo, P. and Gattone, S.A. (2022). Modelling Financial Returns with Finite Mixtures of GED. In: “SIS|2022 Book of Short Papers”, Pearson, pp. 1364-1369, ISBN 9788891932310
Abstract in conference proceedings
Bertolini, M., Duttilo, P. and Lisi F. (2024). Impact of grid innovations on electricity price volatility in Italian island markets. In: “8th AIEE Energy Symposium, Current and Future Challenges to Energy Security”, AIEE, pp. 75-76, ISBN 978-88-942781-8-7
Bertolini, M., Duttilo, P. and Lisi F. (2024). Impact of grid innovations on electricity price volatility in Italian island markets. In: “Programme and Abstracts CFECMStatistics 2024”, IASC, pp. 15, ISBN 978-9925-7812-8-7
Duttilo, P., Bertolini, M. and Gattone S.A. (2024). Clustering electricity market dynamics with hidden Markov models. In: “MBC2 2024 Book of Abstracts”, Organizing Committee MBC2, pp. 24, ISBN 979-12-210-6784-2
Duttilo, P., Aguilera, A.M. and Acal C. (2023). Functional principal components analysis of the S&P500 and IBEX35: a comparison during the COVID-19 period. In: “Doc-Course on Data Science, Workshop proceedings”, pp. 6, available here
Duttilo, P., Gattone, S.A. and Kume, A. (2023). Mixtures of generalized normal distributions with constraints. In: “Programme and Abstracts COMPSTAT 2023”, IASC, pp. 21, ISBN 9789073592414
Duttilo, P. and Gattone, S.A. (2022). An Empirical Application of the Mixture of Generalized Error Distribution to the Returns on Dow Jones Stock Index. In: “Book of Abstracts MAF 2022”, pp. 85, available here
Papers submitted or under revision
Bertolini, M., Duttilo, P. and Lisi, F. (2024). Accounting carbon emissions from electricity generation: a review and comparison of emission factor-based methods, pp. 1-29, arXiv:2411.13663
Duttilo, P. and Gattone, S.A. (2024). Enhancing parameter estimation in finite mixture of generalized normal distributions. pp. 1-26, arXiv:2410.21559
Iannone, B., Duttilo, P. and Gattone S.A. (2024). Evaluating the resilience of ESG investments in European Markets during turmoil periods, pp. 1-21, arXiv:2501.03269
Working paper
Duttilo, P. and Lisi, F. (2024). Modelling and forecasting carbon emissions from electricity generation using classical and functional methods
Bertolini, M., Duttilo, P. and Lisi, F. (2024). Impact of grid innovations on electricity price volatility in Italian island markets
Duttilo, P., Gattone, S.A. and Kume, A. (2023). Constrained mixture of generalized normal distribution