Papers
Note: The following papers cover topics in time series analysis and econometrics as well as quantitative finance. For journal papers, the available links access technical reports submitted before receiving final acceptance. The published versions are available through the journal links on the right side of this page.
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A.Cardinali and G.P.Nason (2005). A Statistical Multiscale Approach to Image Segmentation and Fusion. Proceedings Fusion 2005;
A.Cardinali (2008). A Generalized Multiscale Analysis of the Predictive Content of Eurodollar Implied Volatilities. International Journal of Theoretical and Applied Finance, 12:1, 1-18;
A.Cardinali (2009). Estimating Volatility from ATM Options with Lognormal Stochastic Variance. Proceedings ICEEE 2009;
A.Cardinali and G.P.Nason (2010). Costationarity of Locally Stationary Time Series. Journal of Time Series Econometrics, 2(2): Article 1;
A.Cardinali (2011). Estimating Volatility from ATM Options with Lognormal Stochastic Variance and Long Memory. Applied Financial Economics, 22, 733-748;
A. Cardinali (2011). Sensitivity Analysis of Mean-Variance Portfolios with Orthogonal GARCH Factors. International Econometrics Review, 4:1, article 1;
A. Caporali, M. Meloni, A. Miller, A. Cardinali, K. Vierlinger, M. Hofner, C. Noehammer, P.
Madeddu, C. Emanueli (2012). Regulation of ST2 by p75NTR neurotrophin receptor in diabetic and ischemic wounds. Arteriosclerosis Thrombosis and Vascular Biology, 32, 149-160.
A. Cardinali and G.P. Nason (2012). Costationarity of Locally Stationary Time Series using Costat. Journal of Statistical Software (to appear);
A. Cardinali (2013) Local Covariance Estimation using Costationarity. ISNPS Conference 2012.
Preprints
Note: Papers listed in this section are either submitted to journals to be considered for publication or nearly ready to be submitted. Working papers which are at earlier stages of completion are not listed.
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A. Cardinali (2012). A Multiscale Semi-parametric Approach to Stationarity and Local-Stationarity Testing with Application to Exchange Rates. Preprint;
A. Cardinali (2012). Asymptotics for Degenerate Quadratic Forms with Application to Locally Stationary Multiscale Periodograms. Preprint;
A. Cardinali and G.P.Nason (2013). Costationary Inference for the Local Covariance Function with Application to Financial Returns. Preprint;
A. Cardinali and G.P.Nason (2013). Unbiased Inference for Locally Stationary Wavelet Packet Processes. Preprint.
Technical Reports
Note: This is a list of reports produced in Bristol during my postdoc at the Department of Mathematics. Some of this work on information fusion is conducted in association with the Department of Electrical and Electronic Engineering at UoB.
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A.Cardinali (2004). Multiscale Methods in Data Fusion, a Review. DIF-DTC Report UOB-DIF-DTC-PROJ201-TR05;
A.Cardinali and G.P.Nason (2005) Statistical Multiscale Image Segmentation and Fusion. DIF-DTC Report UOB-DIF-DTC-PROJ201-TR11;
J. J. Lewis, S. G. Nikolov, A. Loza, E. Fernandez Canga, N. Cvejic, J. Li, A. Cardinali, C. N. Canagarajah, D. R. Bull, T. Riley, D. Hickman, M. I. Smith (2006). The Eden Project multi-sensor data set. Technical report TR-UoB-WS-Eden-Project-Data-Set, University of Bristol and Waterfall Solutions Ltd;
A.Cardinali and G.P.Nason (2006). A New Approach to Data Fusion via Multiscale Costationarity. DIF-DTC Report UOB-DIF-DTC-PROJ201-TR13;
A.Cardinali and G.P.Nason (2006). Generalized LSW Processes and Statistical Inference . DIF-DTC Report UOB-DIF-DTC-PROJ201-TR15;
A.Cardinali and G.P.Nason (2006). Final Report: Multiscale Approaches to Data Fusion . DIF-DTC Report UOB-DIF-DTC-PROJ201-TR17;
A.Cardinali and G.P.Nason (2007). Costationarity and Stationarity Tests for Stock Index Returns. Univ. of Bristol, Statistics Group, Technical Report 08:08;
A.Cardinali and G.P.Nason (2011). Locally Stationary Wavelet Packet Processes . Univ. of Bristol, Statistics Group, Technical Report 11:04.