Publications

Papers in Referred Journals

1. C.G. Broyden and P. Foschi. Duality in conjugate gradient methods. Numerical Algorithms, 22(2):113-128, 1999.
2. P. Foschi and .J. Kontoghiorghes. Estimation of VAR(p) models: computational aspects. Computational Economics, 21(1):3-22, 2003.
3. P. Foschi and E.J. Kontoghiorghes. Seemingly unrelated regression models with unequal size of observations. Computational Statistics & Data Analysis, 41(1):211-229, 2002.
4. P. Foschi and E.J. Kontoghiorghes. A computationally efficient method for solving SUR models with orthogonal regressors. Linear Algebra and its Applications, 388(1):193-200, 2004.
5. P. Foschi and E.J. Kontoghiorghes. Estimating seemingly unrelated regression models with vector autoregressive disturbances. Journal of Economic Dynamics and Control, 28(1):27-44, 2003.
6. P. Foschi, D.A. Belsley and E.J. Kontoghiorghes. A comparative study of algorithms for solving seemingly unrelated regressions models. Computational Statistic & Data Analysis, 44(1-2):3-35, 2003.
7. P.I. Yanev, P. Foschi and E.J. Kontoghiorghes. Algorithms for computing the the QRDs of a set of matrices having common columns. Algoritmica, 30(1):83-93, 2004.
8. M. Di Francesco, P. Foschi and A. Pascucci. Analysis of an uncertain volatility model. Journal of Applied Mathematics and Decision Sciences, 2007 (in press).

Papers in Referred Books

1. P. Foschi, L. Garin, and E.J. Kontoghiorghes. Numerical and computational methods for solving sur models.In E.J. Kontoghiorghes, B. Rustem and S.Siokos editors, Computational Methods in Decision-Making, Economics and Finance, Applied Optimization. Kluwer Academic Publishers, 2002.

Papers in Referred Conference Proceedings

 
1. E.J. Kontoghiorghes and P. Foschi. Algorithms for solving SURE models. Lecture Notes in Computer Science, 1988:490-497. Springer Verlag, 2000.

Technical Reports

• M. Di Francesco, P. Foschi and A. Pascucci. Analysis of an uncertain volatility model. preprint AMS Acta, Università di Bologna, 2004 (in press on Journal of Applied Mathematics and Decision Sciences)
• P. Foschi and A. Pascucci. Calibration of the Hobson&Rogers model: empirical tests preprint AMS Acta, Università di Bologna, 2005 (submitted)
• A. Pascucci and P. Foschi. Path dependent volatility. preprint AMS Acta, Università di Bologna, 2006 (submitted)
• P. Foschi. On the estimation of regressions and seemingly unrelated regressions with error component disturbances. preprint Munich Personal RePEc Archive (nr. 1424), 2007.
• P. Foschi and A. Pascucci. Kolmogorov equations arising in finance: direct and inverse problems. preprint AMS Acta, Università di Bologna, 2005 (submitted)