University of Salerno
Alessandra Amendola is Full Professor of Statistics at the University of Salerno since 2007. She is the Coordinator of the PhD programme of the Department of Economics and Statistics of the University of Salerno and the Programme Coordinator of the Master in Economics, Finance & Risk Management. Her main research interests are: Non-linear time series analysis, Forecasting, Financial Econometrics, Risk Management and Credit Risk. She has published several papers in international journals such as Journal of Forecasting, Computational Statistics & Data Analysis, Quantitative Finance and European Journal of Business and Management.
This paper investigates direct and indirect volatility evaluations in the multivariate framework by means of a Monte Carlo simulation