Publications

• Colaneri, K., Damian, C. and Frey, R., 2025. A filtering approach for statistical inference in a stochastic SIR model with an application to Covid-19 data. Biostatistics, 26(1).
• Damian, C. and Frey, R., 2024. Detecting rough volatility: a filtering approach. Quantitative Finance, 24(10)
• Frey, R., Kurt, K. and Damian, C., 2020. How safe are european safe bonds? An analysis from the perspective of modern credit risk models. Journal of Banking & Finance, 119.
• Damian, C., Eksi, Z. and Frey, R., 2018. EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies. Statistics & Risk Modeling, 35(1-2).