Zobrazeno 1 - 10
of 37
pro vyhledávání: '"Fabrizio Venditti"'
Publikováno v:
IMF Economic Review. 70:668-697
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9b126b81b72ea1cbed918c66c0116e44
https://doi.org/10.1057/s41308-022-00170-y
https://doi.org/10.1057/s41308-022-00170-y
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cd4455d4b35aa38ba851636056d8b9f4
https://doi.org/10.2139/ssrn.4310226
https://doi.org/10.2139/ssrn.4310226
Autor:
Filippo Natoli, Fabrizio Venditti
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1a7fdc144f1129fab7f6931494195e91
https://doi.org/10.2139/ssrn.4176581
https://doi.org/10.2139/ssrn.4176581
In this article, we develop a general framework to analyze state space models with time-varying system matrices, where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estima
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::105d8d23d21d1064430b8054fc71f959
http://wrap.warwick.ac.uk/136285/7/WRAP-price-dividend-ratio-long-run-stock-returns-score-driven-state-space-model-Petrella-2020.pdf
http://wrap.warwick.ac.uk/136285/7/WRAP-price-dividend-ratio-long-run-stock-returns-score-driven-state-space-model-Petrella-2020.pdf
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::480a84565339415e2c4381af621fc678
https://doi.org/10.2139/ssrn.3671498
https://doi.org/10.2139/ssrn.3671498
Autor:
Dominic Quint, Fabrizio Venditti
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f1dfb5b82d4b012982d49815c3571fbf
https://doi.org/10.2139/ssrn.3692343
https://doi.org/10.2139/ssrn.3692343
Autor:
Fabrizio Venditti, Giovanni Veronese
Publikováno v:
SSRN Electronic Journal.
The role that the price of oil plays in economic analysis in central banks as well as in financial markets has evolved over time. Oil is not seen anymore just as a input to production but also as a barometer of global economic activity as well as a f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::66fe6d9a6bf20488dc81d1911367ef91
https://doi.org/10.2139/ssrn.3577551
https://doi.org/10.2139/ssrn.3577551
Publikováno v:
SSRN Electronic Journal.
In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c623c05c093b6ef49b8c574f7060e9e5
https://doi.org/10.2139/ssrn.3710125
https://doi.org/10.2139/ssrn.3710125
Publikováno v:
SSRN Electronic Journal.
We study what makes government bonds a safe asset. Building on a sample of monthly changes in government bond yields in 40 advanced and emerging countries, we analyse the sensitivity of yields to country specific fundamentals interacted with changes
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::88ee9324c93db7f4a881c6e454aeafdb
https://doi.org/10.2139/ssrn.3515302
https://doi.org/10.2139/ssrn.3515302
Publikováno v:
SSRN Electronic Journal.
In a simplified theoretical framework we model the strategic interactions between OPEC and non-OPEC producers and the implications for the global oil market. Depending on market conditions, OPEC may find it optimal to act either as a monopolist on th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1109f08df1957f009c5a3170f2b3afd8
https://doi.org/10.2139/ssrn.3547928
https://doi.org/10.2139/ssrn.3547928