Zobrazeno 1 - 10
of 162
pro vyhledávání: '"Gallo, Giampiero M."'
The main component of the NextGeneration EU (NGEU) program is the Recovery and Resilience Facility (RRF), spanning an implementation period between 2021 and 2026. The RRF also includes a monitoring system: every six months, each country is required t
Externí odkaz:
http://arxiv.org/abs/2307.11039
We focus on the time-varying modeling of VaR at a given coverage $\tau$, assessing whether the quantiles of the distribution of the returns standardized by their conditional means and standard deviations exhibit predictable dynamics. Models are evalu
Externí odkaz:
http://arxiv.org/abs/2305.20067
Central Banks interventions are frequent in response to exogenous events with direct implications on financial market volatility. In this paper, we introduce the Asymmetric Jump Multiplicative Error Model (AJM), which accounts for a specific jump com
Externí odkaz:
http://arxiv.org/abs/2305.12192
Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature to be represented as positive valued time series. When modeled, persist
Externí odkaz:
http://arxiv.org/abs/2107.05923
The financial turmoil surrounding the Great Recession called for unprecedented intervention by Central Banks: unconventional policies affected various areas in the economy, including stock market volatility. In order to evaluate such effects, by incl
Externí odkaz:
http://arxiv.org/abs/2011.14094
Although quantile regression to calculate risk measures has been widely established in the financial literature, when considering data observed at mixed--frequency, an extension is needed. In this paper, a model is suggested built on a mixed--frequen
Externí odkaz:
http://arxiv.org/abs/2011.00552
Taking the European Central Bank unconventional policies as a reference, we suggest a class of Multiplicative Error Models (MEM) taylored to analyze the impact such policies have on stock market volatility. The new set of models, called MEM with Asym
Externí odkaz:
http://arxiv.org/abs/2010.08259
We suggest the Doubly Multiplicative Error class of models (DMEM) for modeling and forecasting realized volatility, which combines two components accommodating low-, respectively, high-frequency features in the data. We derive the theoretical propert
Externí odkaz:
http://arxiv.org/abs/2006.03458
We build the time series of optimal realized portfolio weights from high-frequency data and we suggest a novel Dynamic Conditional Weights (DCW) model for their dynamics. DCW is benchmarked against popular model-based and model-free specifications in
Externí odkaz:
http://arxiv.org/abs/2004.12400
Publikováno v:
In Econometrics and Statistics May 2022
