This paper discusses the Monte Carlo (MC) design of Gaussian Vector Au- toregressive processes (VAR) for the evalutation of invariant statistics. We focus on the case of cointegrated (CI) I(1) processes, linear and invertible trans- formations and CI rank likelihood ratio (LR) tests. It is found...

This paper proposes a new approach for the specification of multivariate GARCH models for data sets with a potentially large cross-section dimension. The approach exploits the spatial dependence structure associated with asset characteristics, like industrial sectors and capitalization size. We...

In this paper we study several existing notions of well-posedness for vector optimization problems. We distinguish them into two classes and we establish the hierarchical structure of their relationships. Moreover, we relate vector well-posedness and well-posedness of an appropriate...

This paper analyzes common cycles in I(2) vector autoregressive (VAR) systems. We consider di®erent choices of stationary variables extracted from a VAR, including deviations from equilibria. This extension is based on the equilibrium dynamics representation of the system, introduced in this...

In this paper we introduce notions of well-posedness for a vector optimization problem and for a vector variational inequality of differential type, we study their basic properties and we establish the links among them. The proposed concept of well-posedness for a vector optimization problem...

In this paper we consider the vector optimization problem minC f(x), g(x) 2 -K, where f : Rn ! Rm and g : Rn Rp are C0,1 functions and C Rm and K Rp are closed convex cones. We give several notions of solutions (efficiency concepts), among them the notion of a properly efficient point...

This paper deals with measures of local robustness for particular Bayesian quantities, i.e. posterior summaries. We build a framework where any Bayesian quantity can be seen as a posterior functional and its sensitivity to all inputs is checked. First, we use the Gateaux derivatives to measure...

The present paper presents the first results of a filed survey on Italian investments in the Central and Eastern European countries. More specifically, this paper is focused on the Italian Investments in the Czech and Slovak Republic. The survey has a qualitative approach put it allows to...

Since the end of the eighties, the Italian University system has been undergoing an unprecedented change. In order to bring our system up to European standards, legislators have introduced a large number of innovative factors which have caused a reconsideration of “consolidated University...