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Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

Gallo, Giampiero M. - 2006

Financial market price formation and exchange activity can be investigated by means of ultra-high frequency data. In this paper we investigate an extension of the Autoregressive Conditional Duration (ACD) model of Engle and Russell (1998) by adopting a mixture of distribution approach with time...

Persistent link: https://www.econbiz.de/10012733994

Impact of digitalisation on labour productivity in the EU

Cinquegrana, Giuseppe; De Luca, Giovanni; Mazzocchi, Paolo - In: International journal of business innovation and … 35 (2024) 6, pp. 1-39

Persistent link: https://www.econbiz.de/10015358527

Agricultural diversification, productivity, and food security across time and space

Chavas, Jean-Paul; Rivieccio, Giorgia; Di Falco, Salvatore - In: Agricultural economics : the journal of the … 53 (2022), pp. 41-58

Persistent link: https://www.econbiz.de/10014288042

The effect of climate finance on greenhouse gas emission : a quantile regression approach

Carfora, Alfonso; Ronghi, Monica; Scandurra, Giuseppe - In: International Journal of Energy Economics and Policy : IJEEP 7 (2017) 1, pp. 185-199

Persistent link: https://www.econbiz.de/10011749037

Estimating the impact of feed-in tariff adoption : similarities and divergences among countries through a propensity-score matching method

Romano, Antonio Angelo; Scandurra, Giuseppe; Carfora, … - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 2, pp. 144-151

Persistent link: https://www.econbiz.de/10011549703

Adoption of green innovations by SMEs : an investigation about the influence of stakeholders

Thomas, Antonio; Scandurra, Giuseppe; Carfora, Alfonso - In: European journal of innovation management 25 (2022) 6, pp. 44-63

Persistent link: https://www.econbiz.de/10014231176

Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

Luca, Giovanni De; Gallo, Giampiero - Dipartimento di Statistica, Informatica, Applicazioni … - 2006

Persistent link: https://www.econbiz.de/10005812864

Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

Luca, Giovanni De; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2005

Persistent link: https://www.econbiz.de/10005731541

A Time-varying Mixing Multiplicative Error Model for Realized Volatility Abstract: In this paper we model the dynamics of realized volatility as a Multiplicative Error Model with a mixture of distributions for the innovation term with time-varying mixing weights forced by past behavior of volatility. The mixture considers innovations as a source of time-varying volatility of volatility and is able ...

Luca, Giovanni De; Gallo, Giampiero - Dipartimento di Statistica, Informatica, Applicazioni … - 2010

Persistent link: https://www.econbiz.de/10008509948

A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering

De Luca, Giovanni; Zuccolotto, Paola - 2013

In this paper we propose a portfolio selection procedure specifically designed to protect investments during financial crisis periods. To this aim, we focus attention on the lower tails of the returns distributions and use a combination of statistical tools able to take into account the joint...

Persistent link: https://www.econbiz.de/10015238883