The recent introduction into the Italian mutual fund market of Morningstar performance rating of private institutions gives rise to the question of what is the relation between this relative benchmark measure and the other traditional performance measures. This paper provides a comprehensive...

The aim of this work is to investigate whether the combination of forecasts plays an important role in the improvement of forecast accuracy Particular attention is paid to: (a) the methods of forecasting (the methods compared are neural networks, fuzzy logic, GARCH models, switching regime and...

This paper investigates the key role played by different factors, such as the use of Asset Backed Commercial Paper as collaterals in the short-term debt market, credit risk and the injection of liquidity by Central Banks through so-called unconventional measures, on the persistent spread during...

This paper provides a new algorithm for estimating state space dynamic models and, as an example, it considers the estimation of time-varying parameter models. The novel elements of the algorithm are: a simple, easily implementable, square root method which is shown to solve the numerical...

The intent of this paper is the construction of an econometric model able to produce reliable and reasonable forecasts for the US dollar/Euro real exchange rate. In order to achieve this aim, an area-wide model is analysed. The aggregation is motivated by the fact that the Euro-zone is under a...

I: Introduction to Control Theory: Methods and Algorithms -- 1. Developments of Control Theory in Macroeconomics -- 2. Linear Controllability: Results and Open Questions -- 3. A System Theoretic Approach to the Theory of Economic Policy -- 4. Software for Economic Optimal Control Models -- II:...