The aim of this paper consists in testing the profitability of simple technical trading rules in the Italian stock market. By means of a recently developed bootstrap methodology we assess whether technical rules based on moving averages are capable of producing excess returns with respect to the...

Continuous-time stochastic volatility models are becoming increasingly popular in finance because of their flexibility in accommodating most stylized facts of financial time series. However, their estimation is difficult because the likelihood function does not have a closed-form expression. In...

One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns' conditional distribution. Recent advances in the financial econometrics literature have developed several models...

In this paper we compare the relative efficiency of different forecasting methods of space-time series when variables are spatially and temporally correlated. We consider the case of a space-time series aggregated into a single time series and the more general instance of a space-time series...