In this paper we address the issue of forecasting Value–at–Risk (VaR) using different volatility measures: realized volatility, bipower realized volatility, two scales realized volatility, realized kernel as well as the daily range. We propose a dynamic model with a flexible trend...

Multiplicative Error Models (MEM) can be used to trace the dynamics of non–negative valued processes. Interactions between several such processes are accommodated by the vector MEM and estimated by maximum likelihood (Gamma marginals with copula functions) or by Generalized Method of Moments....

In financial time series analysis we encounter several instances of non–negative valued processes (volumes, trades, durations, realized volatility, daily range, and so on) which exhibit clustering and can be modeled as the product of a vector of conditionally autoregressive scale factors and a...

The Multiplicative Error Model introduced by Engle (2002) for non-negative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multivariate extension of such a model, by taking...

Financial time series analysis has focused on data related to market trading activity. Next to the modeling of the conditional variance of returns within the GARCH family of models, recent attention has been devoted to other variables: first, and foremost, volatility measured on the basis of...

The explosion of algorithmic trading has been one of the most prominent recent trends in the financial industry. Algorithmic trading consists of automated trading strategies that attempt to minimize transaction costs by optimally placing orders. The key ingredient of many of these strategies are...

Il bene meritorio “istruzione” svolge un ruolo fondamentale per lo sviluppo socioeconomico delle moderne economie: l’istruzione è in grado di diminuire le diseguaglianze e favorire la crescita economica. Le politiche comunitarie degli ultimi vent’anni sono state rivolte alla...

The purpose of this work is to build a quali-quantitative method for measuring the endogenous performance in R&D organization which supports the process of evaluation. The method is tested on Cnr Institutes of Piemonte, a highly industrialised region in North Western Italy and the score of...

The purpose of this study was to investigate the contributions of Social Identify Theory’s variables to research performance. Regression models were applied on data of ten national research Council (Cnr) institutes of Piemonte, a highly industrialised region in North Western Italy.Results show...

Aim of this paper is to analyse the spatial aspects of technology transfer (t.t.) in Cnr Institutes of Piemonte, a highly industrialised region in North Western Italy. The specific purpose is to verify two hypotheses 1) If the spatial propagation of t.t. follows the Hägerstrand...