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...

Italian Abstract: Presentiamo un modello stocastico multivariato, per sviluppare stress test finalizzati a valutare l'adeguatezza patrimoniale delle banche e il loro grado di fragilità finanziaria. L'articolo fornisce una descrizione teorica del metodo e delle caratteristiche essenziali del...

Italian Abstract: Il processo di decarbonizzazione ha reso desueto il tradizionale modello di creazione di valore delle aziende che operano nel settore dell'energia elettrica (utilities energetiche – UEN) colpendo in particolare le società con un energy mix più orientato alle fonti fossili...

Forecasting Budget expenditures using Budget balance intra annual data

In this work we have found a relevant increase in the systematic risk of the American real estate securities in the year 2007 which go to the initial values in the year 2009. With the aim to evaluate the systematic risk we have used the Fama-French three factor model and we have studied the...

The aim of this paper is to build a tool for performing forecasting exercises, allowing to obtain a reliable estimate of Italian consumer price inflation. To reach this goal we estimate a simple three-equation model for the short term forecasting of twelve-month percentage variations of the...

This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component analysis is first used to summarize the...

This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component technique is first used to summarize the...

We investigate the occurrence of risk sharing among Italian regions with respect to both long run and short run income fluctuations by means of Vector Equilibrium Correction Models (VEqCMs) which allow to test all implications of the theory without preliminary filtering or transformations of...

Many ways exist to measure and model financial asset volatility. In principle, as the frequency of the data increases, the quality of forecasts should improve. Yet, there is no consensus about a "true" or "best" measure of volatility. In this paper we propose to jointly consider absolute daily...