Nel corso degli ultimi anni si è assistito nel nostro Paese ad una rilevante crescita in quota della marca commerciale all’interno delle insegne leader della distribuzione moderna. Tuttavia, in uno scenario pur favorevole, la marca commerciale ha messo in evidenza una rilevante disomogeneità...

Several methods have been proposed for identifying clusters of extreme values leading to estimators of the extremal index; the latter represents,in the limit, the mean-size of each cluster of thresholds exceedances. The detection of clusters of extremes is relevant for the class of processes...

Nonparametric regression for sample extremes can be performed using a variety of techniques. The penalized spline approach for the Poisson point process model is considered. The generalized linear mixed model representation for the spline model, with its Bayesian approach to inference, turns out...

Statistical tests routinely adopted for detecting nonlinear components in time series rely on the auxiliary regression of ARMA lagged residuals, and the Lagrange multiplier test to detect ARCH components is an example. The size distortion of such test suggests adopting a weighted test, where the...

Several methods have been proposed for identifying clusters of extreme values leading to estimators of the extremal index; the latter represents,in the limit, the mean-size of each cluster of thresholds exceedances. The detection of clusters of extremes is relevant for the class of processes...

In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modeled implicitly assuming an asymptotically dependent structure. If the true dependence structure is asymptotically independent then existing finance models will lead to over-estimation of the...

In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modelled implicitly assuming an asymptotically dependent structure. If the true dependence structure is asymptotically independent then existing finance models will lead to over-estimation of the...

The UK has in recent years experienced a series of fluvial flooding events which have simultaneously affected communities over different parts of the country. For the co-ordination of flood mitigation activities and for the insurance and reinsurance industries, knowledge of the spatial...