In this paper we examine the bidding behaviour of firm competing in the Italian wholesale electricity market where generators submit hourly supply schedule to sell power. We describe the institutional characteristics of the Italian market and derive generators' equilibrium bidding functions. We...

This paper proposes a test of the null hypothesis of stationarity that is robust to the presence of fat-tailed errors. The test statistic is a modified version of the KPSS statistic, in which ranks substitute the original observations. The rank KPSS statistic has the same limiting distribution...

In this paper we analyze the time series of daily average prices generated in the Italian electricity market, which started to operate as a Pool in April 2004. The objective is to characterize the high degree of autocorrelation and multiple seasonalities in the electricity prices. We use...

This paper presents the geo-logarithmic family of price indexes and gives a new characterization of the Sato-Vartia index, showing that it is the only geo-logarithmic formula being factor reversible.

We propose a rank-test of the null hypothesis of short memory stationarity possibly after linear detrending. For the level-stationarity hypothesis, the test statistic we propose is a modified version of the popular KPSS statistic, in which ranks substitute the original observations. We prove...

Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting in a mixture of two VAR processes. The switching between the two VAR processes is governed by a two state Markov chain with transition probabilities that depend on how long...

This paper reviews the theoretical and empirical literature on Brain Drain (BD). We propose an ideal path that links the first studies with the most recent ones. In this development, the literature on BD focuses on a variety of economic and social issues and recalls to national and international...

In this paper we adopt Group Theory to investigate the symmetry and invariance properties of price index numbers. An alternative treatment is given to the study of the reversibilty axioms, that clarifies their meaning and allows for a conceptual unification of this topic, within the framework of...

This paper reviews recent literature on joint liability lending in microcredit markets characterized by adverse selection. This mode of lending consists of granting individual loans to wealthless borrowers provided that they form groups: if a group does not fully repay its obligations, then the...

The returns of many financial assets show significant skewness, but in the literature this issue is only marginally dealt with. Our conjecture is that this distributional asymmetry may be due to two different dynamics in positive and negative returns. In this paper we propose a process that...