In this paper we discuss air quality assessment in three Italian, German and Polish regions using the index methodology proposed in Bruno and Cocchi (2002, 2007). This analysis focuses first of all on the quality of the air in each of the countries being taken into consideration, and then adopts...

In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean opulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely recovered from all bivariate margins. We...

In this paper we discuss air quality assessment in three Italian, German and Polish regions using the index methodology proposed in Bruno and Cocchi (2002, 2007). This analysis focuses first of all on the quality of the air in each of the countries being taken into consideration, and then adopts...

In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean opulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely recovered from all bivariate margins. We...

In this paper we analyse the properties of hierarchical Archimedean copulas. This classis a generalisation of the Archimedean copulas and allows for general non-exchangeable dependencystructures. We show that the structure of the copula can be uniquely recovered from all bivariate margins.We...

The exact density of linear combinations of global minimum variance portfolio weights is derived. The exact finite-sample statistical procedure to test general linear restrictions of portfolio weights is obtained. The results are generalized to elliptically contoured distributions, which extends...

In this paper the sequential procedures for monitoring efficiency of the global minimum variance portfolio are proposed. The proposed control schemes can be applied to rather large class of portfolio asset returns distributions, namely, elliptically contoured distributions. Our approach has...

Statistical inferences for weights of the global minimum variance portfolio (GMVP) are of both theoretical and practical relevance for mean-variance portfolio selection. Daily realized GMVP weights depend only on realized covariance matrix computed from intraday highfrequency returns. In this...