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The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates

Fornari, Fabio; Monticelli, Carlo; Pericoli, Marcello; … - Banca d'Italia - 1999

effect on the conditional volatility of these variables. The analysis spans a period of great financial and political …

Persistent link: https://www.econbiz.de/10005770784

Stock Values and Fundamentals; Link or Irrationality?

Fornari, Fabio; Pericoli, Marcello - Banca d'Italia - 2000

In this paper, econometric techniques are employed to analyze the continuous and remarkable growth which has characterized international stock markets since 1995. The Campbell and Shiller dividend discount model, a dynamic version of Gordon's formula commonly employed by financial analysts to...

Persistent link: https://www.econbiz.de/10005113567

A beta based framework for (lower) bond risk premia.

Nobili, Stefano; Palazzo, Gerardo - Banca d'Italia - 2008

We use a no-arbitrage essentially affine three-factor model to estimate term premia in US and German ten-year government bond yields. In line with the existing literature, we find that estimated premia have followed a downward trend since the 1980s: from 4.9 per cent in 1981 to 0.7 per cent in...

Persistent link: https://www.econbiz.de/10005609332

The role of financial investments in agricultural commodity derivatives markets

Borin, Alessandro; Nino, Virginia Di - Banca d'Italia - 2012

volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow ï¿½ rather than … associated with lower volatility of futures returns, while that of swap dealers is sometimes followed by higher price variations. …

Persistent link: https://www.econbiz.de/10009645788

Estimating expectations of shocks using option prices

Cesare, Antonio Di - Banca d'Italia - 2004

point in time, the parameters of the model are estimated by minimizing the sum of squared implied volatility errors, and … their informational content is compared with the widely used Black and Scholes implied volatility, calculated on at … periods of high variability of asset prices the jump-diffusion approach may help to disentangle the cases in which volatility …

Persistent link: https://www.econbiz.de/10005609384

Down the non-linear road from oil to consumer energy prices: no much asymmetry along the way

Venditti, Fabrizio - Banca d'Italia - 2010

evidence of asymmetries emerges. This result is robust across periods of high and low oil price volatility and holds both for …

Persistent link: https://www.econbiz.de/10008626023

Uncertainty and heterogeneity in factor models forecasting

Luciani, Matteo; Monteforte, Libero - Banca d'Italia - 2013

In this paper, we exploit the heterogeneity in the forecasts obtained by estimating different factor models to measure forecast uncertainty. Our approach is simple and intuitive. It consists first in selecting all the models that outperform some benchmark model, and then in constructing an...

Persistent link: https://www.econbiz.de/10011099661

Identification and estimation of outcome response with heterogeneous treatment externalities

Arduini, Tiziano; Patacchini, Eleonora; Rainone, Edoardo - Banca d'Italia - 2014

This paper studies the identification and estimation of treatment response with heterogeneous spillovers in a network model. We generalize the standard linear-in-means model to allow for multiple groups with between and within-group interactions. We provide a set of identification conditions of...

Persistent link: https://www.econbiz.de/10011099681

Forward-looking robust portfolio selection

Cecchetti, Sara; Sigalotti, Laura - Banca d'Italia - 2013

In this paper we develop a portfolio optimization strategy based on the extraction of option-implied distributions and the application of robust asset allocation. We compute the option-implied probability density functions of the constituents of the Euro Stoxx 50 Index. To obtain the...

Persistent link: https://www.econbiz.de/10011099724

The Italian private equity funds: an analysis of the portfolio companiesï¿½ economic and financial conditions

Mariagrazia, Granturco; Miele, Maria Grazia - Banca d'Italia - 2011

This paper analyses the financial and economic conditions of the companies in the portfolios of Italian private equity funds. Information from an ad hoc survey of Italian asset management companies, combined with accounting data for 2008 drawn from the Central Credit Register, is used to develop...

Persistent link: https://www.econbiz.de/10009193017