This paper considers the problem of testing against stochastic trend and seasonality in the presence of structural breaks and unit roots at frequencies other than those directly under test, which we term unattended breaks and unattended unit roots respectively. We show that under unattended...

Tests of parameter instabilities are likely to have low power when change-points occur towards the end of the sample. This paper considers various modifications of existing tests and introduces new statistics designed to have high power in such circumstances. The properties of both Wald-type...

In this paper we consider several time-varying volatility and/or heavy-tailed models to explain the dynamics of return time series and to fit the volatility smile for exchange-traded options where the underlying is the main �Borsa Italiana� stock index. Given observed prices for the...

We study the one-dimensional Ornstein-Uhlenbeck (OU) processes with marginal law given by the tempered stable and tempered infinitely divisible distributions proposed by Rosinski (2007) and Bianchi et al. (2010b), respectively. In general, the use of non-Gaussian OU processes is impeded by...

In this paper we conduct an empirical analysis of daily log-returns of Italian open-end mutual funds and their respective benchmarks in the period from February 2007 to June 2013. First, we estimate the classical normal-based model on the log-returns of a large set of funds. Then we compare it...

We develop a dynamic multivariate default model for a portfolio of credit-risky assets in which default times are modelled as random variables with possibly different marginal distributions, and L�vy subordinators are used to model the dependence among default times. In particular, we...

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...