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The Probability Density Function of Interest Rates Implied in the Price of Options.

Fornari, F.; Violi, R. - Banca d'Italia - 1998

The paper contributes to the stochastic volatility literature by developing simulation schemes for the conditional distributions of the price of long term bonds and their variability based on non-standard distributional assumptions and volatility concepts; it illustrates the potential value of...

Persistent link: https://www.econbiz.de/10005671394

The Probability Density Function of Interest Rates Implied in the Price of Options

Fornari, Fabio; Violi, Roberto - Banca d'Italia - 1998

Persistent link: https://www.econbiz.de/10005111555

Nonlinear VAR: Some Theory and an Application to US GNP and Unemployment

Altissimo, Filippo; VIolante, Giovanni Luca - Banca d'Italia - 1998

A generalization of the endogenous threshold model is developed by extending this class to a multivariate framework and to cases where the feedback acts at multiple lags. The feedback is specified, following Beaudry and Koop, by a variable which measures the depth of recessions. We give...

Persistent link: https://www.econbiz.de/10005113561

Nonlinear VAR: Some Theory and an Application to the US GNP and Unemployment.

Altissimo, F.; Violante, G.L. - Banca d'Italia - 1998

A generalization of the endogenous threshold model is developed by extending this class to multivariate framework and to cases where the feedback acts at multiple lags. The feedback is specified, following Beaudry and Koop, by a variable which measures the depth of recessions. We give conditions...

Persistent link: https://www.econbiz.de/10005486720

Identifying and managing risk : J. P. Morgan, Global Markets Corporate Finance Conference, Venice, 28 October 1993

Dini, Lamberto - 1993

Persistent link: https://www.econbiz.de/10000873773

Money and uncertainty : inflation, interest, indexation ; Banca d'Italia, Roma, 6 novembre 1992

Drèze, Jacques H. - 1993

Persistent link: https://www.econbiz.de/10000877254

Financial stability report

Banca d'Italia - Roma - 1.2010 - 6.2013; 2014 -

Persistent link: https://www.econbiz.de/10009663370

Investment and Growth in Europe and in the United States in the Nineties

Caselli, Paola; Pagano, Patrizio; Schivardi, Fabiano - Banca d'Italia - 2000

uncertainty in the nineties compared with the previous period. …

Persistent link: https://www.econbiz.de/10005196846

A non-parametric model-based approach to uncertainty and risk analysis of macroeconomic forecast

Miani, Claudia; Siviero, Stefano - Banca d'Italia - 2010

degree of uncertainty and the prevailing direction of risks. Several alternative approaches have been proposed in the …

Persistent link: https://www.econbiz.de/10008509919

Macroeconomic uncertainty and banks' lending decisions: The case of Italy

Quagliariello, Mario - Banca d'Italia - 2007

This paper discusses the role that macroeconomic uncertainty plays in banksï¿½ decisions on the optimal asset … between loans and risk-free assets when uncertainty on macroeconomic conditions increases. The econometric results confirm … that macroeconomic uncertainty is a significant determinant of banksï¿½ investment decisions, also after controlling for …

Persistent link: https://www.econbiz.de/10005609339