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Gaussian inference on certain long-range dependent volatility models
Zaffaroni, Paolo - Banca d'Italia - 2003
For a class of long memory volatility models, we establish the asymptotic distribution theory of the Gaussian estimator …
Persistent link: https://www.econbiz.de/10005609388
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The size of the equity premium
Fornari, Fabio - Banca d'Italia - 2002
Among the many controversial variables in finance, risk premia stand out for their lack of observability. Measuring premia as the difference between realized returns on risky and risk-free assets has not led to unanimous conclusions about their size, which greatly depends on the length of the...
Persistent link: https://www.econbiz.de/10005113528
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Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations
Fornari, Fabio; Mele, Antonio - Banca d'Italia - 2001
equation of asset price changes and ii) volatility concepts different from the variance. The objective PDF of the asset price …-neutral PDF is extracted from crosssections of bond option prices, after introducing a volatility risk premium function. The …
Persistent link: https://www.econbiz.de/10005113677
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(Fractional) Beta Convergence
Michelacci, Claudio; Zaffaroni, Paolo - Banca d'Italia - 2000
Unit roots in output, an exponential 2 per cent rate of convergence and no change in the underlying dynamics of output seem to be three stylized facts that cannot go together. This paper extends the Solow-Swan growth model allowing for cross-sectional heterogeneity. In this framework, aggregate...
Persistent link: https://www.econbiz.de/10005770774
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Detecting long memory co-movements in macroeconomic time series
Moretti, Gianluca - Banca d'Italia - 2007
Cointegration analysis tests for the existence of a significant long-run equilibrium among some economic variables. Standard econometric procedures to test for cointegration have proven unreliable when the long-run relation among the variables is characterized by non-linearities and persistent...
Persistent link: https://www.econbiz.de/10005113597
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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
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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 � 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
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Business cycle non-linearities and productivity shocks
Piselli, Paolo - Banca d'Italia - 2004
The recent empirical evidence documenting the presence of asymmetries in business cycles represents a challenge for the standard equilibrium models of real business cycle. These models successfully explain most first and second moments of the actual time series, but cannot replicate non-linear...
Persistent link: https://www.econbiz.de/10005467299
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Metodologie di stima dell�economia sommersa: un�applicazione al caso italiano
Zizza, Roberta - Banca d'Italia - 2002
The paper surveys different approaches to the estimation of the underground economy. First, the focus is on the methodologies adopted by the Italian and French Statistical Institutes, respectively based on the exhaustive estimate of the labour input and on tax compliance data. Secondly, we...
Persistent link: https://www.econbiz.de/10005467318
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Seasonal adjustment of bank deposits and loans
Silvestrini, Andrea - Banca d'Italia - 2009
This paper illustrates the seasonal adjustment procedure for bank deposits and loans, focusing on the policy for the revision of seasonally adjusted data. Seasonal adjustment is semi-automatic when the commonly used software package, TRAMO-SEATS, is used to produce seasonally adjusted series....
Persistent link: https://www.econbiz.de/10005467328