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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

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

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

(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

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

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

Forecasting world output: the rising importance of emerging economies

Borin, Alessandro; Cristadoro, Riccardo; Golinelli, Roberto - Banca d'Italia - 2012

Assessing the global economic outlook is a fundamentally important task of international financial institutions, governments and central banks. In this paper we focus on the consequences of the rapid growth of emerging markets for monitoring and forecasting the global outlook. Our main results...

Persistent link: https://www.econbiz.de/10009654297

Convergences of prices and rates of inflation

Busetti, Fabio; Fabiani, Silvia; Harvey, Andrew - Banca d'Italia - 2006

We consider how unit root and stationarity tests can be used to study the convergence properties of prices and rates of inflation. Special attention is paid to the issue of whether a mean should be extracted in carrying out unit root and stationarity tests and whether there is an advantage to...

Persistent link: https://www.econbiz.de/10005111570

Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots

Busetti, Fabio; Taylor, A. M. Robert - Banca d'Italia - 2003

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...

Persistent link: https://www.econbiz.de/10005113521

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