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Portfolio Selection with Monotone Mean-Variance Preferences

Maccheroni, Fabio; Marinacci, Massimo; Rustichini, Aldo; … - Banca d'Italia - 2008

We propose a portfolio selection model based on a class of monotone preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone and are therefore not economically meaningful. The functional associated to...

Persistent link: https://www.econbiz.de/10005113531

Calibrating the Italian smile with time-varying volatility and heavy-tailed models

Bianchi, Michele Leonardo; Fabozzi, Frank J.; Rachev, … - Banca d'Italia - 2014

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 ï¿½Borsa Italianaï … of the implied volatility for numerous strikes and maturities during the highly volatile period from April 1, 2007 (prior …

Persistent link: https://www.econbiz.de/10011099609

An empirical comparison of alternative credit default swap pricing models

Bianchi, Michele Leonardo - Banca d'Italia - 2012

Most of the important models in finance rest on the assumption that randomness is explained through a normal random variable because, in general, the use of alternative models is obstructed by the difficulty of calibrating and simulating them. In this paper, we empirically study models for...

Persistent link: https://www.econbiz.de/10011099611

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

Investment forecasting with business survey data

Leandro Dï¿½Aurizio; Iezzi, Stefano - Banca d'Italia - 2011

Business investment is a very important variable for short- and medium-term economic analysis, but it is volatile and difficult to predict. Qualitative business survey data are widely used to provide indicators of economic activity ahead of the publication of official data. Traditional...

Persistent link: https://www.econbiz.de/10009386392

Forecasting economic activity with higher frequency targeted predictors

Bulligan, Guido; Marcellino, Massimiliano; Venditti, … - Banca d'Italia - 2012

In this paper we explore the performance of bridge and factor models in forecasting quarterly aggregates in the very short-term subject to a pre-selection of monthly indicators. Starting from a large information set, we select a subset of targeted predictors using data reduction techniques as in...

Persistent link: https://www.econbiz.de/10009645792

Structural reforms and macroeconomic performance in the euro area countries: a model-based assessment

Gomes, Sandra; Jacquinot, Pascal; Mohr, Matthias; … - Banca d'Italia - 2011

We quantitatively assess the macroeconomic effects of country-specific supply-side reforms in the euro area by simulating EAGLE, a multi-country dynamic general equilibrium model. We consider reforms in the labor and services markets of Germany (or, alternatively, Portugal) and the rest of the...

Persistent link: https://www.econbiz.de/10009364555

Estimating DSGE models with unknown data persistence

Moretti, Gianluca; Nicoletti, Giulio - Banca d'Italia - 2010

Recent empirical literature shows that key macro variables such as GDP and productivity display long memory dynamics. For DSGE models, we propose a ï¿½Generalizedï¿½ Kalman Filter to deal effectively with this problem: our method connects to and innovates upon data-filtering techniques...

Persistent link: https://www.econbiz.de/10008626022

The economic consequences of euro area modelling shortcuts

Monteforte, Libero; Siviero, Stefano - Banca d'Italia - 2002

The available empirical evidence suggests that non-negligible differences in economic structures persist among euro area countries. Because of these asymmetries, an area-wide modelling approach is arguably less reliable, from a strictly statistical viewpoint, than a multi-country one. This paper...

Persistent link: https://www.econbiz.de/10005111550

FORECASTING OUTPUT GROWTH AND INFLATION IN THE EURO AREA: ARE FINANCIAL SPREADS USEFUL?

Nobili, Andrea - Banca d'Italia - 2005

This paper deals with the usefulness of several measures of financial spreads (the slope of the yield curve, the reverse yield gap, the credit quality spread) for fore-casting real economic activity and inflation in the euro area. A quarterly Bayesian vector autoregression model is used to...

Persistent link: https://www.econbiz.de/10005111558