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Style, Fees and Performance of Italian Equity Funds
Cesari, R.; Panetta, F. - Banca d'Italia - 1998
Using a clustering procedure, we classify Italian funds ex-post on the basis of the composition of their portfolios and find that the optimal number of clusters is equal to 4. The four groups which result from the statistical classification closely match the 4-level aggregation of the 20 ex-ante...
Persistent link: https://www.econbiz.de/10005486714
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Sensitivity of VAR Measures to Different Risk Models
Drudi, F.; Generale, A.; Majnoni, G. - Banca d'Italia - 1997
The paper provides an empirical assessment of the market risk exposure of several portfolios representative of real … life investment positions. We employ the notion of value at risk made popular by the recent debate on capital budgeting …
Persistent link: https://www.econbiz.de/10005640899
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Macroeconomic determinants of carry trade activity
Anzuini, Alessio; Fornari, Fabio - Banca d'Italia - 2011
From a financial standpoint, the mechanics of the carry trade has been recently examined in Brunnermeier et al. (2009). They showed that shocks to interest rate differentials lead to carry trade activity and to significant reactions in the bilateral exchange rates vis-a-vis the US dollar that...
Persistent link: https://www.econbiz.de/10009320179
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The role of financial investments in agricultural commodity derivatives markets
Borin, Alessandro; Nino, Virginia Di - Banca d'Italia - 2012
This paper investigates the relationship between futures prices and financial investments in derivatives of the main agricultural commodities. We first provide a broad picture of how these markets function and how they have evolved, showing that traders who deal mostly in commodity index...
Persistent link: https://www.econbiz.de/10009645788
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An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil
Cesare, Antonio Di; Guazzarotti, Giovanni - Banca d'Italia - 2010
common factor, which cannot be explained by indicators of economic activity, uncertainty, and risk aversion. …
Persistent link: https://www.econbiz.de/10008626020
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Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area
Pericoli, Marcello - Banca d'Italia - 2005
This paper evaluates the use of risk-neutral probability density functions implied in 3-month interest-rate futures …
Persistent link: https://www.econbiz.de/10005111560
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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 … are influenced by the ex-ante values of the risk premia and ex-post returns are, if any, rough approximations of these …
Persistent link: https://www.econbiz.de/10005113528
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Risk-Adjusted Forecasts of Oil Prices
Pagano, Patrizio; Pisani, Massimiliano - Banca d'Italia - 2006
mid-1990s, which is negative on average and displays a non-trivial cyclical component (risk premium). We show that the …
Persistent link: https://www.econbiz.de/10005609334
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Estimating expectations of shocks using option prices
Cesare, Antonio Di - Banca d'Italia - 2004
The jump-diffusion model introduced by Merton is used to price a cross- section of options at different dates. At any 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...
Persistent link: https://www.econbiz.de/10005609384