The well-known SETAR model introduced by Tong belongs to the wide class of TAR models that may be specified in several different ways. Here we propose to consider the delay parameter as endogenous, that is we make it to depend on both the past value and the specific past regime of the series. In...

In the literature of risk analysis different synthetic indices are built on the bases of some indicators and in this work we propose to use, alternatively to PCA, a combination statistical procedure. The univariate indices that we use are those proposed by _V-lab_ using a nonparametric...

The construction of automatic Financial Trading Systems (FTSs) is a subject of research of high interest for both academic environment and financial one due to the potential promises by self-learning methodologies and by the increasing power of actual computers. In this paper we consider...

The measurement of the quality of research has reached nowadays an increasing interest not only for scientific reasons but also for the critical problem of researchers' ranking, due to the lack of grant assignments. The most commonly used approach is based on the so-called $h$-index, even if the...

In the classical model for portfolio selection the risk is measured by the variance of returns. It is well known that, if returns are not elliptically distributed, this may cause inaccurate investment decisions. To address this issue, several alternative measures of risk have been proposed. In...

The design of financial trading systems (FTSs) is a subject of high interest both for the academic environment and for the professional one due to the promises by machine learning methodologies. In this paper we consider the Reinforcement Learning-based policy evaluation approach known as...

Investment performance evaluation is one of the pillars of finance and its techniques have refined throughout the years. This work focuses on the evaluation of the investment performance achieved through a top-down investment strategy analyzed using the Brinson model: a set of techniques that...