The economic collapse of 2007-10 is described as a debt deflation crisis triggered by a speculative bubble. The basic causes are traced back to the policy choices of the great capitalist powers governing globalization. Market liberalization and the TRIPS agreements work as a sort of global...

Problems related to deterministic solution of nonlinear econometric models are well known in the literature. The use of mean (average) stochastic simulation results has been usually proposed to solve the problem of bias. This raises however other types of problems, like possible non-coherent...

Country risk and sovereign risk are two of the most important topics in risk management. The first part of this work introduces these concepts and shows the differences between them. The following chapters fit linear and ordinal regression models to a data-set with more than 100 countries, where...

In this paper we address the issue of forecasting Value–at–Risk (VaR) using different volatility measures: realized volatility, bipower realized volatility, two scales realized volatility, realized kernel as well as the daily range. We propose a dynamic model with a flexible trend...

The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate model where the state of one variable feeds into the transition probability of the state of the other. A number of model restrictions and hypotheses can be tested to stress the...

Multiplicative Error Models (MEM) can be used to trace the dynamics of non–negative valued processes. Interactions between several such processes are accommodated by the vector MEM and estimated by maximum likelihood (Gamma marginals with copula functions) or by Generalized Method of Moments....

In financial time series analysis we encounter several instances of non–negative valued processes (volumes, trades, durations, realized volatility, daily range, and so on) which exhibit clustering and can be modeled as the product of a vector of conditionally autoregressive scale factors and a...

The Multiplicative Error Model introduced by Engle (2002) for non-negative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multivariate extension of such a model, by taking...

In this paper we show how French Theory of Regulation has been considered in the Italian political economic debate. The Regulation Approach givessome explanations of the Fordist crise, by using methodological toolswhich are based on an historical- analytical one. It is relevant that themain book...

Italian Abstract: La proposta di unione bancaria europea rappresenta il più recente tentativo di guidare i paesi della zona Euro verso l'effettiva adozione di un codice unico e un unico manuale di vigilanza, allo stesso tempo dotandoli di un meccanismo centralizzato per la risoluzione delle...