Tra i metodi di stima puntuale della riserva sinistri nell’assicurazione danni `e largamente utilizzato, in particolare dalle compagnie italiane, un approccio noto come “metodo di Fisher- Lange” (FL). L’FL `e un metodo “a costi medi”, nel senso che la valutazione degli impegni di...

Many ways exist to measure and model financial asset volatility. In principle, as the frequency of the data increases, the quality of forecasts should improve. Yet, there is no consensus about a "true" or "best" measure of volatility. In this paper we propose to jointly consider absolute daily...

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...

This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component analysis is first used to summarize the...

This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component technique is first used to summarize the...

Italian Abstract: Il presente lavoro analizza la sensitività delle stime del PIL potenziale e dell'output gap utilizzate nel contesto del processo di sorveglianza del Patto di stabilità e crescita. Il metodo di stima è quello della funzione di produzione adottato dalla Commissione europea e...

This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component technique is first used to summarize the...

This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component analysis is first used to summarize the...

This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component analysis is first used to summarize the...

This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component technique is first used to summarize the...