Le Reti Neurali Artificiali sono diventate uno strumento estremamente effcace nell'analisi di situazioni non ''predicibili'' analiticamente, e si prestano in maniera estremamente efficace alla modellizzazione di problemi di varia natura. In questo lavoro viene fatta una rassegna sulle origini e...

During the last three decades various models have been proposed by the literature to predict the risk of bankruptcy and of firm insolvency, which make use of structural and empirical tools, namely rating system, credit scoring, option pricing and three alternative methods (fuzzy logic, efficient...

Italian Abstract: Questo lavoro indaga l'esistenza di una relazione tra la percezione dei media e l'andamento del mercato azionario statunitense. Su un campione di 7.132 notizie ottenute dal Wall Street Journal tra novembre 2011 e febbraio 2013 sono stati stimati, per mezzo dell'analisi...

Italian Abstract: La letteratura economica e quella dei principali organismi internazionali sui tassi di rendimento dei debiti sovrani dell'area euro non sembra aver preso in considerazione il tema in un ottica di intermediazione finanziaria, sul terreno suo proprio. In questo articolo si tenta...

The estimation method of Two Stage Least Squares (2SLS) with Principal Components (2SPC) is applied to a medium-sized nonlinear econometric model of the Italian Economy.

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....