English Abstract: This paper contributes to the literature on bank risk with a cross-sectional analysis of the bank specific determinants of risk using a new indicator calculated for a sample of 38 Italian banks in the period 2006-2012 and expressed as flow of the amount of new non- performing...

Italian Abstract: L'ampliamento del commercio al dettaglio a livello globale, favorito dalla diffusione delle transazioni via Internet (e-commerce), ha indotto il legislatore europeo a rafforzare i presidi di sicurezza nelle operazioni di pagamento online. Questo lavoro si pone l'obiettivo di...

Financial time series analysis has focused on data related to market trading activity. Next to the modeling of the conditional variance of returns within the GARCH family of models, recent attention has been devoted to other variables: first, and foremost, volatility measured on the basis of...

The performance of tax receipts in Italy during the period 1978-2006 is analysed through the relationship between the growth of revenue and the evolution of the macroeconomic framework. Series of actual tax receipts are adjusted to take account of discretionary measures, transformed into...

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...

We analyze several measures of volatility (realized variance, bipower variation and squared daily returns) as estimators of integrated variance of a continuous time stochastic process for an asset price. We use a Multiplicative Error Model to describe the evolution of each measure as the product...

La letteratura di storia economica del fascismo rileva come le politiche economiche del regime fossero indirizzate verso l'aumento di questo fattore della produzione. In questo lavoro si analizza il processo di accumulazione del capitale in Italia tra il 1881 e il 1938 per verificarne la...

Nonlinear time series models can exhibit components such as long range trends and seasonalities that may be modeled in a flexible fashion. The resulting unconstrained maximum likelihood estimator can be too heavily parameterized and suboptimal for forecasting purposes. The paper proposes the use...

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...