In high-dimensional vector autoregressive (VAR) models, it is natural to have large number of predictors relative to the number of observations, and a lack of efficiency in estimation and forecasting. In this context, model selection is a difficult issue and standard procedures may often be...

We analyze the evolution of the price of paintings in the XVII century Amsterdam art market to test a hypothesis of endogenous entry: higher probability should attract more entry of painters, which in turn should lead to artistic innovations and more intense competition. We build a price index...

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 purpose of this paper is the construction of an early warning indicator for systemic risk using entropy measures. The analysis is based on the cross-sectional distribution of marginal systemic risk measures such as Marginal Expected Shortfall, Delta CoVaR and network connectedness. These...

The paper discusses the impact of the use of Facebook as a supporting learning platform for a course in Mathematics at the undergraduate level. After the examination of some critical issues of Facebook in a learning framework, we analyze data on the usage the page (total reach and number of...

This paper investigates what motivates intergenerational time and money transfers. We consider a model in which transfers may be driven not only by altruism, but also by exchange considerations. We use data from the Survey of Health, Ageing and Retirement in Europe (SHARE) to discriminate...

In this paper we review the main theories of household and marriage systems, highlighting their inability to account for the astonishing variety of family and marriage patterns that characterized modern Italy. We propose a new interpretative framework, where social reproduction is given pride of...

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...

This paper studies excess of loss reinsurance with reinstatements in the case in which the aggregate claims are generated by a discrete distribution, in the framework of risk adjusted premium principle. By regarding to comonotonic exchangeability, a generalized definition of initial premium is...

We develop a model where heterogeneous agents maximize their individual utility based on (after tax) income and on the level of public expenditure (as in Cowell, Gordon, 1988). Agents are different in risk aversion and in the relative preference for public expenditure with respect to personal...