The purpose of the paper is to argue that exogenous changes lowering wages may imply an increase of unemployment. To support that viewpoint, we use a general equilibrium approach. In that framework, we substitute the labour market clearing equation, which by very definition insures full...

Equity returns and firm's default probability are strictly interrelated financial measures capturing the credit risk profile of a firm. Following the idea proposed in [20] we use high-frequency equity prices in order to estimate the volatility risk component of a firm within Merton [17]...

Procurement auctions often involve quality considerations as a determinant of the final outcome. When qualities are the procurer’s private information then various information policies may be used to affect the expected outcome. For auctions with two cost heterogeneous suppliers, this work...

We study a simple monetary model in which a central bank faces a boundedly rational private sector and has the goal of stabilizing inflation. The system’s dynamics is generated by the interaction of the expectations about inflation of the various agents involved. A modest degree of...

We study the connections between stochastic dominance and law invariant preferences. Whenever the functional that represents preferences depends only on the law of the random variable, we shall look for conditions that imply a ranking of distributions. In analogy with the Expected Utility...

We show that the Truncated Realized Variance (TRV) of a semimartingale asset price converges to zero when observations are contaminated by microstructure noises. Under the additive iid noise assumption, a central limit theorem is also proved. In consequence it is possible to construct a feasible...

La costruzione di un controesempio aritmetico coerente con gli assiomi di Zermelo e Fraenkel che contraddice l’equivalenza della doppia negazione relega l’equivalenza della doppia negazione al sistema logico elementare classico della certezza e la esclude dai sistemi simbolici formalizzati...

We introduce a class of nonparametric spot volatility estimators based on delta sequences and conceived to include many of the existing estimators in the field as special cases. The full limit theory is first derived when unevenly sampled observations under infill asymptotics and fixed...

We study a model of procurement auctions in which information policies can be used to treat two heterogeneous suppliers asymmetrically. The buyer is shown to be better off revealing information about her preferences to the weak supplier only, when there is a sufficient cost difference between...

The original motivation of this work comes from a classic problem in finance and insurance: that of computing the value-at-risk (VaR) of a portfolio of dependent risky positions, i.e. the quantile at a certain level of confidence of the loss distribution. In fact, it is difficult to overestimate...