5,392 research outputs found
Bootstrap lag selection in DSGE models with expectations correction
No full textA well known feature of DSGE models is that their dynamic structure is generally not consistent with agents’ forecasts when the latter are computed from ‘unrestricted’ models. The expectations correction approach tries to combine the structural form of DSGE models with the best fitting statistical model for the data, taken the lag structure from dynamically more involved state space models. In doing so, the selection of the lag structure of the state space specification is of key importance in this framework. The problem of lag selection in state space models is quite an open issue and bootstrap techniques are shown to be very useful in small samples. To evaluate the empirical performances of our approach, a Monte Carlo simulation study and an empirical illustration based on U.S. quarterly data are provided
Estimation of Quasi-Rational DSGE Models
No full textSmall-scale dynamic stochastic general equilibrium have been treated as the benchmark of much of the monetary policy literature, given their ability to explain the impact of monetary policy on output, inflation and financial markets. One cause of the empirical failure of New Keynesian models is partially due to the Rational Expectations (RE) paradigm, which entails a tight structure on the dynamics of the system. Under this hypothesis, the agents are assumed to know the data genereting process. In this paper, we propose the econometric analysis of New Keynesian DSGE models under an alternative expectations generating paradigm, which can be regarded as an intermediate position between rational expectations and learning, nameley an adapted version of the "Quasi-Rational" Expectatations (QRE) hypothesis. Given the agents' statistical model, we build a pseudo-structural form from the baseline system of Euler equations, imposing that the length of the reduced form is the same as in the `best' statistical model
La Retorica, fra etica e politica
No full textQuesto volume parte da una serie di problematiche che, riprendendo delle espressioni comunemente in uso, si addensano sull’etica e sulla politica dello Stagirita: che cos’è l’etica? Che cos’è la politica? Qual è il loro fine? A chi si riferiscono? Qual è il collegamento tra le due? Ma ancora, passando ai trattati, qual è il rapporto tra le Etiche e la Politica sia in sé che rispetto alla continuità e discontinuità di certi temi? Oltre alla questione della scienza – che, al di là della sistematizzazione consueta, non è assolutamente scontata –, si tratta però di concentrarsi anche su tutti quei temi che si impongono sempre in un’interrogazione di questo tipo, interrogazione che deve sempre tenere presente la specificità storico-categoriale del pensiero dello Stagirita. Anche per questo, piuttosto che offrire una semplice ricostruzione, qui si cercherà di complicare il più possibile questo nodo, che, come si vedrà, è tutto tranne che risolto. Saggi di: Giulia Angelini, Claudia Baracchi, Manuel Berrón, Enrico Berti, Michele Di Febo, Silvia Gullino, Alberto Jori, Pietro Li Causi, Giovanni Battista Magnoli Bocchi, Francesca Masi, Marcello Zanatta
PARX model for football match predictions
No full textWe propose an innovative approach to model and predict the outcome of football matches based on the Poisson autoregression with exogenous covariates (PARX) model recently proposed by Agosto, Cavaliere, Kristensen, and Rahbek (Journal of Empirical Finance, 2016, 38(B), 640-663). We show that this methodology is particularly suited to model the goal distribution of a football team and provides a good forecast performance that can be exploited to develop a profitable betting strategy. This paper improves the strand of literature on Poisson-based models, by proposing a specification able to capture the main characteristics of goal distribution. The betting strategy is based on the idea that the odds proposed by the market do not reflect the true probability of the match because they may also incorporate the betting volumes or strategic price settings in order to exploit betters' biases. The out-of-sample performance of the PARX model is better than the reference approach by Dixon and Coles (Applied Statistics, 1997, 46(2), 265-280). We also evaluate our approach in a simple betting strategy, which is applied to English football Premier League data for the 2013-2014, 2014-2015, and 2015-2016 seasons. The results show that the return from the betting strategy is larger than 30% in most of the cases considered and may even exceed 100% if we consider an alternative strategy based on a predetermined threshold, which makes it possible to exploit the inefficiency of the betting market
Efficiency of online football betting markets
No full textThis paper evaluates the efficiency of online betting markets for European (association) football leagues. The existing literature shows mixed empirical evidence regarding the degree to which betting markets are efficient. We propose a forecast-based approach for formally testing the efficiency of online betting markets. By considering the odds proposed by 41 bookmakers on 11 European major leagues over the last 11 years, we find evidence of differing degrees of efficiency among markets. We show that, if the best odds are selected across bookmakers, eight markets are efficient while three show inefficiencies that imply profit opportunities for bettors. In particular, our approach allows the estimation of the odds thresholds that could be used to set profitable betting strategies both ex post and ex ante. (C) 2018 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved
CANONRY ANGELINI IN ROVINJ (ROVIGNO)
No full textSredište istraživanja usmjereno je na laički kanonikat Angelini, koji je djelovao pri župnoj crkvi sv. Eufemije u Rovinju od 1725. do 1893. godine. Služeći se izvornom arhivskom građom, daje se cjelokupna slika o djelovanju tog kanonikata u vjerskom i ceremonijalnom životu Rovinja. U uvodu se obrazlaže pojam kaptola i rovinjski Kaptol sv. Eufemije, njegova važnost i ugled u vrijeme osnivanja kanonikata Angelini. Potom se izlaže potreba osnivanja kanonikata, prava i dužnosti njegovih kanonika u životu Crkve u Rovinju do utrnuća 1893. godine. U završnom dijelu predstavljaju se kanonici kanonikata Angelini. Rad želi predstaviti jednu od najvažnijih institucija u rovinjskoj župi, a u prilogu se objavljuju cjeloviti prijepisi pravnih akata.During the favorable economic circumstances in the first half of the eighteenth century a lay canonry of the St. Euphemia church was founded. This was followed by significant flourishing of the local religious life. Believers started to join confraternities, and Elizabeth Angelini, daughter of the late Rocco and wife of Giovanni Antonio count of Califfi, according to the wish of her parents founded the Angelini canonry. This canonry had substantial financial funds of 4000 ducats, and its canons had several tasks: increase their number, help local parish community, participate in weekly duties and expenses of the Chapter, as well as serve lady Elizabeth regarding her spiritual needs. Regarding their other duties and rights canons of the Angelini canonry were equal to other canons from the local Rovinj Chapter; the only difference was that they had to be accepted by the Angelini family. Although in 1725 Venetian Dodge Alvise Mocenigo confirmed patronage right of Angelini family over this canonry, this concept of family’s patronage did not survive since after the Elizabeth’s death major and captain of Kopar acquired this patronage right. However, even afterwards Angelini family had some influence on the final decisions regarding the canonry. Namely, sometimes canonry canons had serious disagreements, which could not be solved even by the local bishop, thus the canons asked for final solution at Elizabeth. At the end Venetian Dodge solved this case in 1740 making eight rules that all canons had to obey henceforth. Still this canonry, together with Angelini family, revealed its power in the second half of the eighteenth century, when the number of canons had to increase because of the needs of the growing religious community. Namely, because of this growth there raised organizational need to divide the canonry prebends in two parts. However, Angelini family did not permit this because in this way the financial obligations of canons could be endangered. The entire litigation was in front of the Venetian court of justice and the Dodge ruled in favor of Angelini family, and their canons did not have to pay high fund fees. The first canon was Antonio Angelini, and he was elected according to the Elizabeth’s wish on 22nd January 1726. After her death canons were elected by majors of Kopar two times, once the canon was appointed by the bishop of Poreč, and the last Angelini canon was appointed by the Austrian emperor Franz Joseph. It is important to stress that for some time this canonry was vacant. The last canon Antonio Rocco resigned on 9th February 1893. Although even after this year the Angelini canonry was officially was listed as one of the lay canons, it has been never revitalized. Namely, as time passed canonry fund lost its value and no one wanted to be appointed to this duty. However, canons of Angelini canonry had fulfilled their main goal: liturgy and pastoral care were reestablished in the local community, as well as they managed to show the power of a lay family in Rovinj
Elogio della connoisseurship. Giovanni Morelli & i Vittoriani.
No full textIn the 19th century, Morelli's method, like those of Taine, Cuvier and Pierce, addressed the theme of signification and quality of signs at the origin of knowledge, inaugurated by John Locke and recently resurrected after a long ideological and political repression, with relevant implications. This topic, together with the attraction for the sharing of metaphors and protocols with the nascent forensic medicine, which the newspapers gave account to replace the stories of various atrocities, half news half literary invention, determined the extraordinary fortune of Giovanni Morelli in wide contemporary British culture
Matteo di Giovanni e il Trittico di San Giovanni Val d'Afra: vicenda di un complesso rapporto con Piero della Francesca
No full textEvaluating Discrete Dynamic Strategies in Affine Models
No full textWe consider the problem of measuring the performance of a dynamic strategy, rebalanced at a discrete set of dates, whose objective is that of replicating a claim in an incomplete market driven by a general multi-dimensional affine process. The main purpose of the paper is to propose a method to efficiently compute the expected value and variance of the hedging error of the strategy. Representing the pay-off the claim as an inverse Laplace transform, we are able to get semi-explicit formulas for strategies satisfying a certain property. The result is quite general and can be applied to a very rich class of models and strategies, including Delta hedging. We provide illustrations for the cases of interest rate models and Heston's stochastic volatility model.
REPERTORIO ALFABETICO DELLE CRONACHE DI ROVIGNO DI ANTONIO ANGELINI
No full textPublikacija Angelini-jevih rukopisa (ili clanova obitelji Angelini), koji se odnose na povijest Rovinja, obogaéuje se u ovom izdanju novim dragocjenim izvorom interpretacije grade veé stampane ili jos neizdane o proslosti istarskog gradiéa i, opsirnije, o gradi citave regije. Sigurno da cjelokupnost rukopisa, o kojima je bilo natuknuto u prosloj knjizi Atti VI, predstavlja organsku cjelinu spisa koji na pozadinu najnovijih jugoslavenskih historiografskih istraiivanja o Istri projiciraju dva od naJnemirnijih i najodlucnijih stoljeéa povijesti Venecije i Evrope, izmedu 1600. i 1860. kada prestaje vlast Serenissime, a zamjenjuje ju na istarskom teritoriju habzburska vlast. Centralni i najinteresantniji dio rukopisa zauzimaju zbivanja koja, poredana rijecima u abecednom redu, idu, priblizno, od XVIII st. do 1860. g. Sastavljajuéi vijesti, Angelini je imao na raspolaganju Opéinski arhiv, obilje obiteljskih listava, prijateljstva (prvo od svih sa Olivierom Costantini-j em, kompilatorom rodoslovlja rovinjskih obitelji) . Ipak indikacija izvora sti:ze tek do rijeCi Cancelliere di sanità (fase. 5-6) i to ne zbog toga sto ih nije bilo, veé je autor smatrao suvisnim da ih navodi kad su isti koje je veé bio citirao on ili ostali Angelini u ranij e sastavljenim rukopisimq. i o kojima je veé bila rijec. Repertorio pruza, ipak, vrlo kompleksan okvir koji se tesko dade sazeti u nekoliko stranica, a voden veoma detaljnim ispitivanjem dokumenata, izvodi iz njih vrlo tocno statisticki evidentirano djelo. S druge strane, u Repertoriu, ima praznina, izostavljenih argumenata da ne oteza «pripovijedanje>>, da ga sto vise koncentrira. Rijeci na kojima se Angelini zaddava da izricito iznese svoje misljenje o dogadajima, licima, problemima, nisu, uostalom, brojne. Ima ih nekoliko, npr.o zbivanjima iz istarske povijesti oko godina 1850-1860, gdje se usuduje iznijeti poneki sud; no tipican naCin u izricanju svoje misli ili u «djelovanju» na citaoca jest
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