117,405 research outputs found
Forecasting the Volatility of Electricity Prices by Robust Estimation: An Application to the Italian Market
No full textVolatility of electricity prices has been often estimated through GARCHtype models which can be strongly affected by the presence of extreme observations. Although the presence of spikes is a well-known stylized effect observed on electricity markets, robust volatility estimators have not been applied so far. In this paper we try to fill this gap by suggesting a robust procedure to the study of the dynamics of electricity prices. The conditional mean of de-trended and seasonally adjusted prices is modeled through a robust estimator of SETAR processes based on a polynomial weighting function while a robust GARCH is used for the conditional variance. The robust GARCH estimator relies on the extension of the forward search by Crosato and Grossi. The robust SETAR-GARCH model is applied to the Italian day-ahead electricity market using data in the period spanning from 2013 to 2015
Statistical regularity of firm size distribution: the Pareto IV and truncated Yule for Italian SCI manufacturing
No full textFirm size distribution, Pareto distributions, Yule distribution, Gibrat’s Law, L11, L60, C16,
3. Firm size distributions and stochastic growth models: a comparison between ICT and Mechanical Italian Companies
No full textIn this paper we analyze the relationship between the distribution of firm size and stochastic processes of growth. Three main models have been suggested by Gibrat (1931), Kalecki (1945) and Champernowne (1973). The first two lead to lognormal distribution and the last to Pareto distribution. We fitted lognormal and Pareto distribution to two Italian sectors: ICT and mechanical. For ICT we found that lognormal distribution must be rejected and Pareto fits reasonably well to the last 30% of largest companies. For mechanical sector we can not reject lognormal distribution. Furthermore, we perform some experiments to corroborate the theoretical models. By means of transition matrices we found that ICT shows features very close to Gibrat's and Champernowne's models, while Kalecki's model strongly fits to mechanical
Correcting outliers in GARCH models: a weighted forward approach
No full textIn this paper we develop a weighted forward search (WFS) approach to the correction of outliers in GARCH(1,1) models relying on the foward search (FS) method introduced by Atkinson and Riani (Robust diagnostic regression analysis. Springer, New York, 2000). The WFS is based on a weighting system of each unit and is an extension of the FS from independent to dependent observations. We propose a WFS test for the detection of outliers in GARCH(1,1) models and a WFS estimator of GARCH(1,1) coefficients which automatically corrects outliers. Extensive Monte Carlo simulations show the good performance of the WFS test with respect to other methods of outlier detection for the same models. The marked similarity between the distribution of MLE before strong contamination of the time series and after decontamination through the WFS proves the reliability of the WFS estimator. Finally, the application of the WFS procedure to several financial time series of the NYSE reveals the effectiveness of the method when extreme returns are observed
Improving Bankruptcy Proceedings or Strengthening Punishments? An Assessment on Anti-Usury Policies
No full textSafe credit to the poor: the role of anti-usury policies
No full textUsury regulations focus both on explicit recommendations, such as disclosure statements in lending acts or interest rate caps, and on incentives for the formal banking sector to reach the poor. Considerable attention is also devoted to adequate sanctions for the practice of usury. We propose a theoretical model to investigate where to direct reforms to curb usury. Our primary policy implication is the convenience of polarizing the allocation of public resources in either legal safeguards for formal lenders or sanction enforcement against usurers. Furthermore, we demonstrate that in developing countries such policy interventions may backfire when borrowers' higher wealth implies increasing inequality in its distribution. Therefore, countries undertaking reforms against predatory lending should be aware of their growth path during transition
Dimensione e concentrazione dei gruppi bancari italiani nell'ultimo decennio
No full textThe paper analyzes the change in the size distribution of Italian banking groups over the period 1999 to 2007 following a wave of M&As among large banks. Had this process increased the degree of concentration we would have expected greater credit rationing for small firms, given the central role of Italian banks in financing small firms. We measure this change through widely used measures of concentration on branches. First, we observe a steady increase in concentration that can be captured only by looking at the overall size distribution. Other measures do not perceive this change until the year 2007, when the very large banks merged. Second, by focusing on the banking groups that have been active players in M&As we do see a decline in concentration, since smaller players have caught up with the larger ones in terms of rate of size increase. This contrasts with the role of the new entries and the disappearance of banks following mergers, that has increased the dispersion of market shares. The implications are that: i) there is a credit termination risk due to the rise in active players’ size, but ii) credit rationing may not occur due to a substitution effect in credit supply from new entries
A simplicial approach to inequality measurement
No full textInequality measurement based on grouped data is usually performed by non-linear squares. We propose here an alternative approach building on the compositional nature of the shares of income derived from quantiles. Three parametric Lorenz curves are estimated after trasforming the income shares with the isometric logratio transform. The performance of our simplicial approach is then compared by means of a Monte Carlo Experiment with the methodology proposed by Chotikapanich and Griffiths (2002) based on the Dirichlet distribution and with the non-linear squares. To this purpose, the resulting bias in the Gini coefficient associated with the estimated curves is evaluated across increasing quantiles and different income distributions
Technology and firm size distribution: evidence from Italian manufacturing sectors
No full textThis paper explores the relationship between firm size distribution and technology. Similarly to Crosato and Ganugi (2006), we focus on six industries from the Micro1 survey by the Italian Statistical National Office (ISTAT). Firm technology is analysed across selected industries by means of a non-parametric production analysis, the Free Disposal Hull approach (Deprins et al., 1984; Kerstens and Vanden Eeckaut, 1999). The existence of a link between technical efficiency and size on the one hand, and between scale elasticity and size on the other is investigated. Graphical analyses show the absence of a clear-cut relation in the first case, while an inverse relation is found in the second one. Building on this relation, we inquire whether the shape of the firm size-distribution is related to a particular pattern of returns to scale. This problem is studied through the Zipf Plot (Stanley et al., 1995) of the Pareto IV distribution, which is concave for firms up to a given threshold, and then becomes linear. Results show that firms in the concave part of the plot experience increasing returns to scale. On the contrary, firms in the linear part are mainly characterised by constant returns to scale
Past River Channel Alignments Reconstruction by Combining a Meander Migration Model and Vegetation Succession
No full textMeandering rivers dynamics has intrigued scientists since the nineteen fifties (Hooke, 2013). Meander migration models are regularly used to predict planimetric changes (Crosato, 2018), but they have not considered the figure, the reconstructed historical channel is shown. This alignment was obtained from the analysis of the existent water marks and channel trajectories that can be identified in satellite imagery. reconstruction of their historical alignments. This study deals with the reconstruction of a 9 km long reach of the Bodoquero River (see Figure 1), located in the Caquetá department, Colombia, combining the potential of meander migration models and vegetation succession to validate the modeled historical alignments.Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-care Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.Environmental Fluid Mechanic
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