1,721,123 research outputs found
Controllo di qualità dei dati censuari: individuazione di dati anomali multivariati
No full textViene presentata una metodologia robusta per il monitoraggio dei dati censuar
Analisi tecnica e previsione della volatilità nelle serie storiche finanziarie
No full textIn this paper we analyze the influence of news on persistence using some variables related to technical analysis. The method is applied to some assets of the italian MIB30. It has been observed that the introduction of technical rules in the variance equation can reduce the volatility persistence and improve the forecasting performance of the model
Volatility Models for Electricity Prices with Intra-daily information
No full textIn this work, we explore the impact that intra-daily information could have on explaining and forecasting the conditional volatility of daily electricity returns. Returns are computed on Italian spot prices. The basic model considers an autoregressive structure on the conditional mean, daily dummies for capturing weekly seasonality and lagged total daily volumes . The conditional variance equation is modeled with ARCH(1) and GARCH(1,1) models with intra-daily regressors given by total traded volumes and variance of hourly returns at time t-1. The inclusion of intra-daily information reduces the volatility persistence, hence inducing better volatility forecasts of standardized returns
Forecasting Zonal and National Volatility Structuresof the Italian Electricity Wholesale Market
No full textAnalyzing Financial Time Series through Robust Estimators
No full textIn this paper we suggest an extension of the forward search
methodology to GARCH models which are often used for forecasting stock market volatility. It is frequently found that estimated residuals from GARCH models have excess kurtosis, even when one allows for conditional t-distributed errors. Some papers have appeared on outlier detection in GARCH models
(Van Dijk et al., 1999; Franses and Ghijsels, 1999) but the proposed methods are iterative and may suffer from masking effects. The forward search is a method for determining the effect of outliers on fitted parameters and for detecting
also masked outliers. In the case of GARCH models outliers are strictly related to extreme observations which are responsible for the well-known volatility clustering of financial returns. It is possible, through the forward search, to visualize the effect on estimated parameters of patches of extremal observations
Robustifying GARCH models through the forward search
No full textIn this paper we suggest an extension of the forward search methodology to GARCH models which are often used for forecasting stock market volatility. In the case of GARCH models outliers are strictly related to extreme observations which are responsible for the well-known volatility clustering of financial returns. Some papers have appeared on outlier detection in GARCH models (see, for example, [3]) but the proposed methods are iterative and may suffer from masking effects. The forward search is a method for determining the effect of outliers on fitted parameters and for detecting also masked outliers. Through the forward search, it is also possible to visualize the effect on estimated parameters of patches of extremal observations
Fractional Integration Models for Italian electricity zonal prices
No full textIn the last few years we have observed an increasing interest in deregulated electricity markets. Only few papers, to the authors’ knowledge, have considered the Italian Electricity Spot market since it has been deregulated recently.This contribution is an investigation with emphasis on price dynamics accounting for technologies, market concentration and congestions as well as extreme spiky behavior. We aim to understand how technologies, concentration and congestionsaffect the zonal prices since these ones combine to bring about the single national price (prezzo unico d’acquisto, PUN). Implementing Reg–ARFIMA–GARCH models, we draw policy indications based on the empirical evidence that technologies,concentration and congestions do affect Italian electricity prices
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