1,721,112 research outputs found
Introduzione
No full textL'introduzione di Gozzi G. e Martelli F. al volume "Guerre e minoranze. Diritti delle minoranze, conflitti interetnici e giustizia internazionale nella transizione alla democrazia dell'Europa Centro-orientale" sottolinea come nel corso dei secoli i Balcani e l'Europa Orientale siano stati lo spazio dello scontro politico-militare, ma anche dell'incontro e della contaminazione tra le civiltà del Mediterraneo. I processi di transizione seguiti alla fine del comunismo hanno proposto modelli di evoluzione che rappresentano l'esito di complesse tradizioni e, insieme, il risultato degli odierni processi di internazionalizzazione e globalizzazione
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
Firm Turnover and duration of new firms in italian mechanical sector: evidence in the period 1997-2002
No full textThis investigation is pursued using a longitudinal micro-level database consisting of over 5500 firms entered in Italian mechanical sector from 1998 to 2001. We track these plants until 2002. We are also able to determine the year of death for those that exited before 2002, and their current size until 2002 or until the year of their death. This information is used to evaluate the effect of plant size on the likelihood of exit
Classification of firms: a graphical method for selecting balance sheet ratios
No full textA graphical analysis is suggested for the selection of variables in the classification of firm
Realized volatility models for electricity markets
No full textIn this paper, the volatility of Italian electricity prices is explored making use of the available intra-daily information to provideempirical evidence on volatility persistence and effects of explanatory variables.We characterize the dynamics of electricity spot volatility in an ARMA-GARCH framework using intra-daily information, firstly the well known "realized volatility" and secondly the demanded volumes. Then we perform volatility forecasting on zonal basis to verify if these explanatory variables improve the forecasting performance. We show that the realized volatility explains well the conditional variance and reduces its persistence, henceinducing better volatility forecasts. We implement our analysis using hourly prices and volumes of the Italian electricity wholesale market, considering two zones in which the Italian market is split
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