A5090689518- Financial Risk and Volatility Modeling
- Market Dynamics and Volatility
- Complex Systems and Time Series Analysis
- Monetary Policy and Economic Impact
- Financial Markets and Investment Strategies
- Stochastic processes and financial applications
- Stock Market Forecasting Methods
- Credit Risk and Financial Regulations
- Banking stability, regulation, efficiency
- Energy, Environment, Economic Growth
- Risk and Portfolio Optimization
- Housing Market and Economics
- Insurance and Financial Risk Management
- Global Financial Crisis and Policies
- Forecasting Techniques and Applications
- Energy, Environment, and Transportation Policies
- Global Energy and Sustainability Research
- Spatial and Panel Data Analysis
- Corporate Finance and Governance
- Hydrology and Drought Analysis
- Eicosanoids and Hypertension Pharmacology
- Economic theories and models
- Insurance, Mortality, Demography, Risk Management
- Climate Change Policy and Economics
- Statistical Methods and Inference
University of Padua
2015-2024
California State University, East Bay
2024
Canadian Nautical Research Society
2024
École de management de Lyon
2018
National Bureau of Economic Research
2013
Norges Bank
2013
Einaudi Institute for Economics and Finance
2013
Goethe University Frankfurt
2013
Ca' Foscari University of Venice
2003-2012
West Pomeranian University of Technology
2012
ABSTRACT In statistics, samples are drawn from a population in data‐generating process (DGP). Standard errors measure the uncertainty estimates of parameters. science, evidence is generated to test hypotheses an evidence‐generating (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard (NSEs). study NSEs by letting 164 teams same on data. turn out be sizable, but smaller for more reproducible or higher rated research. Adding peer‐review stages reduces NSEs....
This paper introduces the Flexible Dynamic Conditional Correlation (FDCC) multivariate GARCH model which generalizes (DCC) proposed by Engle (2002 Engle, RF. 2002. conditional correlation – a simple class of models. Journal Business and Economic Statistics, 20: 339–50. [Taylor & Francis Online], [Web Science ®] , [Google Scholar]). The FDCC relax assumption common dynamics among all assets used in DCC model. In fact, we cannot impose that of, say, European sectorial stock indexes are...
Abstract The management and monitoring of very large portfolios financial assets are routine for many individuals organizations. two most widely used models conditional covariances correlations in the class multivariate GARCH BEKK dynamic correlation (DCC). It is well known that suffers from archetypal ‘curse dimensionality’, whereas DCC does not. argued this paper a misleading interpretation suitability use practice. primary purpose to analyse similarities dissimilarities between DCC, both...
The purpose of the paper is to discuss ten things potential users should know about limits Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. reasons given caution use DCC include following: represents dynamic covariances standardized residuals, hence does not yield correlations; stated rather than derived; has no moments; have testable regularity conditions; yields inconsistent two step estimators; asymptotic...
This paper analyzes the relationship between price jumps and news sentiment in cryptocurrencies. We detect at intraday level correlate their occurrence with sentiment-related events through logistic regressions. show that release of information increases probability jumps. By examining content stories, we find dimensions limited to emotions or related market fundamentals have more potential result than others, suggesting "words are not all created equal". Jump sensitivity varies across...
Abstract Performance measurement is one of the most studied subjects in financial literature. Since introduction Sharpe ratio 1966, a large variety new measures has appeared constantly scientific journals as well practitioners' publications. The complete and significant studies performance measures, so far, have been written by Aftalion Poncet, Le Sourd, Bacon, Cogneau H übner. A review recent literature led us to collect several dozen that we classify into four families. We first present...
Abstract The paper derives the scalar special case of well‐known BEKK multivariate GARCH model using a extension random coefficient autoregressive (RCA) model. This representation establishes relevant structural and asymptotic properties theoretical results available in literature for general GARCH. Sufficient conditions (direct) DCC to be consistent with are established. Moreover, an indirect that is obtained, compared direct empirical example. shows, within asset allocation risk...
This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms, using bond yield spreads for major eurozone countries. By emphasizing use of two econometric approaches based on quantile regressions (standard regression Bayesian with heteroskedasticity) we find that shocks euro's shows almost no presence shift-contagion. All increases correlation have witnessed over last years come from larger propagated higher intensity across Europe.