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Smooth and abrupt dynamics in financial volatility: the Ms-Mem-Midas

In this paper we remark that the evolution of the realized volatility is characterized by a combination between high–frequency dynamics and a smoother persistent dynamics evolving at a lower–frequency. We suggest a new Multiplicative Error Model which combines the mixed frequency features of a MIDAS with Markovian dynamics. When estimated in–sample on the realized kernel volatility of the S&P500 index, this model dominates other simpler specifications, especially when monthly aggregatedre...

On the relationship between Markov Switching inference and fuzzy clustering: a Monte Carlo evidence

Markov Switching models have had increasing success in time series analysis due to their ability to capture the existence of unobserved discrete states in the dynamics of the variables under study. This result is generally obtained thanks to the inference on states derived from the so–called Hamilton filter. One of the open problems in this framework is the identification of the number of states, generally fixed a priori; it is in fact impossible to apply classical tests due to the problem of...

On the Relationship between Markov Switching Models and Fuzzy Clustering: a Nonparametric Method to Detect the Number of States

Markov Switching models have had increasing success in time series analysisdue to their ability to capture the existence of unobserved discrete states inthe dynamics of the variables under study. This result is generally obtainedthanks to the inference on states derived from the so--called Hamilton filter.One of the open problems in this framework is the identification of the numberof states, generally fixed a priori; it is in fact impossible to applyclassical tests due to the problem of the ...

Sorvegliare e punire nel XXI secolo

La dottrina brezneviana dei «Paesi a sovranità limitata» è ampiamente descrittiva dell’Europa contemporanea. E questo anche perché una delle dinamiche più caratteristiche del primo quarto del XXI secolo è il progressivo indebolimento degli Stati e dei loro apparati politici, i quali mettono le proprie strutture amministrative e le riserve economiche al servizio dei poteri globali e multinazionali.

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5 Altro: [3192] Home page macrotipologia

Prodotti recenti

Smooth and abrupt dynamics in financial volatility: the Ms-Mem-Midas

On the relationship between Markov Switching inference and fuzzy clustering: a Monte Carlo evidence

On the Relationship between Markov Switching Models and Fuzzy Clustering: a Nonparametric Method to Detect the Number of States

Sorvegliare e punire nel XXI secolo

Imprese Multinazionali e Diritto Internazionale

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