Recent Pubblications
(selected) |
| Investment |
- 2014, PACE N., PELIZZON L., BRESSAN S., Health status and portfolio choice: is their relationship economically relevant?, INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, vol. 32, pp. 109-122
- 2014, CASARIN R., BILLIO M., Osuntuy A. Efficient Gibbs Sampling for Markov Switching GARCH Models, COMPUTATIONAL STATISTICS & DATA ANALYSIS, forthcoming
- 2014, CAPORIN M., RANALDO A., SANTUCCI DE MAGISTRIS P., On the Predictability of Stock Prices: a
- Case for High and Low Prices, Journal of Banking and Finance, forthcoming
- 2014, CAPORIN M., PARUOLO P., Proximity-Structured Multivariate Volatility Models, Econometric
- Reviews, forthcoming
- 2014, BILLIO M., FRATTAROLO L., PELIZZON L., A time varying performance evaluation of hedge fund strategies through aggregation, RB BANKERS, MARKETS, INVESTORS, vol. 129, pp. 38-56
- 2014, BASSO A., FUNARI S., The Role of Fund Size and Returns to Scale in the Performance of Mutual Funds , Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, pp. 21-25
- 2014, BASSO A., FUNARI S., DEA models with a constant input for SRI mutual funds with an application to European and Swedish funds, INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH, vol. 21, pp. 979-1000
- 2014, BASSO A., FUNARI S., Constant and variable returns to scale DEA models for socially responsible investment funds, EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, vol. 235, pp. 775-783
- 2013, BRESSAN S., PACE N., PELIZZON L., Health Status and Portfolio Choice: Does Feeling Better Affectyour Attitude Towards Risk?, GENEVA ASSOCIATION INFORMATION NEWSLETTER. HEALTH AND AGEING, vol. 26 Geneva Association Newsletter, pp. 9-13
- 2013, ZOLIN M. B., ANDREOSSO-O'CALLAGHAN B., The Korea FTA: New Prospect and for Patterns od Agricultural and Agrifood Trade?, JOURNAL OF GLOBAL POLICY AND GOVERNANCE, vol. 1, pp. 129-142
- 2013, CORAZZA M., FASANO G., GUSSO R., Particle Swarm Optimization with non-smooth penalty reformulation, for a complex portfolio selection problem, APPLIED MATHEMATICS AND COMPUTATION, vol. 224, pp. 611-624
- 2013, CASARIN R., SQUAZZONI F., Being on the field when the game is still under way. The financial press and stock markets in times of crisis, PLOS ONE, vol. 8, pp. 1-14
- 2013, CAPORIN M., LISI F., A conditional single index model with local covariates for detecting and evaluating active portfolio management, North American Journal of Economics and Finance, forthcoming
- 2013, AIELLI G.P., CAPORIN M., Variance clustering improved dynamic conditional correlation estimators, Computational Statistics and Data Analysis, forthcoming
- 2012, ZOLIN M. B., RASI CALDOGNO A., Beyond the European Rural Areas: The Need for Strategic Approaches, TRANSITION STUDIES REVIEW, vol. 18, pp. 613-629
- 2012, ZOLIN M. B., ANDREOSSO-O'CALLAGHAN B., Rice price volatility: Sustainable policies in Asia and Europe, ASIAN BUSINESS & MANAGEMENT, vol. advance on line publication, pp. 1-21
- 2012, MURRAY P., ZOLIN M. B., Australia and European Union: conflict, competition or engagement in agricultural and agri-food trade, AUSTRALIAN JOURNAL OF INTERNATIONAL AFFAIRS, vol. 66, , pp. 103-122
- 2012, CAPORIN M., SANTUCCI DE MAGISTRIS, P., On the evaluation of Marginal Expected Shortfall, Applied Economics Letters, 19, 175-179
- 2012, CAPORIN M., PRES J., Forecasting temperature indices density with time-varying long-memory models, Journal of Forecasting, forthcoming
- 2012, CAPORIN M., PRES J. TORRO H., Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options, Energy Economics, 34, 1700-1712
- 2012, BILLIO M., CALES L., GUEGAN D., A Cross-Sectional Score for the Relative Performance of an Allocation, INTERNATIONAL REVIEW OF APPLIED FINANCIAL ISSUES AND ECONOMICS, vol. 3, pp. 700-710
- 2012, BERTOLUZZO F., CORAZZA M., Testing different Reinforcement Learning configurations for financial trading: Introduction and applications, PROCEDIA ECONOMICS AND FINANCE, vol. 3, pp. 68-77
- 2011, CAPORIN M., MCALEER M., Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH, Statistica Neerlandica, 65-2, 125-163
- 2011, CAPORIN M., MCALEER M., Do we really need both BEKK and DCC? A tale of two covariance models, Journal of Economic Surveys, 26, 736-751
- 2011, CAPORIN M., LISI F., Comparing and selecting performance measures using rank correlations, Economics: The Open-Access, Open-Assessment E-Journal, Vol. 5, 10
- 2011, BILLIO M., CASARIN R., RAVAZZOLO F., VAN DIJK H.K., Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index, MEDIUM ECONOMETRISCHE TOEPASSINGEN, vol. 18(3), pp. 1-8
- 2011, BILLIO M., CALES L., GUEGAN D., Portfolio Symmetry and Momentum, EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, vol. 214/3, pp. 759-767
- 2010, CORAZZA M., MALLIARIS A.G, SCALCO E., Nonlinear bivariate comovements of asset prices: Methodology, tests and applications, COMPUTATIONAL ECONOMICS, vol. 35(1), pp. 1-23
- 2010, CAPORIN M., MCALEER M., The Ten Commandments for Investment Management, Journal of Economic Surveys, 24,-1, 196-200
- 2010, CAPORIN M., MCALEER M., A Scientific Classification of Volatility Models, Journal of Economic Surveys, 2010, 24-1, 192-195
- 2010, ANDREOSSO-O'CALLAGHAN B., ZOLIN M. B., Long-term Cereal Price Changes: How Important is the Speculative Element?, TRANSITION STUDIES REVIEW, vol. 17, n. 4, pp. 624-637
- 2009, PELIZZON L., WEBER G., Efficient Portfolios when Housing Needs Change over the Life-Cycle, JOURNAL OF BANKING & FINANCE, vol. 33, pp. 2110-2121
- 2009, BILLIO M., GETMANSKY M., PELIZZON L., Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data, THE JOURNAL OF ALTERNATIVE INVESTMENTS, vol. 12/1, pp. 21-38
- 2009, BILLIO M., CAPORIN M., A generalised Dynamic Conditional Correlation model for portfolio risk evaluation, MATHEMATICS AND COMPUTERS IN SIMULATION, vol. 79-8, pp. 2566-2578
- 2008, ZOLIN M. B., Free market and price control: the case of cotton, ADVANCES IN MANAGEMENT, vol. 1(6), pp. 48-54
- 2008, PELIZZON L., WEBER G., Are Household Portfolios Efficient? An Analysis Conditional on Housing, JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, vol. 43, pp. 401-431
- 2008, CASARIN R., PIVA A., PELIZZON L., Italian Equity Funds: Efficiency and Performance Persistence, THE ICFAI JOURNAL OF FINANCIAL ECONOMICS, vol. 6, pp. 7-28
- 2008, CAPORIN M., MCALEER M., Scalar BEKK and Indirect DCC, Journal of Forecasting, 27-6, 537-549
- 2008, BASSO A., FUNARI S., DEA models for ethical and non ethical mutual funds, MATHEMATICAL METHODS IN ECONOMICS AND FINANCE, vol. 2, pp. 21-40
- 2007, CORAZZA M., FAVARETTO D., On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem, EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, vol. 176, pp. 1947-1960
- 2007, CASARIN R., BILLIO M., Stochastic Optimisation for Allocation Problem with Shortfall Risk Constraints, APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, vol. 23/3, pp. 247-271
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| Financial Risk |
- 2014, CORAZZA M., FUNARI S., SIVIERO F., A MURAME-based technology for bank decision support in creditworthiness assessment, BANKS AND BANK SYSTEMS, vol. 9, pp. 7-17
- 2014, CASTIGLIONESI F., FERIOZZI F., LORANTH G., PELIZZON L., Liquidity Coinsurance and Bank Capital, JOURNAL OF MONEY, CREDIT, AND BANKING, vol. 46, pp. 409-443
- 2014, CASARIN R., Comment on a Tractable State-Space Model for Symmetric Positive-Definite Matrices, BAYESIAN ANALYSIS, forthcoming
- 2014, AIT-SAHLIA Y., LAEVEN R., PELIZZON L., Mutual excitation in Eurozone sovereign CDS, JOURNAL OF ECONOMETRICS, vol. 183, pp. 1-17
- 2013, MERTON R.C., BILLIO M., GETMANSKY M., GRAY D., LO A.W., PELIZZON L., On a New Approach for Analyzing and Managing Macrofinancial Risks, THE FINANCIAL ANALYSTS JOURNAL, vol. 69, pp. 22-33
- 2013, KASCH M., CAPORIN M., Volatility threshold dynamic conditional correlations: an International analysis, Journal of Financial Econometrics, forthcoming
- 2013, CASARIN R., CHANG C.-L., JIMENEZ-MARTIN J.A., MCALEER M., PEREZ AMARAL T., Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures, MATHEMATICS AND COMPUTERS IN SIMULATION, vol. 94, pp. 183-204 (ISSN 0378-4754)
- 2013, ADDO P.M., BILLIO M., GUEGAN D., Nonlinear dynamics and recurrence plots for detecting financial crisis, NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, vol. 26, pp. 416-435
- 2012, CORAZZA M., FUNARI S., GUSSO R., Il merito creditizio delle Pmi italiane durante la crisi finanziaria: l'utilizzo di più fonti informative per l'analisi e lo scoring, BANCARIA, vol. 1/2012 , pp. 47-63
- 2012, CAPORIN M., PRES J., Modeling and forecasting wind speed intensity for weather risk management, Computational Statistics and Data Analysis, 56, 3459-3476
- 2012, CAPORIN M., MCALEER M., Robust ranking of multivariate GARCH models by problem dimension, Computational Statistics and Data Analysis, forthcoming
- 2012, CAPORIN M., LISI F., On the role of risk in the Morningstar rating for funds, Quantitative Finance, 11477-1486
- 2012, CAPORIN M., Equity and CDS sector indices: dynamic models and risk hedging, North American Journal of Economics and Finance, forthcoming
- 2012, BONATO M., CAPORIN M., and RANALDO A., A forecast based comparison of restricted Wishart Auto Regressive models for realized covariance matrices, European Journal of Finance, 18, 761-774
- 2012, BILLIO M., PELIZZON L., Efficienza, interconnessione e rischio sistemico, STATISTICA & SOCIETA, vol. 1/3, pp. 42-44
- 2012, BILLIO M., GETMANSKY M., LO A., PELIZZON L., Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, JOURNAL OF FINANCIAL ECONOMICS, vol. 104, pp. 535-559
- 2012, BILLIO M., GETMANSKY M., PELIZZON L., Dynamic Risk Exposure in Hedge Funds, COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 56, pp. 2937-2953
- 2012, AIELLI G.P., CAPORIN M., Fast Clustering of GARCH Processes Via Gaussian Mixture Models, Mathematics and Computers in Simulations, forthcoming
- 2011, LORENZON I., LUCCHETTA M., PELIZZON L., Bank Credit to Medium-Sized Enterprises in Italy: The Trends Before and During the Crisis, BANCARIA, vol. 2 2011, pp. 17-39
- 2010, CASARIN R., VERGALLI S., Natural Disasters and International Insurance Market Stability, EQUILIBRI, vol. 3, pp. 558-568
- 2010, CAPORIN M., LISI F., Misspecification tests for periodic long memory GARCH models, Statistical Methods and Applications, 19-1, 47-62
- 2010, BILLIO M., CAPORIN M., Market Linkages, Variance Spillover and Correlation Stability: Empirical Evidences of Financial Contagion, COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 54/11, pp. 2443-2458
- 2010, BARRO D., BASSO A., Credit contagion in a network of firms with spatial interaction, EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, vol. 205, pp. 459-468
- 2009, BORDIGNON S., CAPORIN M., LISI F., Periodic Long Memory GARCH models, Econometric Reviews, 28-(1-3), 60-82
- 2008, PARIGI B, PELIZZON L., Diversification and Ownership Structure, JOURNAL OF BANKING & FINANCE, vol. 32, pp. 1743-1753
- 2008, NICOLO' A, PELIZZON L., Credit Derivatives: Capital Requirements and Opaque OTC Markets, JOURNAL OF FINANCIAL INTERMEDIATION, vol. 17, pp. 444-463
- 2008, CAPORIN M., Evaluating value-at-risk measures in presence of long memory conditional volatility, Journal of Risk, 10-3, 79-110
- 2008, BARRO D., BASSO A., A network of business relations to model counterparty risk, INTERNATIONAL JOURNAL OF PURE AND APPLIED MATHEMATICS, vol. 49, pp. 559-567
- 2007, CAPORIN M., Variance (Non-) Causality in multivariate GARCH: a new model, Econometric Reviews, 26(1), 1-24
- 2007, BORDIGNON S., CAPORIN M., LISI F., Generalised Long Memory GARCH models for intra-daily volatility, Computational Statistics and Data Analysis, 51-12, 5900-5912
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| Scenario Analysis |
- 2014, PASTORE A., SARTORE D., TONELLATO S., VOLO F., Analisi di impatto dell'attività dell'Ente Bilaterale Artigianato Veneto - Modello econometrico, Milano, Franco Angeli
- 2014, AHELEGBEY D.F., BILLIO M., CASARIN R., Bayesian Graphical Models for Structural Vector Autoregressive Processes, JOURNAL OF APPLIED ECONOMETRICS, forthcoming
- 2014, ADDO P., BILLIO M., GUEGAN D., The Univariate MT-STAR Model and a new linearity and unit root test procedure, COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 76, pp. 4-19
- 2013, PELIZZON L., SARTORE D., Deciphering the libor and euribor spreads during the subprime crisis, NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, vol. 26, pp. 565-585
- 2013, BILLIO M., FERRARA L., GUEGAN D., MAZZI G.L., Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro Area, JOURNAL OF FORECASTING, vol. 32, pp. 577-586
- 2013, BILLIO M., CASARIN R., RAVAZZOLO F., VAN DIJK H., Time-varying Combinations of Predictive Densities using Nonlinear Filtering, JOURNAL OF ECONOMETRICS, vol. 177, pp. 213-232
- 2011, SARTORE D., VOLO F., Esportazioni di beni del Friuli Venezia Giulia: dinamica del decennio 2001-2010, AGENZIA REGIONALE DEL LAVORO E DELLA FORMAZIONE PROFESSIONALE - FRIULI VENEZIA GIULIA, Il mercato del lavoro in Friuli Venezia Giulia, Milano, Franco Angeli, pp. 87-99
- 2011, BALLESTRA V., CALLIARI S., VOLO F., SARTORE D., Friuli Venezia Giulia: quadro dell'economia regionale nel 2010 e tendenze future, AGENZIA REGIONALE DEL LAVORO E DELLA FORMAZIONE PROFESSIONALE - FRIULI VENEZIA GIULIA, Il mercato del lavoro in Friuli Venezia Giulia., Milano, Franco Angeli, pp. 59-86
- 2010, BARTOLINI C., CALLIARI S., MENIN A., SARTORE D., Friuli Venezia Giulia: quadro dell'economia regionale nel 2009 e tendenze future (Il contesto internazionale, Il contesto italiano, Il Friuli Venezia Giulia), AGENZIA REGIONALE DEL LAVORO E DELLA FORMAZIONE PROFESSIONALE - FRIULI VENEZIA GIULIA, Il mercato del lavoro in Friuli Venezia Giulia. Rapporto 2010, Milano, Franco Angeli, pp. 59-87
- 2009, CALLIARI S., MENIN A., SARTORE D., Friuli Venezia Giulia: quadro dell'economia regionale nel 2008 e tendenze future, AGENZIA REGIONALE DEL LAVORO E DELLA FORMAZIONE PROFESSIONALE - FRIULI VENEZIA GIULIA, Il mercato del lavoro in Friuli Venezia Giulia - Rapporto 2009, MILANO, Franco Angeli, vol. 1, pp. 59-87
- 2008, CALLIARI S., MENIN A., SARTORE D., Friuli Venezia Giulia: quadro dell'economia regionale nel 2007 e tendenze future, AGENZIA REGIONALE DEL LAVORO E DELLA FORMAZIONE PROFESSIONALE, Il mercato del lavoro in Friuli Venezia Giulia - Rapporto 2008, MILANO, Franco Angeli, pp. 53-83
- 2008, BILLIO M., CAPORIN M., CAZZAVILLAN G., Dating Euro15 monthly business cycle jointly using GDP and IPI, JOURNAL OF BUSINESS CYCLE ANALYSIS AND MEASUREMENT, vol. 3/3, pp. 333-366
- 2007, MENIN A., SARTORE D., VOLO F., Friuli Venezia Giulia: quadro dell'economia regionale nel 2006 e tendenze future, AGENZIA REGIONALE DEL LAVORO E DELLA FORMAZIONE PROFESSIONALE, Il mercato del lavoro in Friuli Venezia Giulia. Rapporto 2007, MILANO, Franco Angeli, pp. 31-54
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| Statistical Research |
- 2014, BILLIO M., CAVICCHIOLI M., Business Cycle and Markov Switching Models with Distributed Lags: a Comparison between US and Euro Area, RIVISTA ITALIANA DEGLI ECONOMISTI, vol. xix, pp. 253-276
- 2014, BASSETTI F., CASARIN R., LEISEN F., Pitman-Yor Process Prior for Bayesian Inference, JOURNAL OF ECONOMETRICS, vol. 180, pp. 49-72
- 2014, ADDO P., BILLIO M., GUEGAN D., Turning point chronology for the Euro-Zone: A Distance Plot Approach, OECD JOURNAL: JOURNAL OF BUSINESS CYCLE MEASUREMENT AND ANALYSIS, vol. 2014, pp. 1-14
- 2013, CASARIN R., CRAIU R., LEISEN F., Interacting Multiple Try Algorithms with Different Proposal Distributions, STATISTICS AND COMPUTING, vol. 23(2), pp. 185-200
- 2012, CASARIN R., DALLA VALLE L., LEISEN F., Bayesian Model Selection for Beta Autoregressive Processes, BAYESIAN ANALYSIS, vol. 7, pp. 1-26
- 2012, BILLIO M., CASARIN R., RAVAZZOLO F., VAN DIJK H.K., Combination Schemes for Turning Point Predictions, THE QUARTERLY REVIEW OF ECONOMICS AND FINANCE: JOURNAL OF THE MIDWEST ECONOMICS ASSOCIATION, vol. 52, pp. 402-412
- 2011, BILLIO M., CASARIN R., Beta Autoregressive Transition Markov-switching Models for Business Cycle Analysis, STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, vol. 15(4), pp. 1-32
- 2010, BILLIO M., CASARIN R., Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods: an on-line and real time application to the Euro area, JOURNAL OF FORECASTING, vol. 1-2, pp. 145-167
- 2009, MARIN J.-M, CASARIN R., ROBERT C. P., A discussion on: Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations by Rue, H. Martino, S. and Chopin, N., JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B STATISTICAL METHODOLOGY, vol. 71(2), pp. 360-362
- 2009, CASARIN R., ROBERT C. P., A discussion on: Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations by Rue, H. Martino, S. and Chopin, N., JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B STATISTICAL METHODOLOGY, vol. 71(2), pp. 359-360
- 2009, CASARIN R., MARIN J.-M., Online data processing: Comparison of Bayesian regularized particle filters, ELECTRONIC JOURNAL OF STATISTICS, vol. 3, pp. 239-258
- 2008, ANAS J., BILLIO M., FERRARA L., MAZZI G. L., A System for Dating and Detecting Turning Points in the Euro Area, MANCHESTER SCHOOL, vol. 76/5, pp. 549-577
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| Valutazione |
- 2011, ZOLIN M. B., Diversification of Household Income in Rural Areas: Opportunities and Risks of Biomass Energy, THE OPEN GEOGRAPHY JOURNAL, vol. 4, pp. 16-28
- 2009, CASSIN M., ZOLIN M. B., Can wind energy make a real contribution to improve the quality of life of rural/remote areas? The European Union and India compared, TRANSITION STUDIES REVIEW, pp. 735-754
- 2007, ZOLIN M. B., The extended metropolitan area in a new EU Member state: implications for a ruraldevelopment approach, TRANSITION STUDIES REVIEW, vol. 14, pp. 565-573
- 2007, VANIN S., ZOLIN M. B., Rete Natura 2000 e valutazione di incidenza: strumenti di tutela dell'ambiente nell'interesse delle generazioni future, ARCHITETTURA DEL PAESAGGIO, vol. 16, pp. 30-47
- 2007, CASSIN M., ZOLIN M. B., Le aree sensibili: il caso del bacino scolante in laguna di Venezia, AGRIREGIONIEUROPA, vol. 3, pp. 2-6
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