Papers by Domenico Sartore
SSRN Electronic Journal, 2016
The paper deals with the use of derivatives by Italian non-financial firms, in order to analyse e... more The paper deals with the use of derivatives by Italian non-financial firms, in order to analyse existing theories of hedging behaviour, and provides empirical evidence on a potential differentiation of determinants of derivative use over time. Univariate and multivariate analyses show that the determinants of derivative use reveal marked differences when compared in the different years, so they may change over time. In general, we find that the most determinant variable is foreign sales, and analysis therefore suggests the hypothesis that exposure to exchange rate risk is the strongest determinant in derivative use. Interest rate risk exposure seems to be less relevant. Moreover, from 1997, another variable proves determinant, firm size, which suggests that economies of scale could also be a key variable in derivative use. With respect to financial distress cost models, tax and agency cost theories, the results are mixed. JEL Codes: G11, G31, G32, F31 Keywords: Financial Risk, Firm,...
Un modello "monetarista" dell'economia italiana: alcuni risultati preliminari
Le relazioni di causalità tra moneta, attività economica e prezzi: alcuni tests con i dati generati dall'economia italiana nel periodo 1962.01-1979.04
Ricerche Economiche, 1980
Alcuni aspetti inferenziali del filtro di Kalman applicato ai modelli a parametri variabili
Square Root Iterative Filter: Theory and Applications to Econometric Models
Annales d'Économie et de Statistique, 1987
ABSTRACT This paper provides a new algorithm for estimating state space dynamic models and, as an... more ABSTRACT This paper provides a new algorithm for estimating state space dynamic models and, as an example, it considers the estimation of time-varying parameter models. The novel elements of the algorithm are: a simple, easily implementable, square root method which is shown to solve the numerical problems affecting the standard Kalman filter algorithm and the related information filter and smoothing algorithms;an iterative framework, where information and covariance filters and smoothing are sequentially run in order to estimate all the parameters of the model; four different algorithms to consistently estimate the distribution of the estimated parameters, which are described and then compared by performing appropriate Montecarlo experiments.
Journal of Business & Economic Statistics, 2017
Bayesian Inference On Dynamic Models
this paper is to suggest the use of sequential simulation methods for filtering and smoothing in ... more this paper is to suggest the use of sequential simulation methods for filtering and smoothing in business cycle dynamic models. These methods have been recently developed to overcome some problems of the traditional MCMC methods. As pointed out by Liu and Chen (1998), the Gibbs sampler is less attractive when considering on-line data processing. Furthermore, Gibbs sampler may be ine#cient when simulated states are very sticky and the sampler has di#culties to move in the state space. In these situations, the use of sequential Monte Carlo techniques and in particular of particle filter algorithms may result more e#cient. Doucet, Freitas and Gordon (2001) provide the state of the art on sequential Monte Carlo methods and discuss both applications and theoretical convergence results for these algorithms, with special attention to particle filters
Performance, Style and Persistence of Italian Equity Funds
a b a * a b
Developments of Control Theory for Economic Analysis
Advanced Studies in Theoretical and Applied Econometrics, 1987
... 2) the possible variability of the parameters of the model as a consequence of the reaction o... more ... 2) the possible variability of the parameters of the model as a consequence of the reaction of economic agents to policy-maker's decisions (see Lucas, 1976); (3) the credibility of the announced control strategy; (4) the inclusion between the policymaker's targets of ...
SSRN Electronic Journal, 2006
This paper provides the theoretical and operational framework for estimating past values of relev... more This paper provides the theoretical and operational framework for estimating past values of relevant time series starting from a (limited) information set. We consider a general approach that includes as special cases time series aggregation and temporal and/or spatial disaggregation problems. Furthermore, we explore the relevant problems and the possible solutions associated with a retropolation exercise, evidencing that linear models could be the preferred representation for the production of the needed data. The methodology is designed with a focus on economic time series but it could be considered even for other statistical areas. An empirical example is presented: we analyze the back-calculation of Eu15 Industrial Production Index comparing our approach with the Eurostat official one.
SSRN Electronic Journal, 2013
This paper builds on Asai and McAleer (2009) and develops a new multivariate Dynamic Conditional ... more This paper builds on Asai and McAleer (2009) and develops a new multivariate Dynamic Conditional Correlation (DCC) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent Markov chains. We outline a suitable Bayesian inference procedure, based on sequential MCMC estimation algorithms, and discuss some preliminary results on simulated data. We then apply the model to three major cross rates against the US Dollar (Euro, Yen, Pound), using high-frequency data since the beginning of the European Monetary Union. Estimated volatility paths reveal significant increases since mid-2007, documenting the destabilizing effects of the US sub-prime crisis and of the European sovereign debt crisis. Moreover, we find strong evidence supporting the existence of a time-varying correlation structure. Correlation paths display frequent shifts along the whole sample, both in low and in high volatility phases, pointing out the existence of contagion effects closely in line with the mechanisms outlined in the recent contagion literature (Forbes and Rigobon (2002) and Corsetti at al. (2005)).
Euro/Dollar Exchange Rates: A Multy-Country Structural Monthly Econometric Model for Forecasting
... Michele Trova Monte Paschi Asset Management Spa, Milan Francesca Volo Greta Associati, Venezi... more ... Michele Trova Monte Paschi Asset Management Spa, Milan Francesca Volo Greta Associati, Venezia ([email protected]) Abstract ... variables (eg the ratio of Tradable toNon-tradable Goods), which should be able to capture the so-...
Square Root Iterative Filter: Theory and Applications to Econometric Models
Annals of economics and statistics, 1987
This paper provides a new algorithm for estimating state space dynamic models and, as an example,... more This paper provides a new algorithm for estimating state space dynamic models and, as an example, it considers the estimation of time-varying parameter models. The novel elements of the algorithm are: a simple, easily implementable, square root method which is shown to solve the numerical problems affecting the standard Kalman filter algorithm and the related information filter and smoothing algorithms;an iterative framework, where information and covariance filters and smoothing are sequentially run in order to estimate all the parameters of the model; four different algorithms to consistently estimate the distribution of the estimated parameters, which are described and then compared by performing appropriate Montecarlo experiments.
Modelli neurali artificiali geneticamente evoluti per trading system su strumenti derivati
Developments of Control Theory for Economic Analysis
I: Introduction to Control Theory: Methods and Algorithms.- 1. Developments of Control Theory in ... more I: Introduction to Control Theory: Methods and Algorithms.- 1. Developments of Control Theory in Macroeconomics.- 2. Linear Controllability: Results and Open Questions.- 3. A System Theoretic Approach to the Theory of Economic Policy.- 4. Software for Economic Optimal Control Models.- II: Recent Developments of Control Theory: Objective Function Specification.- 5. Interactive Vector Optimization as a Complement to Optimal Control in Econometric Decision Models.- 6. Risk Reduction and the Robustness of Economic Policies.- 7. Optimal Economic Policies under a Crawling-Peg Exchange.- 8. Some Remarks on Forward Programming.- 9. Utility and Uncertainty in Intertemporal Choice.- 10. Gradient Methods for FIML Estimation of Econometric Models.- III: Recent Developments of Control Theory: A Game Theoretic Approach.- 11. Methods for the Simultaneous Use of Multiple Models in Optimal Policy Design.- 12. Optimal Policy Design in Interdependent Economies.- 13. Hierarchical Games for Macroeconomi...
Metodologia statistica per l'identificazione di un modello dinamico: il caso della curva di Phillips italiana
Analisi spettrale delle serie dell'indice del costo della vita (1951-1971)
La Style Analysis nel mercato azionario italiano
... Loriana Pelizzon1 Domenico Sartore2 Teresa Grava3 ... 1 Gli Equity Style Index furono introdo... more ... Loriana Pelizzon1 Domenico Sartore2 Teresa Grava3 ... 1 Gli Equity Style Index furono introdotti inizialmente dalla Frank Russell Company e da Wilshire Associates nel 1987, quindi da Standard & Poor's unitamente a BARRA nel 1992 e infine da Prudential Securities nel 1993. ...
An Empirical Assessment of the Neoclassical Theory of Demand: The Italian Case 1960-1983 (in Italian)
Uploads
Papers by Domenico Sartore