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  1. Volatility forecasting
    the jumps do matter
    Autor*in: Corsi, Fulvio; Pirino, Davide; Renò, Roberto
    Erschienen: 2008
    Verlag:  Univ. degli Studi di Siena, Siena

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Quaderni del Dipartimento di Economia Politica ; 534
    Schlagworte: Volatilität; Prognoseverfahren; Stochastischer Prozess; Schätztheorie; Theorie
    Umfang: Online-Ressource (42 S.), graph. Darst.
  2. A theoretical model for the extraction and refinement of natural resources
    Autor*in: Roma, Antonio; Pirino, Davide
    Erschienen: 2008
    Verlag:  Univ. degli Studi di Siena, Siena

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: Quaderni del Dipartimento di Economia Politica ; 537
    Schlagworte: Rohstoffwirtschaft; Bergbau; Energiemanagement; Produktionsfunktion; Thermodynamischer Ansatz; Ressourcenökonomik; Theorie
    Umfang: Online-Ressource ([37] S.), graph. Darst.
  3. Zipf law and the firm size distribution
    a critical discussion of popular estimators
    Autor*in: Bottazzi, Giulio; Pirino, Davide; Tamagni, Federico
    Erschienen: 2013
    Verlag:  Laboratory of Economics and Management, Sant'Anna School of Advanced Studies, Pisa

    The upper tail of the firm size distribution is often assumed to follows a Power Law behavior. Recently, using different estimators and on different data sets, several papers conclude that this distribution follows the Zipf Law, that is that the... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 203 (2013,17)
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    The upper tail of the firm size distribution is often assumed to follows a Power Law behavior. Recently, using different estimators and on different data sets, several papers conclude that this distribution follows the Zipf Law, that is that the fraction of firms whose size is above a given value is inversely proportional to the value itself. We compare the different methods through which this conclusion has been reached. We find that the family of estimators most widely adopted, based on an OLS regression, is in fact unreliable and basically useless for appropriate inference. This finding rises some doubts about previously identified Zipf Laws. In general, when individual observations are available, we recommend the adoption of the Hill estimator over any other method.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/89283
    Schriftenreihe: LEM working paper series ; 2013/17
    Umfang: Online-Ressource (22 S.), graph. Darst.
  4. Measuring industry relatedness and corporate coherence
    Autor*in: Bottazzi, Giulio; Pirino, Davide
    Erschienen: 2010
    Verlag:  Laboratory of Economics and Management, Sant'Anna School of Advanced Studies, Pisa

    Since the seminal work of Teece et al. (1994) firm diversification has been found to be a non-random process. The hidden deterministic nature of the diversification patterns is usually detected comparing expected (under a null hypothesys) and actual... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 203 (2010,10)
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    Since the seminal work of Teece et al. (1994) firm diversification has been found to be a non-random process. The hidden deterministic nature of the diversification patterns is usually detected comparing expected (under a null hypothesys) and actual values of some statistics. Nevertheless the standard approach presents two big drawbacks, leaving unanswered several issues. First, using the observed value of a statistics provides noisy and nonhomogeneous estimates and second, the expected values are computed in a specific and privileged null hypothesis that implies spurious random effects. We show that using Monte Carlo p-scores as measure of relatedness provides cleaner and homogeneous estimates. Using the NBER database on corporate patents we investigate the effect of assuming different null hypotheses, from the less unconstrained to the fully constrained, revealing that new features in firm diversification patterns can be catched if random artifacts are ruled out. -- Corporate coherence ; relatedness ; null model analysis ; patent data

     
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    Sprache: Englisch
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    Format: Online
    Weitere Identifier:
    hdl: 10419/89309
    Schriftenreihe: LEM working paper series ; 2010,10
    Umfang: Online-Ressource (PDF-Datei: 26 S., 691 KB), graph. Darst.
  5. Threshold bipower variation and the impact of jumps on volatility forecasting
    Autor*in: Corsi, Fulvio; Pirino, Davide; Renò, Roberto
    Erschienen: 2010
    Verlag:  Laboratory of Economics and Management, Sant'Anna School of Advanced Studies, Pisa

    This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 203 (2010,11)
    Fernleihe:
    keine Fernleihe

     

    This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and discontinuous component using estimators which are not only consistent, but also scarcely plagued by small-sample bias. To this purpose, we introduce the concept of threshold bipower variation, which is based on the joint use of bipower variation and threshold estimation. We show that its generalization (threshold multipower variation) admits a feasible central limit theorem in the presence of jumps and provides less biased estimates, with respect to the standard multipower variation, of the continuous quadratic variation in finite samples. We further provide a new test for jump detection which has substantially more power than tests based on multipower variation. Empirical analysis (on the S&P500 index, individual stocks and US bond yields) shows that the proposed techniques improve significantly the accuracy of volatility forecasts especially in periods following the occurrence of a jump. -- Volatility estimation ; jump detection ; volatility forecasting ; threshold estimation ; financial markets

     
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    Sprache: Englisch
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    Format: Online
    Weitere Identifier:
    hdl: 10419/89344
    Schriftenreihe: LEM working paper series ; 2010,11
    Umfang: Online-Ressource (PDF-Datei: 31 S., 531 KB), graph. Darst.
  6. Volatility forecasting
    the jumps do matter
    Autor*in: Corsi, Fulvio; Pirino, Davide; Renò, Roberto
    Erschienen: 2009
    Verlag:  Research Unit for Statistical and Empirical Analysis in Social Sciences (Hi-Stat), Inst. for Economic Research, Hitotsubashi Univ., Kunatachi

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 155 (036)
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10086/17082
    Schriftenreihe: Global COE Hi-Stat discussion paper series ; 036
    Schlagworte: Volatilität; Prognoseverfahren; Stochastischer Prozess; Schätztheorie; Theorie
    Umfang: Online-Ressource (42 S., 679 Kb), graph. Darst.
  7. Funding liquidity and stocks' market liquidity
    structural estimation from high-frequency data
    Autor*in: Aielli, Gian Piero; Pirino, Davide
    Erschienen: [2023]
    Verlag:  CEIS Tor Vergata, [Rom]

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: CEIS Tor Vergata research paper series ; vol. 21, issue 6 = no. 568 (November 2023)
    Schlagworte: funding illiquidity; market illiquidity; structural estimation; market microstructure
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  8. Statistical inferences for price staleness
    Autor*in: Kolokolov, Aleksey; Livieri, Giulia; Pirino, Davide
    Erschienen: [2018]
    Verlag:  SAFE, Sustainable Architecture for Finance in Europe, Frankfurt am Main

    Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for formalizing this phenomenon. It... mehr

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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 431 (236)
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    Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for formalizing this phenomenon. It hinges on the existence of a latent continuous-time stochastic process pt valued in the open interval (0; 1), which represents at any point in time the probability of the occurrence of a zero return. Using a standard infill asymptotic design, we develop an inferential theory for nonparametrically testing, the null hypothesis that pt is constant over one day. Under the alternative, which encompasses a semimartingale model for pt, we develop non-parametric inferential theory for the probability of staleness that includes the estimation of various integrated functionals of pt and its quadratic variation. Using a large dataset of stocks, we provide empirical evidence that the null of the constant probability of staleness is fairly rejected. We then show that the variability of pt is mainly driven by transaction volume and is almost unaffected by bid-ask spread and realized volatility.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/189638
    Schriftenreihe: SAFE working paper ; no. 236
    Umfang: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  9. Testing for endogeneity of irregular sampling schemes
    Autor*in: Kolokolov, Aleksey; Livieri, Giulia; Pirino, Davide
    Erschienen: [2022]
    Verlag:  CEIS Tor Vergata, [Rom]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 665
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: CEIS Tor Vergata research paper series ; vol. 20, issue 6 = no. 547 (December 2022)
    Schlagworte: irregular sampling; sampling schemes; zeros; power variation
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen