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DISIA Dipartimento di Statistica, Informatica, Applicazioni 'Giuseppe Parenti'

Working Papers del DiSIA


Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares

Francesco Calvori, Fabrizio Cipollini, Giampiero M. Gallo

The Volume Weighted Average Price (VWAP) mixes volumes and prices at intra-daily intervals and is a benchmark measure frequently used to evaluate a trader's performance. Under suitable assumptions, splitting a daily order according to ex-ante volume predictions is a good strategy to replicate the VWAP. To bypass possible problems generated by local trends in volumes, we propose a novel Generalized Autoregressive Score (GAS) model for predicting volume shares (relative to the daily total), inspired by the empirical regularities of the observed series (intra-daily periodicity pattern, residual serial dependence). An application to six NYSE tickers confirms the suitability of the model proposed in capturing the features of intra-daily dynamics of volume shares.

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Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures

Matteo Barigozzi, Christian T. Brownlees, Giampiero M. Gallo, David Veredas

Realized volatilities measured on several assets exhibit a common secular trend and some idiosyncratic pattern. We accommodate such an empirical regularity extending the class of Multiplicative Error Models (MEMs) to a model where the common trend is estimated nonparametrically while the idiosyncratic dynamics are assumed to follow univariate MEMs. Estimation theory based on seminonparametric methods is developed for this class of models for large cross-sections and large time dimensions. The methodology is illustrated using two panels of realized volatility measures between 2001 and 2008: the SPDR Sectoral Indices of the S&P500 and the constituents of the S&P100. Results show that the shape of the common volatility trend captures the overall level of risk in the market and that the idiosyncratic dynamics have an heterogeneous degree of persistence around the trend. An out–of–sample forecasting exercise shows that the proposed methodology improves volatility prediction over a number of benchmark specifications.

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Forecasting Realized Volatility with Changes of Regimes

Giampiero M. Gallo, Edoardo Otranto

Realized volatility of financial time series generally shows a slow–moving average level from the early 2000s to recent times, with alternating periods of turmoil and quiet. Modeling such a pattern has been variously tackled in the literature with solutions spanning from long–memory, Markov switching and spline interpolation. In this paper, we explore the extension of Multiplicative Error Models to include a Markovian dynamics (MS-MEM). Such a model is able to capture some sudden changes in volatility following an abrupt crisis and to accommodate different dynamic responses within each regime. The model is applied to the realized volatility of the S&P500 index: next to an interesting interpretation of the regimes in terms of market events, the MS-MEM has better in–sample fitting capability and achieves good out–of–sample forecasting performances relative to alternative specifications.

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Self-Selection and Direct Estimation of Across-Regime Correlation Parameter

Giorgio Calzolari, Antonino Di Pino

A direct Maximum Likelihood (ML) procedure to estimate the “generally unidentified” across-regime correlation parameter in a two-regime endogenous switching model is here provided. The results of a Monte Carlo experiment confirm consistency of our direct ML procedure, and its relative efficiency over widely applied models and methods. As an empirical application, we estimate a Two-Regime simultaneous equation model of domestic work of Italian married women in which the two regimes are given by their working status (employed or unemployed).

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Home Bitter Home? Gender, Living Arrangements, and the Exclusion from Home-Ownership among Older Europeans

Daniele Vignoli, Maria Letizia Tanturri, Francesco Acciai

Home-ownership is the most important asset among the elderly in Europe, but in this domain very little is known about gender differences. This paper aims at exploring the link between gender, living arrangements, monetary poverty and home tenure among older Europeans, in order to identify the profiles of the elderly at a higher risk of being excluded from home-ownership. The analysis is based on the fourth wave of SHARE, and includes a sub-sample of about 56,000 individuals aged 50 or over, living in 16 European countries: Austria, Belgium, Czech Republic, Estonia, France, Germany, Hungary, Italy, the Netherlands, Poland, Portugal, Slovenia, Spain, Sweden, and Switzerland. Our findings show that women are generally more likely to be excluded from homeownership than men. However, a closer look suggests that the gender gap in home ownership is essentially generated by compositional differences between men and women, with the most relevant factor being the type of living arrangement.

Published as Genus, Volume 72, Issue 9, pp. 1-18, 2016; link, published.

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Women’s employment makes unions more stable, if the male partners contribute to the unpaid household work

Letizia Mencarini, Daniele Vignoli

A new generation of studies has called into question standard microeconomic predictions of a positive association between women’s economic independence and union dissolution, and suggests that it is necessary to include information about both partners’ contributions to paid and unpaid work when conducting empirical tests of the impact of women’s employment on union stability. In this study, we follow this strand of research and use data on couples from the 2003 and 2007 waves of the Italian “Family and Social Subject” survey, with the aim of investigating whether and how the gender division of labor channels the causal impact of women’s employment on union disruption. Utilizing techniques of mediation analysis, we suggest that women’s employment does not have a negative effect per se on union stability, and that women’s paid work becomes detrimental to the stability of the union only if the male partner’s contribution to unpaid work is scarce. We found that the impact of women’s employment on union dissolution is positive only when 70% or more of the housework is performed by women.

Published as Journal of Family Issues, 2017, forthcoming.

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Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning

Anna Gottard, Giorgio Calzolari

Multiple-membership logit models with random effects are logit models for clustered binary data, where each statistical unit can belong to more than one group. For these models, the likelihood function is analytically intractable. We propose two different approaches for parameter estimation: data cloning and indirect inference. Data cloning computes maximum likelihood estimates, through the posterior distribution of an adequate Bayesian model fitted on cloned data. We implement a data cloning algorithm specific for the case of multiple-membership models. Indirect inference is a non-likelihood based method which uses an auxiliary model to select sensible estimates. We propose an auxiliary model having the same dimension of parameter space as the target model, which is particularly convenient to reach good estimates very fast. A Monte Carlo experiment compares the two approaches on a set of simulated data. We report also Bayesian posterior mean and INLA hybrid data cloning estimates for comparison. Simulations show a negligible loss of efficiency for the indirect inference estimator, compensated by a relevant computational gain. The approaches are then illustrated with a real example on matched paired data.

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Is temporary employment damaging to health? A longitudinal study on Italian workers

Elena Pirani, Silvana Salvini

Working conditions have dramatically changed over recent decades in all the countries of European Union: permanent full-time employment characterized by job security and a stable salary is replaced more and more by temporary work, apprenticeship contracts, casual jobs and part-time work. The consequences of these changes on the general well-being of workers and their health represent an increasingly important path of inquiry. We add to the debate by answering the question: are Italian workers on temporary contracts more likely to suffer from poor health than those with permanent jobs? Our analysis is based on a sample of men and women aged 16-64 coming from the Italian longitudinal survey 2007-2010 of the European Union Statistics on Income and Living Conditions. We use the method of inverse-probability-of-treatment weights to estimate the causal effect of temporary work on self-rated health, controlling for selection effects. Our major findings can be summarized as follows: firstly, we show that the negative association between precarious employment and health is not simply due to a selection of healthier individuals in the group of people who find permanent jobs (selection effect), but it results from a causal effect in the work-to-health direction. Secondly, we find that the temporariness of the working status becomes particularly negative for the individual’s health when it is prolonged over time. Thirdly, whereas temporary employment does not entail adverse consequences for men, the link between precarious work and health is strongly harmful for Italian women.

Published as Social Science and Medicine, Volume 124, Issue 1, pp. 121-131, 2014; link, published.

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Are spouses more satisfied than cohabitors? A survey over the last twenty years in Italy

Elena Pirani, Daniele Vignoli

On the social landscape of the high-middle-income countries, unmarried cohabitation has become an increasingly popular living arrangement over the last decades. Several observers have noted a “cohabitation gap” in the satisfaction assessment of partners, with cohabitors being less satisfied than marrieds, and they advanced the hypothesis that this difference depends on how far cohabitation has diffused within a society. For the first time we test this hypothesis across time within one country – Italy – analyzing 18 progressive harmonized large-scale datasets collected continuatively since 1994 by the Italian Institute of Statistics. We employ a multilevel model to study 252,732 partnered young adults, nested in 19 regions and 18 years. Our findings support the hypothesis that as time passes and cohabitation becomes a more popular phenomenon, the difference in family satisfaction assessment between Italian cohabitors and spouses progressively weakens and, as observed in recent years, finally vanishes.

Published as Journal of Marriage and Family, Volume 78, Issue 3, pp. 598-609, 2016; link, published.

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Disegno split-plot e superfici di risposta con effetti casuali

Rossella Berni

Questo lavoro illustra il disegno sperimentale split-plot ponendo l’attenzione allo sviluppo che questo piano sperimentale ha ottenuto negli ultimi anni in ambito tecnologico e ambientale. In particolare, tale disegno sperimentale è qui brevemente introdotto considerando la struttura “classica” del disegno split-plot e dell’analisi della varianza ad esso corrispondente, successivamente si illustra la nuova interpretazione di questo disegno sperimentale entro la metodologia delle superfici di risposta, con particolare attenzione alle superfici di risposta con effetti casuali. Il lavoro è ampiamente integrato da esempi che possono aiutare nell’interpretazione dei concetti teorici illustrati; si presuppone comunque la conoscenza da parte del lettore dei fondamenti del disegno degli esperimenti, dell’analisi della varianza e della metodologia delle superfici di risposta, che qui è riassunta in un breve paragrafo. La struttura del lavoro è la seguente: nel primo paragrafo si introducono i primi elementi definitori del disegno split-plot; successivamente, tramite una breve rassegna, si illustra l’evoluzione metodologica che questo disegno sperimentale ha avuto negli ultimi anni. Il terzo paragrafo è dedicato all’illustrazione teorica dello split-plot, con particolare riferimento alla distinzione tra fattori whole-plot e sub-plot. Il paragrafo 1.6 illustra in breve la metodologia della superfici di risposta, ponendo l’attenzione alle superfici di risposta con effetti casuali (mixed response surface models) e alla definizione del modello statistico per il disegno sperimentale split-plot. L’ultimo paragrafo illustra il disegno split-plot con due esempi relativi al settore industriale-tecnologico e al settore ambientale.

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Similar incidence, different nature? Characteristics of Living Apart Together relationships in France and Italy

Arnaud Régnier-Loilier, Daniele Vignoli

This paper contributes to the ongoing debate on the prevalence and determinants of Living Apart Together (LAT) relationships by focusing on two contrasting family settings such as France and Italy. First, corroborate the view that being “single” in residential terms does not mean being “without a partner” in relationship terms. This is an incorrect assumption in more than one quarter of cases in both countries. Second, despite a similar incidence, we show that the nature of LAT relationships differs between the two societies. In Italy, LAT relationships are popular in the early phases of the life course, when young adults often must face a difficult economic situation as well as an overall social pressure to marry. In France, LAT relationships are more the result of a conscious choice, especially in the older phases of the life course. Overall, we found traces of both the Second Demographic Transition and the Pattern of Disadvantage narratives in our findings.

Published as Journal of Population Research, 2017, forthcoming.

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Ultimo aggiornamento 27 aprile 2017 .