Working Papers del DiSIA
Median Response to Shocks: A Model for VaR Spillovers in East Asia
Fabrizio Cipollini, Giampiero Gallo, Andrea Ugolini
We propose a procedure for analyzing financial interdependencies within an area of interest, interpreting a negative daily return in an Originator market as a VaR (i.e. the product of a volatility level and the corresponding α-quantile of a time independent probability distribution), and measuring the Median Response in the Destination market through its volatility associated with the one in the Originator and the reconstruction of the correlation structure between the two (through copula functions). We apply our methodology to nine Asian markets, varying the choice of the Originator and deriving a number of indicators which represent the importance of each market as a provider or a receiver of turbulence. Over a 1996-2015 period we confirm the role of traditionally important markets (e.g. Hong Kong or Singapore), while over a rolling three--year estimation period, we can detect rises and declines, the explosion of turbulence in the occasion of the Great Recession and the magnified role of China in the recent years.
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM
Giampiero M. Gallo, Edoardo Otranto
Volatility in financial markets alternates persistent turmoil and quiet periods. Modelling realized volatility time series requires a specification in which these sub-periods are adequately represented. Changes in regimes is a solution, but the question of whether transition between periods is abrupt or smooth remains open. We provide a new class of models with a set of parameters subject to abrupt changes in regime and another set subject to smooth transition changes. These models capture the possibility that regimes may overlap with one another (fuzzy). The empirical application is carried out on the volatility of four US indices.
Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears
Francesco Calvori, Matteo Dentella, Giampiero M. Gallo
The issue of divergence of sovereign spreads in the Euro area, following the deep financial crisis initiated in 2008 can only in part be related to the stability of the institutional agreements behind the common currency. There is a widespread debate as of how spreads signal a justifiable credit risk differential within the area, or, rather, reflect irrational fears and subjective and biased reasoning. In this paper we suggest a way to filter out of the observed spreads a component which we dub physiological, which is the reflection of the reaction to difference between expectations and realizations of economic fundamentals. Such a component is a function of market volatility, a proxy which represents well how new information is processed. The model parameters are estimated over a tranquil period (2000–2007) and then, in keeping with a substantial stream of literature on the topic, they are kept unchanged over the more recent and more turbulent period (2008–2015). We apply our procedure on nine Euro area countries and the US. The difference between observed and predicted values is what we label excess fears. As a result, the actual spread is much higher than it should be using as a reference a physiological view where news on macroeconomic fundamentals do indeed induce a reaction by the markets, but that this reaction was excessive when compared to what similar episodes had generated in the past.
Copula–based Specification of vector MEMs
Fabrizio Cipollini, Robert F. Engle, Giampiero M. Gallo
The Multiplicative Error Model (Engle (2002)) for nonnegative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with nonnegative support. A multivariate extension allows for the innovations to be contemporaneously correlated. We overcome the lack of sufficiently flexible probability density functions for such processes by suggesting a copula function approach to estimate the parameters of the scale factors and of the correlations of the innovation processes. We illustrate this vector MEM with an application to the interactions between realized volatility, volume and the number of trades. We show that significantly superior realized volatility forecasts are delivered in the presence of other trading activity indicators and contemporaneous correlations.
A Rigorous Framework for Specification, Analysis and Enforcement of Access Control Policies
Andrea Margheri, Massimiliano Masi, Rosario Pugliese, Francesco Tiezzi
Access control systems are widely used means for the protection of computing systems. They are defined in terms of access control policies regulating the accesses to system resources. In this paper, we introduce a formally-defined, fully-implemented framework for the specification, analysis and enforcement of attribute-based access control policies. The framework rests on FACPL, a formal language with a compact, yet expressive, syntax that permits expressing real-world access control policies. By relying on the FACPL denotational semantics, we devise a constraint formalism that uniformly represents access control policies in terms of SMT formulae, whose solvers provide effective and efficient analysis. To this aim, we introduce and formalise a set of properties that permit assessing the authorisations enforced by policies and understanding the relationships among them. Our analysis approach explicitly addresses the role of missing attributes, erroneous values and obligations, that are crucial in policy evaluation and are instead overlooked in other proposals. The framework is supported by Java-based tools that allow access control system developers to use formally-defined functionalities without requiring them to be familiar with formal methods.
A Generalization of the Noisy-MAX Parameterization for Biomedical Applications
Alessandro Magrini, Davide Luciani, Federico Mattia Stefanini
The development of Bayesian networks for biomedical applications is often difficult because the number of parameters defining each conditional probability table grows exponentially with the increase in the number of parent variables. The Noisy-MAX parameterization have been extensively used to reduce the number of parameters defining a conditional probability table when causes independently influence the response. Unfortunately, the Noisy-MAX parameterization is not suited to a non-ordinal response variable. In this paper, we propose a generalization of the Noisy-MAX parameterization, called SoftDom parameterization, which is suited to a general biomedical response variable influenced by independent causal determinants.
Intergenerational contact across marriage and cohabitation in Italy. Something new?
As far as cohabitation became increasingly popular as a form of union beside marriage, scholars started to question if this alternative way to form a romantic union shapes differently intergenerational ties. Empirical literature generally offered proofs that the type of union is negatively associated with intergenerational contacts, especially in traditional societies. Past research for the Italian context was in line with this assumption. We intend to assess the effects of choosing cohabitation relative to marriage on the frequency of contact with mother in contemporary Italy, a country where the strong family system is still exercising a main role within the society, but where the force of change in family behaviours is increasing year after year. Using data from a large, nationally representative survey, we study the frequency of contact mother-adult child across marriage and cohabitation, considering three measures of contact: face-to-face contact, telephone contact and mixed contact. In order to overcome endogeneity and selectivity problems, we adopt a simultaneous equation approach. Our findings prove that adult Italians cohabitors of the end of 2000s have a lower probability to meet personally their mother on daily basis relative to marrieds, but they are more likely to have frequent phone calls with her; no differences across marrieds and cohabitors appear when considering a composite indicator of mixed contact. We advance that when face-to-face contact is blocked for some reasons, for instance geographical distance, it is replaced by telephone contact, suggesting a potential compensation among children who live further away from parents. Cohabitors may have a non-traditional vision of the family and of family roles; nevertheless, they stay in touch with their family of origin changing the method of contact. In conclusion, our results do not lead to the indication of deteriorated contacts mother-child for cohabitors. This paper expands and updates previous findings on this issue, illustrating the association between union type and various indicators of contact mother-child in contemporary Italy. We interpret the novelty of these results suggesting that the slow yet incessant diffusion of cohabitation in 2000s has probably contributed to open the route to an increasing acceptance by the old generations, relaxing the parental negative attitude towards their children’s cohabitation decisions.
Women’s satisfaction during pregnancy and at delivery in Tuscany (Italy)
Gustavo De Santis, Valentina Tocchioni, Chiara Seghieri, Sabina Nuti
The Tuscany region constitutes an excellence at the national level for the quality of its health services. Following the WHO guidelines on the prenatal and childcare services, it has an integrated path targeted at pregnant women, called "birth path", to take care of all clinical and non-clinical aspects of pregnancy, childbirth and postpartum. New mothers’ evaluation of the birth path was the object of a specific survey, conducted in Tuscany in 2012-2013, which is analyzed in detail in this paper. Focusing on the association of women’s socio-demographic characteristics and overall satisfaction of the care path using multilevel modelling, the main conclusion is that, while the average was high, significant differences in satisfaction levels emerge between women from different socio-demographic groups.
Women’s satisfaction at childbirth is generally considered an important indicator of the quality of maternity services, with implications on the health and well-being of the mother and the child. However, the effect of women’s characteristics on satisfaction is under-investigated, especially in Italy: our research aims at filling this gap.
Exploring the childless universe: profiles and fertility intentions of men and women without children in Italy
In the last decades, several western countries experienced a large increase in childlessness. Relatively little is known about the profiles of childless women in Italy, and virtually nothing about men, as well as their fertility intentions. This paper aims to fill this gap by identifying typical life course trajectories of childless women and men in Italy, and by exploring how childless people’s fertility intentions differ according to the various life course profiles. For eliciting typical patterns, I followed a holistic perspective and applied sequence analysis to a childless sample derived from the Italian 2009 Family and Social Subjects survey, taking into account a few relevant spheres, including partnership, employment, and education. Reconstructing the major life course trajectories, several similarities emerged between childless women and men, who shared some typical patterns. Determinants of fertility intentions were investigated through a logistic regression approach applied to a subsample of childless people nearly at the end of their reproductive period. Interestingly, similar childless profiles did not lead to similar attitudes towards fertility intentions.
Analysis of probabilistic systems via generating functions and Padé approximation
We investigate the use of generating functions in the analysis of discrete Markov chains. Generating functions are introduced as power series whose coefficients are certain hitting probabilities. Being able to compute such functions implies that the calculation of a number of quantities of interest, including absorption probabilities, expected hitting time and number of visits, and variances thereof, becomes straightforward. We show that it is often possible to recover this information, either exactly or within excellent approximation, via the construction of Padé approximations of the involved generating function. The presented algorithms are based on projective methods from linear algebra, which can be made to work with limited computational resources. In particular, only a black-box, on-the-fly access to the transition function is presupposed, and the necessity of storing the whole model is eliminated. A few numerical experiments conducted with this technique give encouraging results.
Ultimo aggiornamento 19 gennaio 2017.