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A novel approach to forecasting from non scalar DCC models
(Universita degli studi di Salerno, 2016-03-17)
Estimating and predicting joint second-order moments of asset portfolios is of huge impor-
tance in many practical applications and, hence, modeling volatility has become a crucial
issue in financial econometrics. In ...
Macroeconomic implications of fiscal policy
(Università degli Studi di Salerno, 2010-05-06)
This thesis investigates the macroeconomics e ects of scal policy from a theoretical and
empirical perspective.
The rst part of the thesis surveys recent theoretical and empirical studies in the
related literature. ...
Essays on the modelling and prediction of financial volatility and trading volumes
(Universita degli studi di Salerno, 2017-06-12)
Aim of this thesis is to propose and discuss novel model specifications for predicting financial volatility and trading volumes using intra-daily information. Chapter 1 provides a literature overview on modelling financial ...