DSpace Collezione:http://elea.unisa.it/xmlui/handle/10556/25932024-03-28T17:29:41Z2024-03-28T17:29:41ZEssays on the modelling and prediction of financial volatility and trading volumesNaimoli, Antoniohttp://elea.unisa.it/xmlui/handle/10556/38792019-11-14T10:15:03Z2017-06-12T00:00:00ZTitolo: Essays on the modelling and prediction of financial volatility and trading volumes
Autori: Naimoli, Antonio
Abstract: 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 volatility and volumes and introduces thè most important contributions and findings of thè thesis. Chapter 2 presents an extension of thè Realized GARCH model by Hansen et al. (2012) along three different directions. First, we allow for heteroskedasticity of thè noise term in thè measurement equation, since it is assumed to be time-varying as a function of an estimator of thè integrated quarticity of intra-daily returns.
Second, in order to account for attenuation bias effects, we let thè volatility dynamics to depend on thè accuracy of thè realized measure. This is achieved by leaving thè response coefficient of thè lagged realized measure, to depend on thè time-varying variance of thè volatility measurement error, giving more weight to lagged volatilities when they are more accurately measured. Finally, we account for jumps by introducing in thè measurement equation an additional explanatory variable aimed at quantify thè bias due to thè effect of jumps. Chapter 3 develops a further extension of thè Realized GARCH model of Hansen et al. (2012) for forecasting daily volatility incorporating information from multiple realized volatility measures computed at different sampling frequencies in order to achieve thè optimal trade-off between bias and efficiency. Namely, future volatility forecasts are determined by a weighted average of thè considered realized measures, where thè weights are time-varying and adaptively determined according to thè estimated amount of noise and jumps.
This specification aims to reduce, in an adaptive fashion, bias effects related to thè different sampling frequency at which thè realized measure are computed. Chapter 4 proposes a novel approach for modelling and forecasting high-frequency trading volumes, extending thè logie of thè Component Multiplicative Error Model of Brownlees et al. (2011), by a more flexible specification of thè long-run component, since it is based on a MIDAS polynomial structure through an additive cascade of linear filters adopting heterogeneous components which can take on multiple frequencies, in order to reproduce thè strong persistent autocorrelation structure featuring intra-daily trading volumes. Finally, Appendix A presents an empirical application on tick-by-tick data filtering and highlights thè main features and issues surrounding ultra high-frequency datasets.
Descrizione: 2015 - 20162017-06-12T00:00:00ZModelli di equazioni strutturali per valutare la sostenibilità aziendale attraverso l’analisi della web communicationDe Luca, Danilohttp://elea.unisa.it/xmlui/handle/10556/31862019-06-06T13:00:08Z2017-12-15T00:00:00ZTitolo: Modelli di equazioni strutturali per valutare la sostenibilità aziendale attraverso l’analisi della web communication
Autori: De Luca, Danilo
Abstract: We often hear about the concept of sustainable development through newspapers, television and other mass media, yet frequently the meaning of this expression escapes most people.
But what does sustainable development actually mean?
It is "economic development compatible with the protection and conservation of environmental resources". This explanation, although indicated by common language, has the merit of placing the two central subjects of the argument in the foreground: economy and environment. The ability to relate these two subjects in the best possible way results in an effective policy of sustainable development. The effectiveness results from being able to safeguard and conserve resources, and this means becoming aware of the fact that the resources present in nature are not unlimited (at least those most used by man), and therefore it is necessary to know how to manage them in a way very rational, so that future generations can enjoy the same privileges that current generations make abundantly.
Sustainable development, however, does not refer only to the management of resources, but broadens its horizons to all activities managed by man, as ensuring a decent life to future generations, also means giving them a healthy environment and able to guarantee a peaceful life.
This, substantially, is what is expressed in the first chapter of this thesis, where the focus was more on what has been the historical and management evolution of the company sustainability. Starting from the origins of the concept has been described what are the characteristics and the limits of the models that over time have succeeded. We also proceeded to describe what are the reference contexts in which corporate sustainability has played a fundamental role: in the paradigms of Service Science and in the ASV dynamics. Finally, emphasis was placed on what are the possible business advantages deriving from a correct management of sustainability, in the field of stakeholder engagement and the growth of the reputational capital of the company.
The second chapter, after a discussion on the model concept and a description of the OSEC model, focuses on what are the models of structural equations (MES), analyzing and describing the phases with the most frequent problems and errors to avoid as well as the first practical applications, in econometrics and psychometrics. Subsequently, the most technical part that underlies the models was analyzed, such as the syntax and the methodology used.
Finally, in the third chapter a brief description of the sample is presented, then with the data in possession we have specified a structural model with the aim of assessing the causal links between the constructs analyzed and the main empirical conclusions deriving from the estimation of the model. structural with attached considerations and critical issues.
The research work was aimed at verifying the existence of a possible relationship between the models of structural equations and the concept of corporate sustainability. Starting from the analysis of the macro-model on communication for sustainability, the various relationships existing between the variables examined have been analyzed through the ESM. This analysis, as explained in the previous paragraph, has provided excellent results, the validation of the model in fact, is well configured with the conceptual construct of the macro-model on communication for sustainability.
It should also be clarified how discussions on models of structural equations still remain an "open" topic with many facets and unknowns. Few, in fact, are the discussions on the subject especially as regards the business economy, although, we are witnessing their increasing use and study both in the theoretical field and in the field of applied research. Innovative studies, such as those expressed in the second chapter, have shown, however, how this topic can provide advantages in terms of theoretical and practical applications in the various company dimensions.
Economic research, especially in the business environment, is the difficulty and the impossibility, often, of being able to conduct "experiments", which, usable by other social sciences, would allow us to highlight with greater approximation the results that are outlined at the theoretical level, making them de facto verifiable.
To this problem is added, moreover, the difficulty of having the right balance between the reality of the events and the simplification of the assumptions that are at the base of the use of the models.
To obtain further information on the subjects under investigation, the results obtained must be compared with those of other types of analyzes to highlight their distinctive characteristics.
In conclusion, therefore, in the light of the results obtained, it can be affirmed that it would be convenient to extend the research, redefining and specifying more "items", in order to have a more detailed analysis and a higher quality of the model estimates.
It is therefore possible to state that the implementation of the cases under study will determine an ever-increasing discussion, in terms of communication for sustainability, which can be analyzed and implemented with the help of structural equation models. [edited by author]
Descrizione: 2015 - 20162017-12-15T00:00:00ZRisorse Umane, pratiche di gestione ad alta prestazione e performance d’aziendaMatarazzo, Giuseppehttp://elea.unisa.it/xmlui/handle/10556/31192019-05-30T13:43:10Z2018-01-30T00:00:00ZTitolo: Risorse Umane, pratiche di gestione ad alta prestazione e performance d’azienda
Autori: Matarazzo, Giuseppe
Abstract: Lo scopo di questa tesi è quello di descrivere ed esplorare la relazione tra la presenza di pratiche di gestione del lavoro ad alta prestazione ed il contesto aziendale, inteso sia come struttura che come composizione della forza lavoro. Per farlo è stato utilizzato il database Eurofound sulle aziende europee alla sua terza edizione (dati relativi all’annualità 2013), il cui campione è rappresentato da circa 27000 aziende rappresentative di 32 paesi. La tecnica utilizzata è quella di un modello di regressione lineare multipla in cui dagli scarti tra l’intercetta (i cui valori noti corrispondono all’Italia per il paese ed al punteggio più basso delle altre variabili) e le altre modalità fosse possibile vedere a parità di condizioni di partenza quali paesi e quali caratteristiche – raggruppabili in due macro aree grazie a variabili di struttura e di composizione della forza lavoro – favorissero la crescita e lo sviluppo di sistemi HR. La variabile dipendente, costruita per addizione, è data dalla somma di variabili dicotomiche – o dicotomizzate secondo le indicazioni della letteratura – di tipo categoriale. La validità del modello è stata testata con gli opportuni test di significatività e di robustezza. ... [abstract a cura dell'Autore]; The aim of this thesis is to describe and explore the relationship between the presence of High
Performance Work Practices (HPWP) and the business context, this one intended both as structure
and workforce arrangement. For the purpose, the Eurofound database has been used, at its third
edition (data related to 2013). This dataset is composed by about 27000 firms representative of 32
counties.
The technique used is the one of a multiple linear regression model where, from the deviation of the
intercept (whose known values correspond to Italy as country and to the other variables lower score)
and the other values, it could be possible to see - the starting conditions being equal - which countries
and what characteristics – possibly and subsequently grouped in two macro areas referred to firm
structure and workforce arrangement - will facilitate the growth and development of HR systems.
The dependent variable, built by addition, is given by the sum of dichotomous variables – or
dichotomised according to the literature indications - of categorical type. The validity of the model
was examined through appropriate significance and robustness tests. The results, consistent with the
expectations, have shown, with regard to the structure, a strong impact not only from the number of
employees but also from the presence or absence of departments connected to development and
innovation.
Regarding the workforce, a well-defined relationship was found between the dissemination of HR
practices and the employee’s education level and between the dissemination of HR practices and the
presence of a highly skilled workforce. ... [edited by Author]
Descrizione: 2015 - 20162018-01-30T00:00:00ZLe garanzie nel contratto di acquisizione di partecipazioni societarieMammola, Paolohttp://elea.unisa.it/xmlui/handle/10556/31182019-05-30T13:38:30Z2018-01-23T00:00:00ZTitolo: Le garanzie nel contratto di acquisizione di partecipazioni societarie
Autori: Mammola, Paolo
Abstract: The thesis at stake deals with the Share Purchase Agreement and the main issue of its warranties, including the implied ones. Namely, the problem lies in that transferring shares does not mean selling undertaking’s assets, hence the provisions of clauses−mainly in favour of the purchaser−concerning the company’s patrimony, since shares are only a second degree good: which means that securing the quality of some shares does not grant them−ex se−that quality.
While jurisprudence prefers expressed business warranties in contracts, a doctrine is here developed−also referring to Common Law implication of terms−through the proposition of implied clauses and warranties, by having recourse to the good faith principle, which is deemed in force in Company Law relationships as well. [edited by Author]
Descrizione: 2015 - 20162018-01-23T00:00:00Z