Browsing Tesi di dottorato by Author "Billio, Monica"

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Browsing Tesi di dottorato by Author "Billio, Monica"

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  • Bayesian graphical models with economic and financial applications 
    Ahelegbey, Daniel Felix <1983> (Università Ca' Foscari Venezia, 2015-07-13)
    Recent advances in empirical finance has seen a considerable amount of research in network econometrics for systemic risk analysis. The network approach aims to identify the key determinants of the structure and stability ...
  • Contributions to bayesian nonparametric and objective Bayes literature 
    Rossini, Luca <1987> (Università Ca' Foscari Venezia, 2017-01-24)
    The thesis contributes to the literature on Bayesian nonparametrics by proposing two approaches, the first one related to time series analysis with a focus on sparsity of the matrix of coefficients and the second one to ...
  • Discrete time pricing: models with latent variables 
    Pegoraro, Fulvio <1974> (Università Ca' Foscari Venezia, 2004-03-29)
    L'obbiettivo della presente Tesi é di considerare la specificazione di mod­elli di pricing in tempo discreto (in generale, incompleti) con variabili latenti, al fine di sfruttare i vantaggi derivanti da tale contesto a ...
  • Dynamic factor model with non-linearities: application to the business cycle analysis 
    Petronevich, Anna <1989> (Università Ca' Foscari Venezia, 2017-10-26)
    This thesis is dedicated to the study of a particular class of non-linear Dynamic Factor Models, the Dynamic Factor Models with Markov Switching (MS-DFM). Combining the features of the Dynamic Factor model and the Markov ...
  • Essays on Bayesian inference with financial applications 
    Osuntuyi, Ayokunle Anthony <1980> (Università Ca' Foscari Venezia, 2014-03-21)
    This thesis is composed of two main research lines. The first line, developed in chapters 2 to 4, deals with frequentist and Bayesian estimation of regime-switching GARCH models and its application to risk management on ...
  • Essays on empirical market microstructure and high frequency data 
    Bellia, Mario <1979> (Università Ca' Foscari Venezia, 2018-03-01)
    The first paper examines the role of High Frequency Traders (HFTs) as Designated Market Makers. I examine the liquidity provision, the trading behavior and the risk of being picked-off by other traders. I find that HFT ...
  • Essays on insurance regulation 
    Sottocornola, Matteo <1975> (Università Ca' Foscari Venezia, 2018-03-01)
    Solvency II introduced a consistent and homogeneous micro-prudential market based evaluation of assets and liabilities for the European undertakings embedding elements aimed at smoothing potential unintended effects at ...
  • Essays on Markov Switching models with applications in economics and finance 
    Cavicchioli, Maddalena <1985> (Università Ca' Foscari Venezia, 2014-03-21)
    In questa tesi studiamo alcuni problemi legati a modelli Markov Switching (MS) e alle loro applicazioni in Economia e Finanza. Lo scopo del nostro studio è proporre soluzioni per la selezione del modello e per la stima di ...
  • Essays on the econometric modelling of temporal networks 
    Iacopini, Matteo <1989> (Università Ca' Foscari Venezia, 2018-07-05)
    Graph theory has long been studied in mathematics and probability as a tool for describing dependence between nodes. However, only recently it has been implemented on data, givin birth to the statistical analysis of real ...
  • Essays on transmission mechanism in real and financial markets: evidence from real time euro area data 
    Maniero, Sara <1980> (Università Ca' Foscari Venezia, 2009-10-07)
  • Integration of VIX information in GARCH option pricing models 
    Rahantamialisoa Hasinavonizaka, Fanirisoa Zazaravaka <1984> (Università Ca' Foscari Venezia, 2018-11-30)
  • Modelling Times Series of Counts 
    Carallo, Giulia <1992> (Università Ca' Foscari Venezia, 2022-08-24)
    Questa tesi introduce un nuovi processi stocastici con valori nell'insieme degli interi. Introduciamo tre diversi processi per modellare la dinamica nella over-dispersion e under-dispersion dei dati. Nel Capitolo 1 ...
  • Modern approaches for nonlinear data analysis of economic and financial time series 
    Addo, Martey Peter <1986> (Università Ca' Foscari Venezia, 2014-10-27)
    This thesis centers on introducing modern non-linear approaches for data analysis in economics and finance with special attention on business cycles and financial crisis. It is now well stated in the statistical and economic ...
  • Network connectivity, systematic and systemic risk 
    Panzica, Roberto Calogero <1984> (Università Ca' Foscari Venezia, 2018-03-01)
    The thesis collects five papers, each of them, except the last one, treats a different topics related to the asset interconnections and asset pricing. The first paper extends the classic factor-based asset pricing model ...
  • Non parametric contributions to the study of Copula symmetries 
    Frattarolo, Lorenzo <1981> (Università Ca' Foscari Venezia, 2014-12-03)
    We contribute to the design of a new generation of non parametric descriptive statistics that are able to enlighten some characteristics of the dependence structure of a system of random variables, in order to act as a ...
  • Price and volatility jumps in the stock market 
    Zoi, Patrick <1981> (Università Ca' Foscari Venezia, 2017-02-17)
    Chapter1: We study the bivariate jump process involving the S&P 500 and the Euro Stoxx 50 index with jumps extracted from high frequency data using non-parametric methods. Our analysis, based on the generalized Hawkes ...
  • Simulation methods for nonlinear and non-gaussian models in finance 
    Casarin, Roberto <1975> (Università Ca' Foscari Venezia, 2004-03-29)
    Le variabili finanziarie, come i rendimenti dei titoli del mercato azionario ed obbligazionario, o i tassi di interesse nel mercato della liquidità, evidenziano molto spesso una dinamica temporale eterogenea caratterizzata ...
  • Three essays in panel data econometrics 
    Agudze, Komla Mawulom <1986> (Università Ca' Foscari Venezia, 2016-06-13)
    This paper contributes to the literature on regional growth-cycles by developing in a Bayesian framework different notion of multivariate cycle synchro- nization and proposing an encompassing model combining three ...