Domenico Sartore - Academia.edu (original) (raw)

Uploads

Papers by Domenico Sartore

Research paper thumbnail of La combinazione di previsioni

Research paper thumbnail of Square root iterative filter: Theory and applications to econometric models

Research paper thumbnail of A statistical comparison of trends of the average monthly sea level in Venice and Porto Corsini (1947-1971) (in Italian)

Research paper thumbnail of Non Central Moments of the Truncated Normal Variable

SSRN Electronic Journal

This paper computes the non central moments of the Truncated Normal variable, that is, a N orm al... more This paper computes the non central moments of the Truncated Normal variable, that is, a N orm al constrained to assume values in the interval , w ith and. W e define two recursive expressions where one can be expressed in closed form. Another closed form is defined u sing the L o w er Incom p lete G am m a Function. M oreover, an upper bound fo r the absolute value of the noncentral m om ents is determ ined. The num erical results of the expressions are com pared and the different behavior for high value of the order of the moments is sh own.

Research paper thumbnail of Deciphering the Libor and Euribor Spreads during the Subprime crisis

There has been a persistent spread during the Subprime crisis between the interbank rate and mone... more There has been a persistent spread during the Subprime crisis between the interbank rate and monetary policy rates. In this paper we provide an overview of the main variables that are affecting this spread and perform an empirical analysis to assess their role in explaining the dynamic of this spread during the current crisis.

Research paper thumbnail of Methodological aspects of time series back-calculation

This paper provides the theoretical and operational framework for estimating past values of relev... more This paper provides the theoretical and operational framework for estimating past values of relevant time series starting from a (limited) information set. We consider a general approach that includes as special cases time series aggregation and temporal and/or spatial disaggregation problems. Furthermore, we explore the relevant problems and the possible solutions associated with a retropolation exercise, evidencing that linear models could be the preferred representation for the production of the needed data. The methodology is designed with a focus on economic time series but it could be considered even for other statistical areas. An empirical example is presented: we analyze the back-calculation of Eu15 Industrial Production Index comparing our approach with the Eurostat official one.

Research paper thumbnail of Time Series Analysis and Econometric Modelling Quantitative methods for Finance, 2nd Term of Master's Program in Economics and Finance

Research paper thumbnail of Square Root Iterative Filter: Theory and Applications to Econometric Models

Annales d'économie et de statistique

This paper provides a new algorithm for estimating state space dynamic models and, as an example,... more This paper provides a new algorithm for estimating state space dynamic models and, as an example, it considers the estimation of time-varying parameter models. The novel elements of the algorithm are: a simple, easily implementable, square root method which is shown to solve the numerical problems affecting the standard Kalman filter algorithm and the related information filter and smoothing algorithms;an iterative framework, where information and covariance filters and smoothing are sequentially run in order to estimate all the parameters of the model; four different algorithms to consistently estimate the distribution of the estimated parameters, which are described and then compared by performing appropriate Montecarlo experiments.

Research paper thumbnail of Bayesian Inference On Dynamic Models

this paper is to suggest the use of sequential simulation methods for filtering and smoothing in ... more this paper is to suggest the use of sequential simulation methods for filtering and smoothing in business cycle dynamic models. These methods have been recently developed to overcome some problems of the traditional MCMC methods. As pointed out by Liu and Chen (1998), the Gibbs sampler is less attractive when considering on-line data processing. Furthermore, Gibbs sampler may be ine#cient when simulated states are very sticky and the sampler has di#culties to move in the state space. In these situations, the use of sequential Monte Carlo techniques and in particular of particle filter algorithms may result more e#cient. Doucet, Freitas and Gordon (2001) provide the state of the art on sequential Monte Carlo methods and discuss both applications and theoretical convergence results for these algorithms, with special attention to particle filters

Research paper thumbnail of Developments of control theory for economic analysis. (Proceedings of the Conference on Economic Policy and Control Theory, held at the University of Venice, Italy, January 27 - February 1, 1985)

... 2) the possible variability of the parameters of the model as a consequence of the reaction o... more ... 2) the possible variability of the parameters of the model as a consequence of the reaction of economic agents to policy-maker's decisions (see Lucas, 1976); (3) the credibility of the announced control strategy; (4) the inclusion between the policymaker's targets of ...

Research paper thumbnail of La Style Analysis nel mercato azionario italiano

Research paper thumbnail of Guest Editorial

Research paper thumbnail of Matrix-State Particle Filter for Wishart Stochastic Volatility Process

This work deals with multivariate stochastic volatility models, which account for a time-varying ... more This work deals with multivariate stochastic volatility models, which account for a time-varying variance-covariance structure of the observable variables. We focus on a special class of models recently proposed in the literature and assume that the covariance matrix is a latent variable which follows an autoregressive Wishart process. We review two alternative stochastic representations of the Wishart process and propose Markov- Switching Wishart processes to capture different regimes in the volatility level. We apply a full Bayesian inference approach, which relies upon Sequential Monte Carlo (SMC) for matrix-valued distributions and allows us to sequentially estimate both the parameters and the latent variables.

Research paper thumbnail of Developments of control theory for economic analysis / edited by Carlo Carraro and Domenico Sartore

"Proceedings of the conference on "Economic Policy and Control Theory" Which was h... more "Proceedings of the conference on "Economic Policy and Control Theory" Which was held at the University of Venice (Italy) on 27 January-1 February 1985" Incluye bibliografía

Research paper thumbnail of Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk

Dunis/Trading and Investment, 2003

This chapter presents an introduction to the current literature on stochastic volatility models. ... more This chapter presents an introduction to the current literature on stochastic volatility models. For these models the volatility depends on some unobserved components or a latent structure.

Research paper thumbnail of Euro/Dollar Exchange Rates: A Multy-Country Structural Monthly Econometric Model for Forecasting

In this paper a structural multi-country model for the Euro/Dollar Exchange rate is presented and... more In this paper a structural multi-country model for the Euro/Dollar Exchange rate is presented and compared with an area-wide model. The models are built in VECM form, after the full information cointegration analysis is applied in the presence of structural breaks. The results obtained give support to a specification of Mundell-Fleming type and the forecasting performances are satisfactory for both multicountry and area-wide specifications. The former is clearly better even in terms of economic effectiveness.

Research paper thumbnail of US dollar/Euro exchange rate: a monthly econometric model for forecasting

European Journal of Finance

The intent of this paper is the construction of an econometric model able to produce reliable and... more The intent of this paper is the construction of an econometric model able to produce reliable and reasonable forecasts for the US dollar/Euro real exchange rate. In order to achieve this aim, an area-wide model is analysed. The aggregation is motivated by the fact that the Euro-zone is under a single monetary policy. Furthermore, a more parsimonious parametric model enables one to consider an important source of non-stationarity given by the presence of structural breaks using the multivariate cointegration analysis. Against the Meese-Rogoff critique, the out-of-sample one-step-ahead forecasts using actual values of the exogenous produced by the estimated VECM are reasonably satisfactory.

Research paper thumbnail of Methodological Aspects of Time Series Back-Calculation

SSRN Electronic Journal, 2000

This paper provides the theoretical and operational framework for estimating past values of relev... more This paper provides the theoretical and operational framework for estimating past values of relevant time series starting from a (limited) information set. We consider a general approach that includes as special cases time series aggregation and temporal and/or spatial disaggregation problems. Furthermore, we explore the relevant problems and the possible solutions associated with a retropolation exercise, evidencing that linear models could be the preferred representation for the production of the needed data. The methodology is designed with a focus on economic time series but it could be considered even for other statistical areas. An empirical example is presented: we analyze the back-calculation of Eu15 Industrial Production Index comparing our approach with the Eurostat official one.

Research paper thumbnail of Fund Ratings: The Method Reconsidered

SSRN Electronic Journal, 2000

Research paper thumbnail of CDS Industrial Sector Indices, Credit and Liquidity Risk

SSRN Electronic Journal, 2000

This paper studies the risk spillover among US Industrial Sectors and focuses on the connection b... more This paper studies the risk spillover among US Industrial Sectors and focuses on the connection between credit and liquidity risks. The proposed methodology is based on quantile regressions and considers the movements of CDS Industrial Sector Indices depending on common risk factors such as equity risk, risk appetite, term spread and TED spread. We use CDS Industrial indexes and the market risk factor to identify the impact of market liquidity risk and market credit risk in the different US Industries and give evidence of the heterogeneity of this relation. We show that all the sectors are largely exposed to the non investment grade bond spread indicating that credit risk is largely a common factor rather than a sector specific factor. With a lower impact, we also find that market risk and interest rate risk are also common factors, as well as liquidity risk. These results indicate that diversification among sectors might collapse when credit, equity and liquidity events hit the market. The information extracted from CDS market could thus provide relevant information for sector allocation strategies.

Research paper thumbnail of La combinazione di previsioni

Research paper thumbnail of Square root iterative filter: Theory and applications to econometric models

Research paper thumbnail of A statistical comparison of trends of the average monthly sea level in Venice and Porto Corsini (1947-1971) (in Italian)

Research paper thumbnail of Non Central Moments of the Truncated Normal Variable

SSRN Electronic Journal

This paper computes the non central moments of the Truncated Normal variable, that is, a N orm al... more This paper computes the non central moments of the Truncated Normal variable, that is, a N orm al constrained to assume values in the interval , w ith and. W e define two recursive expressions where one can be expressed in closed form. Another closed form is defined u sing the L o w er Incom p lete G am m a Function. M oreover, an upper bound fo r the absolute value of the noncentral m om ents is determ ined. The num erical results of the expressions are com pared and the different behavior for high value of the order of the moments is sh own.

Research paper thumbnail of Deciphering the Libor and Euribor Spreads during the Subprime crisis

There has been a persistent spread during the Subprime crisis between the interbank rate and mone... more There has been a persistent spread during the Subprime crisis between the interbank rate and monetary policy rates. In this paper we provide an overview of the main variables that are affecting this spread and perform an empirical analysis to assess their role in explaining the dynamic of this spread during the current crisis.

Research paper thumbnail of Methodological aspects of time series back-calculation

This paper provides the theoretical and operational framework for estimating past values of relev... more This paper provides the theoretical and operational framework for estimating past values of relevant time series starting from a (limited) information set. We consider a general approach that includes as special cases time series aggregation and temporal and/or spatial disaggregation problems. Furthermore, we explore the relevant problems and the possible solutions associated with a retropolation exercise, evidencing that linear models could be the preferred representation for the production of the needed data. The methodology is designed with a focus on economic time series but it could be considered even for other statistical areas. An empirical example is presented: we analyze the back-calculation of Eu15 Industrial Production Index comparing our approach with the Eurostat official one.

Research paper thumbnail of Time Series Analysis and Econometric Modelling Quantitative methods for Finance, 2nd Term of Master's Program in Economics and Finance

Research paper thumbnail of Square Root Iterative Filter: Theory and Applications to Econometric Models

Annales d'économie et de statistique

This paper provides a new algorithm for estimating state space dynamic models and, as an example,... more This paper provides a new algorithm for estimating state space dynamic models and, as an example, it considers the estimation of time-varying parameter models. The novel elements of the algorithm are: a simple, easily implementable, square root method which is shown to solve the numerical problems affecting the standard Kalman filter algorithm and the related information filter and smoothing algorithms;an iterative framework, where information and covariance filters and smoothing are sequentially run in order to estimate all the parameters of the model; four different algorithms to consistently estimate the distribution of the estimated parameters, which are described and then compared by performing appropriate Montecarlo experiments.

Research paper thumbnail of Bayesian Inference On Dynamic Models

this paper is to suggest the use of sequential simulation methods for filtering and smoothing in ... more this paper is to suggest the use of sequential simulation methods for filtering and smoothing in business cycle dynamic models. These methods have been recently developed to overcome some problems of the traditional MCMC methods. As pointed out by Liu and Chen (1998), the Gibbs sampler is less attractive when considering on-line data processing. Furthermore, Gibbs sampler may be ine#cient when simulated states are very sticky and the sampler has di#culties to move in the state space. In these situations, the use of sequential Monte Carlo techniques and in particular of particle filter algorithms may result more e#cient. Doucet, Freitas and Gordon (2001) provide the state of the art on sequential Monte Carlo methods and discuss both applications and theoretical convergence results for these algorithms, with special attention to particle filters

Research paper thumbnail of Developments of control theory for economic analysis. (Proceedings of the Conference on Economic Policy and Control Theory, held at the University of Venice, Italy, January 27 - February 1, 1985)

... 2) the possible variability of the parameters of the model as a consequence of the reaction o... more ... 2) the possible variability of the parameters of the model as a consequence of the reaction of economic agents to policy-maker's decisions (see Lucas, 1976); (3) the credibility of the announced control strategy; (4) the inclusion between the policymaker's targets of ...

Research paper thumbnail of La Style Analysis nel mercato azionario italiano

Research paper thumbnail of Guest Editorial

Research paper thumbnail of Matrix-State Particle Filter for Wishart Stochastic Volatility Process

This work deals with multivariate stochastic volatility models, which account for a time-varying ... more This work deals with multivariate stochastic volatility models, which account for a time-varying variance-covariance structure of the observable variables. We focus on a special class of models recently proposed in the literature and assume that the covariance matrix is a latent variable which follows an autoregressive Wishart process. We review two alternative stochastic representations of the Wishart process and propose Markov- Switching Wishart processes to capture different regimes in the volatility level. We apply a full Bayesian inference approach, which relies upon Sequential Monte Carlo (SMC) for matrix-valued distributions and allows us to sequentially estimate both the parameters and the latent variables.

Research paper thumbnail of Developments of control theory for economic analysis / edited by Carlo Carraro and Domenico Sartore

"Proceedings of the conference on "Economic Policy and Control Theory" Which was h... more "Proceedings of the conference on "Economic Policy and Control Theory" Which was held at the University of Venice (Italy) on 27 January-1 February 1985" Incluye bibliografía

Research paper thumbnail of Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk

Dunis/Trading and Investment, 2003

This chapter presents an introduction to the current literature on stochastic volatility models. ... more This chapter presents an introduction to the current literature on stochastic volatility models. For these models the volatility depends on some unobserved components or a latent structure.

Research paper thumbnail of Euro/Dollar Exchange Rates: A Multy-Country Structural Monthly Econometric Model for Forecasting

In this paper a structural multi-country model for the Euro/Dollar Exchange rate is presented and... more In this paper a structural multi-country model for the Euro/Dollar Exchange rate is presented and compared with an area-wide model. The models are built in VECM form, after the full information cointegration analysis is applied in the presence of structural breaks. The results obtained give support to a specification of Mundell-Fleming type and the forecasting performances are satisfactory for both multicountry and area-wide specifications. The former is clearly better even in terms of economic effectiveness.

Research paper thumbnail of US dollar/Euro exchange rate: a monthly econometric model for forecasting

European Journal of Finance

The intent of this paper is the construction of an econometric model able to produce reliable and... more The intent of this paper is the construction of an econometric model able to produce reliable and reasonable forecasts for the US dollar/Euro real exchange rate. In order to achieve this aim, an area-wide model is analysed. The aggregation is motivated by the fact that the Euro-zone is under a single monetary policy. Furthermore, a more parsimonious parametric model enables one to consider an important source of non-stationarity given by the presence of structural breaks using the multivariate cointegration analysis. Against the Meese-Rogoff critique, the out-of-sample one-step-ahead forecasts using actual values of the exogenous produced by the estimated VECM are reasonably satisfactory.

Research paper thumbnail of Methodological Aspects of Time Series Back-Calculation

SSRN Electronic Journal, 2000

This paper provides the theoretical and operational framework for estimating past values of relev... more This paper provides the theoretical and operational framework for estimating past values of relevant time series starting from a (limited) information set. We consider a general approach that includes as special cases time series aggregation and temporal and/or spatial disaggregation problems. Furthermore, we explore the relevant problems and the possible solutions associated with a retropolation exercise, evidencing that linear models could be the preferred representation for the production of the needed data. The methodology is designed with a focus on economic time series but it could be considered even for other statistical areas. An empirical example is presented: we analyze the back-calculation of Eu15 Industrial Production Index comparing our approach with the Eurostat official one.

Research paper thumbnail of Fund Ratings: The Method Reconsidered

SSRN Electronic Journal, 2000

Research paper thumbnail of CDS Industrial Sector Indices, Credit and Liquidity Risk

SSRN Electronic Journal, 2000

This paper studies the risk spillover among US Industrial Sectors and focuses on the connection b... more This paper studies the risk spillover among US Industrial Sectors and focuses on the connection between credit and liquidity risks. The proposed methodology is based on quantile regressions and considers the movements of CDS Industrial Sector Indices depending on common risk factors such as equity risk, risk appetite, term spread and TED spread. We use CDS Industrial indexes and the market risk factor to identify the impact of market liquidity risk and market credit risk in the different US Industries and give evidence of the heterogeneity of this relation. We show that all the sectors are largely exposed to the non investment grade bond spread indicating that credit risk is largely a common factor rather than a sector specific factor. With a lower impact, we also find that market risk and interest rate risk are also common factors, as well as liquidity risk. These results indicate that diversification among sectors might collapse when credit, equity and liquidity events hit the market. The information extracted from CDS market could thus provide relevant information for sector allocation strategies.