1 citations · 3 across the 8 of their papers we have counts for
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Bootstrap Cointegration Tests in ARDL Models
Stefano Bertelli, Gianmarco Vacca, Maria Grazia Zoia
The paper proposes a new bootstrap approach to the Pesaran, Shin and Smith's bound tests in a conditional equilibrium correction model with the aim to overcome some typical drawbac…
Modeling Portfolios with Leptokurtic and Dependent Risk Factors
Piero Quatto, Gianmarco Vacca, Maria Grazia Zoia
Recently, an approach to modeling portfolio distribution with risk factors distributed as Gram-Charlier (GC) expansions of the Gaussian law, has been conceived. GC expansions prove…
Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem
Mario Faliva, Maria Grazia Zoia
This paper establishes an extended representation theorem for unit-root VARs. A specific algebraic technique is devised to recover stationarity from the solution of the model in th…
A Novel Multi-Period and Multilateral Price Index
Consuelo Rubina Nava, Maria Grazia Zoia
A novel approach to price indices, leading to an innovative solution in both a multi-period or a multilateral framework, is presented. The index turns out to be the generalized lea…
An econometric analysis of the Italian cultural supply
Consuelo Nava, Maria Grazia Zoia
Price indexes in time and space is a most relevant topic in statistical analysis from both the methodological and the application side. In this paper a price index providing a nove…