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econ.EM2021
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…
econ.EM2021★ 1 cited
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…
econ.EM2021
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…