10 papers
Ownership Networks and Economic Power in the Italian Energy Sector
Andrea Pannone, Francesco Giancaterini, Tiziano Bacaloni +2
The energy sector is a cornerstone of national strategic autonomy, yet its increasing financialization has transformed ownership structures into complex networked configurations. T…
Financial Intermediaries and Capital Centralization in Global FDI: A Network Approach to Tracing Transnational Corporate Control
Alessio Abeltino, Tiziano Bacaloni, Andrea Bernardini +2
Understanding how corporate control concentrates in modern ownership systems is crucial in an economy increasingly shaped by cross-border mergers and acquisitions. Rather than expa…
Shrinkage Regularization for (Non)Linear Serial Dependence Test
Francesco Giancaterini, Alain Hecq, Joann Jasiak +1
This paper introduces a regularized test of the null hypothesis of the absence of linear and nonlinear serial dependence for high-dimensional non-Gaussian time series. Our approach…
Power and Control in Complex Networks: A Taxonomy and Critical Review
Alessio Abeltino, Tiziano Bacaloni, Andrea Bernardini +2
This paper reviews the main network analysis methods used to measure structural power, which refers to the ability to shape outcomes through network position and influence, and the…
Bubble Detection with Application to Green Bubbles: A Noncausal Approach
Francesco Giancaterini, Alain Hecq, Joann Jasiak +1
This paper introduces a new approach for bubble detection based on mixed causal and noncausal autoregressive processes and their tail process representation during an explosive epi…
Regularized Generalized Covariance (RGCov) Estimator
Francesco Giancaterini, Alain Hecq, Joann Jasiak +1
We introduce a regularized Generalized Covariance (RGCov) estimator as an extension of the GCov estimator to high dimensional setting that results either from high-dimensional data…
Sequential Monte Carlo for Noncausal Processes
Gianluca Cubadda, Francesco Giancaterini, Stefano Grassi
This paper proposes a Sequential Monte Carlo approach for the Bayesian estimation of mixed causal and noncausal models. Unlike previous Bayesian estimation methods developed for th…
Optimization of the Generalized Covariance Estimator in Noncausal Processes
Gianluca Cubadda, Francesco Giancaterini, Alain Hecq +1
This paper investigates the performance of the Generalized Covariance estimator (GCov) in estimating and identifying mixed causal and noncausal models. The GCov estimator is a semi…
Is climate change time reversible?
Francesco Giancaterini, Alain Hecq, Claudio Morana
This paper proposes strategies to detect time reversibility in stationary stochastic processes by using the properties of mixed causal and noncausal models. It shows that they can…
Inference in mixed causal and noncausal models with generalized Student's t-distributions
Francesco Giancaterini, Alain Hecq
The properties of Maximum Likelihood estimator in mixed causal and noncausal models with a generalized Student's t error process are reviewed. Several known existing methods are ty…