Università della Svizzera italiana

Essays in asset pricing

Piatti, Ilaria ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO005.

My dissertation consists of three main chapters and focuses on two recent strands of research in asset pricing, namely heterogeneous beliefs about rare event risk and present-value models for predictability of market returns and dividend growth. The first chapter studies the asset pricing implications of investor disagreement about the probability of a systemic disaster. I start from a...

Università della Svizzera italiana

The electricity price modelling and derivatives pricing in the Nord Pool market

Volpe, Valeria ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO008.

An in-depth analysis of Nord Pool electricity price has been outlined. This market is the oldest and one of the largest European electricity exchange, allowing to observe a consistently long time series. The main contributions of this work are: (a) A wavelet-based algorithm, named Rα-WTMM, to automatically detect spikes on a time series. The WTMM algorithm, used in signal processing to detect...

Università della Svizzera italiana

Robust resampling methods and stock returns predictability

Camponovo, Lorenzo ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO004.

The thesis consists of three chapters. In the first chapter we characterize the robustness of subsampling procedures by deriving a general formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even if they are applied to robust statistics. This instability...

Università della Svizzera italiana

General saddlepoint approximations of marginal densities and tail probabilities

Gatto, Riccardo ; Ronchetti, Elvezio ; della Svizzera italiana, Svizzera

In: Journal of the American statistical association, 1996, vol. 91, no. 434, p. 666-673

Saddlepoint approximations of marginal densities and tail probabilities of general nonlinear statistics are derived. They are based on the expansion of the statistic up to the second order. Their accuracy is shown in a variety of examples, including logit and probit models and rank estimators for regression.