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Value-at-Risk Prediction in R with the GAS Package

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Generalized Autoregressive Score (GAS) models have been recently proposed as valuable tools for signal extraction and prediction of time series processes with time–varying parameters. For financial risk managers, GAS models are useful as they take the non–normal shape of the conditional distribution into account in the specification of the volatility process. Moreover, they lead to […]

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SpillOver Effect Analysis on S&P500 and Eurostoxx50 [ITA]

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Abstract: Questo elaborato presenta un’analisi dell’effetto contagio nei mercati finanziari, noto come effetto Spillover. L’analisi è stata condotta interamente attraverso il software $R$. La definizione di contagio tra due mercati utilizzata in questa trattazione è la seguente: si definisce contagio l’aumento delle relazioni tra due o più mercati in seguito ad uno shock in uno degli stessi. L’idea è […]

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Net Interest Income Forecasting

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NET INTEREST INCOME FORECASTING PROJECT During the academic year 2015-2016 we were involved as SFSA in econometrics research project commissioned by the Head of Active Value Management of Intesa Sanpaolo, Dott. Tullio Lucca. The project was focused on the Net Interest Income (NII) analysis and was overviewed by Rita Laura D’Ecclesia, full professor of Quantitative Finance […]

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Chicago Quantitative Alliance Investment Challenge – Sapienza Team

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We are proud to announce that MSc Finance and Insurance (FINASS) students of Sapienza University are participating in the fifth annual Chicago Quantitative Alliance Investment Challenge. The Challenge, with more than 30 top universities around the world competing, gives the unique opportunity to manage a market neutral portfolio, interact with quantitative practitioners and provides access to several research tools […]