Florence
Italy
University of Florence - Department of Statistics, Computer Science, Applications
Public-to-Private Transactions, Private Equity, Corporate Governance
Good Volatility, Bad Volatility, GARCH, Realized Variation, Bipower Variation, Threshold Effects, Asymmetry
Multivariate GARCH, Conditional Correlations, High Dimensional GARCH Models, Sequential Estimation, Climber
Realized Covariance, Asynchronous Observations, Market Microstructure, Sub-sampling, Pseudo-Aggregation
Volatility, Leverage Effect, Outliers, Omitted Variable Bias, Realized Measures.
Portfolio Allocation, Realized Volatility, Realized Correlations, Dynamic Conditional Modeling, Portfolio Weights Modeling
Multinomial Probit, Identification, Probability simulators, Simulated Maximum Likelihood, Structural-form latent utilities
conditional variance, conditional correlations, interest rate, capital asset pricing model, sequential conditional correlations
Bootstrap, Wald Test, Lagrange Multiplier Test, Likelihood Ratio Test, Indirect Estimators, Indirect Inference, Efficient Method of Moments
Interest Rates, Bond Yields, Hyperbolic Reversion, Unit Root Test, Critical Values
