Long memory and nonlinearities in realized volatility: a Markov switching approach.

Goal of this paper is to analyze and forecast realized volatility through nonlinear and highly persistent dynamics. In particular, we propose a model that simultaneously captures long memory and nonlinearities in which level and persistence shift through a Markov switching dynamics. We consider an efficient Markov chain Monte Carlo (MCMC) algorithm to estimate parameters, latent process and predictive densities. The insample results show that both long memory and nonlinearities are significant and improve the description of the data. The out-sample results at several forecast horizons, show that introducing these nonlinearities produces superior forecasts over those obtained from nested models.

Policy Rules, Regime Switches, and Trend Inflation: An Empirical Investigation for the U.S.

This paper estimates Taylor rules featuring instabilities in policy parameters, switches in policy shocks' volatility, and time-varying trend inflation using post-WWII U.S. data. The model embedding the stochastic target performs better in terms of data-fit and identification of the changes in the FOMC's chairmanships. Policy breaks are found not to be synchronized with variations in policy shocks' volatilities. Finally, we detect a negative correlation between systematic monetary policy aggressiveness and inflation gap persistence.

Adaptive MCMC methods for inference on affine stochastic volatility models with jumps

In this paper we propose an efficient Markov chain Monte Carlo (MCMC) algorithm to estimate stochastic volatility models with jumps and affine structure. Our idea relies on the use of adaptive methods that aim at reducing the asymptotic variance of the estimates. We focus on the Delayed Rejection algorithm in order to find accurate proposals and to efficiently simulate the volatility path. Furthermore, Bayesian model selection is addressed through the use of reduced runs of the MCMC together with an auxiliary particle filter necessary to evaluate the likelihood function. An empirical application based on the study of the Dow Jones Composite 65 and of the FTSE 100 financial indexes is presented to study some empirical properties of the algorithm implemented

Recent NA48/2 and NA62 results

The NA48/2 Collaboration at CERN has accumulated and analysed unprecedented statistics of rare kaon decays in the $K_{e4}$ modes: $K_{e4}(+-)$ ($K^\pm \to \pi^+ \pi^- e^\pm \nu$) and $K_{e4}(00)$ ($K^\pm \to \pi^0 \pi^0 e^\pm \nu$) with nearly one percent background contamination. It leads to the improved measurement of branching fractions and detailed form factor studies. New final results from the analysis of 381 $K^\pm \to \pi^\pm \gamma \gamma$ rare decay candidates collected by the NA48/2 and NA62 experiments at CERN are presented. The results include a decay rate measurement and fits to Chiral Perturbation Theory (ChPT) description.Comment: Prepared for the Proceedings of "Moriond QCD and High Energy Interactions. March 22-29 2014." conferenc

Prospects for K+→π+ννˉK^+ \to \pi^+ \nu \bar{ \nu } at CERN in NA62

The NA62 experiment will begin taking data in 2015. Its primary purpose is a 10% measurement of the branching ratio of the ultrarare kaon decay $K^+ \to \pi^+ \nu \bar{ \nu }$, using the decay in flight of kaons in an unseparated beam with momentum 75 GeV/c.The detector and analysis technique are described here.Comment: 8 pages for proceedings of 50 Years of CP

Policy rules, regime switches, and trend inflation: an empirical investigation for the United States

This paper estimates Taylor rules featuring instabilities in policy parameters and switches in policy shocksvolatility for the post-WWII U.S. economy. We contrast a rule embedding a fixed-inflation target with another featuring trend inflation, i.e. a time-varying inflation target. The rule embedding trend inflation turns out to be a) empirically superior according to a marginal likelihood-based comparison, and b) more able to pin down some relevant episodes of the post-WWII U.S. monetary policy history. Estimates conducted with Greenbook data confirm the empirical superiority of the rule featuring a time-varying inflation target. A comparison with recently published estimates of trend inflation is also conducte

Innovation adoption and farm profitability: What role for research and information sources?

The paper analyses the determinants of farmers\u2019 adoption of innovations and studies the effect of the source of information and the connection with agricultural research on the contribution of innovation to farm performance. The paper uses primary data collected ad hoc in the Province of Bologna (Emilia-Romagna, Italy) and analyses it through an econometric analysis. The results indicate that structural factors and farm specialisation still play a relevant role in innovation adoption. Connection to scientific research triggers significant improvements in terms of value-added and qual-ity of production but does not affect other profitability-related parameters. The results confirm the need for policy to better consider the role of intermediate actors between research and the farmer as well as to better clarify the final performance strategy in order to set the policy instruments right. The paper also highlights the need for fur-ther research about farms\u2019 proactivity in searching for and selecting information dur-ing the process of innovation adoption and competitive advantages in terms of profitability components

Determination of Pericardial Adipose Tissue Increases the Prognostic Accuracy of Coronary Artery Calcification for Future Cardiovascular Events

Objectives: Pericardial adipose tissue (PAT) is associated with coronary artery plaque accumulation and the incidence of coronary heart disease. We evaluated the possible incremental prognostic value of PAT for future cardiovascular events. Methods: 145 patients (94 males, age 60 10 years) with stable coronary artery disease underwent coronary artery calcification (CAC) scanning in a multislice CT scanner, and the volume of pericardial fat was measured. Mean observation time was 5.4 years. Results: 34 patients experienced a severe cardiac event. They had a significantly higher CAC score (1,708 +/- 2,269 vs. 538 +/- 1,150, p 400, 3.5 (1.9-5.4; p = 0.007) for scores > 800 and 5.9 (3.7-7.8; p = 0.005) for scores > 1,600. When additionally a PAT volume > 200 cm(3) was determined, there was a significant increase in the event rate and relative risk. We calculated a relative risk of 2.9 (1.9-4.2; p = 0.01) for scores > 400, 4.0 (2.1-5.0; p = 0.006) for scores > 800 and 7.1 (4.1-10.2; p = 0.005) for scores > 1,600. Conclusions:The additional determination of PAT increases the predictive power of CAC for future cardiovascular events. PAT might therefore be used as a further parameter for risk stratification. Copyright (C) 2012 S. Karger AG, Base

Implementation of the Water Framework Directive in Italy: state of the art and selected research issues

The Water Framework Directive (WFD) was implemented rather late in Italy. The actual implementation took place in 2006 with decree 152/2006 but the Directive was not completely effective until the beginning of 2009, when law 13/2009 provided for the implementation of river basin plans by basin authorities. The objective of this paper is to describe the implementation of the WFD in Italy and to discuss selected policy and research issues. The paper begins with an introduction highlighting the specificities of Italy in terms of water management. With regard to implementation, the general administrative setting, as well as the interpretation of WFD categories related to economic evaluations will be illustrated. Two major issues of particularly high relevance in the present debate are then discussed: a) the evaluation of environmental and resource costs; and b) water regulation in agriculture.Department of Agricultural Economics and Engineering, University of Bologna (Italy). Department of Statistics, University of Bologna (Italy)

The Restyled Federal Rules of Evidence

A lightly edited transcript of the Symposium held at the William & Mary School of Law on October 28, 2011