eSSVI Surface Calibration

In this work I test two calibration algorithms for the eSSVI volatility surface. The two algorithms are (i) the robust calibration algorithm proposed in Corbetta et al. (2019) and (ii) the calibration algorithm in Mingone (2022). For the latter I considered two types of weights in the objective function. I fitted 108 end-of-month SPXW options chains from the period 2012-2022. The option data come from FactSet. In addition to this empirical part, this paper contains also a theoretical contribution which is a sharpening of the Hendriks-Martini proposition about the existence of crossing points between two eSSVI slices

Zenga’s new index of economic inequality, its estimation, and an analysis of incomes in Italy

For at least a century academics and governmental researchers have been developing measures that would aid them in understanding income distributions, their differences with respect to geographic regions, and changes over time periods. It is a challenging area due to a number of reasons, one of them being the fact that different measures, or indices, are needed to reveal different features of income distributions. Keeping also in mind that the notions of ‘poor’ and ‘rich’ are relative to each other, M. Zenga has recently proposed a new index of economic inequality. The index is remarkably insightful and useful, but deriving statistical inferential results has been a challenge. For example, unlike many other indices, Zenga’s new index does not fall into the classes of L-, U-, and V -statistics. In this paper we derive desired statistical inferential results, explore their performance in a simulation study, and then employ the results to analyze data from the Bank of Italy’s Survey on Household Income and Wealth.Zenga index, lower conditional expectation, upper conditional expectation, confidence interval, Bonferroni curve, Lorenz curve, Vervaat process.

Estimation of Zenga's new index of economic inequality in heavy tailed populations

In this work we propose a new estimator for Zenga's inequality measure in heavy tailed populations. The new estimator is based on the Weissman estimator for high quantiles. We will show that, under fairly general conditions, it has asymptotic normal distribution. Further we present the results of a simulation study where we compare confidence intervals based on the new estimator with those based on the plug-in estimator

Zenga’s new index of economic inequality, its estimation, and an analysis of incomes in Italy

For at least a century academics and governmental researchers have been developing measures that would aid them in understanding income distributions, their differences with respect to geographic regions, and changes over time periods. It is a challenging area due to a number of reasons, one of them being the fact that different measures, or indices, are needed to reveal different features of income distributions. Keeping also in mind that the notions of ‘poor’ and ‘rich’ are relative to each other, M. Zenga has recently proposed a new index of economic inequality. The index is remarkably insightful and useful, but deriving statistical inferential results has been a challenge. For example, unlike many other indices, Zenga’s new index does not fall into the classes of L-, U-, and V -statistics. In this paper we derive desired statistical inferential results, explore their performance in a simulation study, and then employ the results to analyze data from the Bank of Italy’s Survey on Household Income and Wealth

Asymptotic Confidence Intervals for a New Inequality Measure

International audienceRecently Zenga (2007) introduced a new inequality measure based on ratios between lower and upper group means. Both Zenga's new measure and Gini's traditional index may be interpreted in terms of areas beneath inequality curves. In this work we compare the performance of some types of asymptotic confidence intervals for the new measure and for Gini's index

Components of Gini, Bonferroni, and Zenga Inequality Indexes for EU Income Data

In this work we apply a new approach to assess contributions from factor components to income inequality. The new approach is based on the insight that most (synthetic) inequality indexes may be viewed as (weighted) averages of point inequality measures, which measure inequality between population subgroups identified by income. Assessing contributions of factor components to point inequality measures is usually an easy task, and based on these contributions it is straightforward to define contributions to the corresponding (synthetic) overall inequality indexes as well. As we shall show through an analysis of income data from Eurostat’s European Community Household Panel Survey (ECHP), the approach based on point inequality measures gives rise to readily interpretable results, which, we believe, is an advantage over other methods that have been proposed in literature

Components of Gini, Bonferroni, and Zenga Inequality Indexes for EU Income Data

In this work we apply a new approach to assess contributions from factor components to income inequality. The new approach is based on the insight that most (synthetic) inequality indexes may be viewed as (weighted) averages of point inequality measures, which measure inequality between population subgroups identified by income. Assessing contributions of factor components to point inequality measures is usually an easy task, and based on these contributions it is straightforward to define contributions to the corresponding (synthetic) overall inequality indexes as well. As we shall show through an analysis of income data from Eurostat’s European Community Household Panel Survey (ECHP), the approach based on point inequality measures gives rise to readily interpretable results, which, we believe, is an advantage over other methods that have been proposed in literature

Ombitasvir, paritaprevir, and ritonavir, with or without dasabuvir, plus ribavirin for patients with hepatitis C virus genotype 1 or 4 infection with cirrhosis (ABACUS): a prospective observational study

BACKGROUND: We ran a compassionate use nationwide programme (ABACUS) to provide access to ombitasvir, paritaprevir, and ritonavir, with dasabuvir, plus ribavirin for hepatitis C virus (HCV) genotype 1 infection and ombitasvir, paritaprevir, and ritonavir, plus ribavirin for HCV genotype 4 infection in patients with cirrhosis at high risk of decompensation while approval of these regimens was pending in Italy. METHODS: In this prospective observational study, we collected data from a compassionate use nationwide programme from March 17, 2014, to May 28, 2015. Patients with HCV genotype 1 infection and cirrhosis at high risk of decompensation were given coformulated ombitasvir (25 mg), paritaprevir (150 mg), and ritonavir (100 mg) once daily and dasabuvir (250 mg) twice daily for 12 weeks (patients with HCV genotype 1b infection) or 24 weeks (patients with HCV genotype 1a infection). Patients with HCV genotype 4 infection were given coformulated ombitasvir (25 mg), paritaprevir (150 mg), and ritonavir (100 mg) once per day for 24 weeks. All patients were given weight-based ribavirin. The primary efficacy endpoint was sustained virological response at week 12 after the end of treatment (SVR12), analysed by intention-to-treat. Univariate and multivariate logistic regression analyses were used to identify baseline characteristics associated with SVR12. Adverse events were recorded throughout the study. FINDINGS: 728 (96%) of 762 patients with cirrhosis who were given ombitasvir, paritaprevir, and ritonavir, with or without dasabuvir, plus ribavirin therapy for 12 or 24 weeks achieved SVR12. Logistic regression analyses identified that bilirubin concentrations of less than 2 mg/dL were associated with SVR12 (odds ratio [OR] 4·76 [95% CI 1·83-12·3]; p=0·001). 166 (23%) of 734 patients included in safety analyses had an adverse event. 25 (3%) patients discontinued treatment because of adverse events. Asthenia was the most commonly reported adverse event, occurring in 36 (5%) patients. INTERPRETATION: Our findings suggest that the safety and effectiveness of ombitasvir, paritaprevir, and ritonavir, with or without dasabuvir, plus ribavirin in patients with HCV genotype 1 or 4 infection and cirrhosis at high risk of decompensation in a real-life setting are similar to those reported in clinical trials. The concordance with clinical trials provides reassurance that the reported efficacy of this treatment in clinical trials will translate to its use in routine clinical practic