Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis

Multivariate GARCH models are in principle able to accommodate the features of the dynamic conditional correlations processes, although with the drawback, when the number of financial returns series considered increases, that the parameterizations entail too many parameters.In general, the interaction between model parametrization of the second conditional moment and the conditional density of asset returns adopted in the estimation determines the fitting of such models to the observed dynamics of the data. This paper aims to evaluate the interactions between conditional second moment specifications and probability distributions adopted in the likelihood computation, in forecasting volatilities and covolatilities. We measure the relative performances of alternative conditional second moment and probability distributions specifications by means of Monte Carlo simulations, using both statistical and financial forecasting loss functions.Multivariate GARCH models; Model uncertainty; Quasi-maximum likelihood; Monte Carlo methods

Modellizzazione dell'assorbimento minerale del pomodoro coltivato fuori suolo a ciclo chiuso con acque saline

La tesi ha come oggetto la modellizzazione dell’assorbimento minerale e della produzione di una coltura di pomodoro coltivato fuori suolo a ciclo chiuso con acque saline. Nella prima parte vengono brevemente descritte le principali caratteristiche e i diversi sistemi di coltivazione fuori suolo. Vengono inoltre citati i principali modelli, riportati in bibliografia, relativi alla stima dell’evapotraspirazione e dell’assorbimento minerale in piante ortive. In questo settore infatti lo sviluppo di modelli e la loro integrazione in sistemi di supporto decisionale (DSS), rappresenta un importante strumento per facilitare la gestione delle colture in quanto capaci di simulare la crescita delle piante e quindi prevedere le conseguenze di determinate scelte operative. Nella parte successiva viene descritta una prova sperimentale su pomodoro (Lycopersicon esculentum Mill., cv Jama), coltivato con la tecnica fuori suolo a ciclo chiuso utilizzando come substrato di crescita lastre di lana di roccia. La prova prevedeva il confronto tra 4 diverse tesi che si differenziavano per la concentrazione di NaCl dell’acqua irrigua in modo tale da evidenziare l’influenza di tale elemento sulla crescita, sulla produzione e sull’assorbimento minerale della coltura. L’utilizzo di acque saline ha ridotto significativamente l’area fogliare, la produzione commerciale incrementando la qualità di questa. Dall’analisi dei dati è emersa una correlazione lineare fra la concentrazione di assorbimento del sodio e la concentrazione di questo nella soluzione nutritiva ricircolante

When Private Vice Meets Public Virtue: The End of Count Giuseppe Brebbia’s Career as a Public Official

Milano, 1827. Il processo penale per abuso d’ufficio contro il conte Giuseppe Brebbia, alto funzionario del Lombardo-Veneto, offre l’occasione per tracciare un resoconto sul rapporto fra classi sociali e amministrazione della cosa pubblica negli anni ’20 del XIX secolo. In questi anni, in Lombardia, si assiste infatti alle avvisaglie della crisi del governo locale da parte dell’Adelstand. Per comprendere le ragioni che condussero all’affermazione di un modello di amministrazione a-cetuale, è necessario spingersi nei meandri di una vicenda attorno alla quale ruotano interessi politici e sociali.Milano, 1827. The criminal proceeding against Count Giuseppe Brebbia, a Lombardo-Venetian’ senior official accused of misfeasance, is of considerable significance to investigate the interlinkage between social classes and administration assessment in the first years of Austrian restoration in Italy. At that time, undeniable signs of Adelstand’s difficulties in handling public affair occurred, mainly at local level. The questions of how and why an impersonal administration rose can be answered only taking a closer look at this trial, around which many social and political interests clustered around

Mathematical models for selling process optimization

The work of the Thesis has been pursued in collaboration with an important company operating in the tourist sector. The followed projects in the work can be seen as belonging to the Destination Management branch, that is the study and the implementation of actions aimed at better managing the company offer related to touristic experiences broadly. In particular, the first project has been related to Revenue Forecasting and has dealt with the definition of a methodology, based on mathematical and statistical techniques, aimed at forecasting the revenue streams linked to specific items of a company; the second project, Destination Discovery, instead aimed at the high-level analysis of tourism opportunities in different geographical areas, researching and evaluating new possibilities for the company related to tourist interest. In the work, some preliminaries about what a forecast is will be provided and the many techniques aimed at accomplishing the task, giving a general theoretical framework for the topic will be discussed. Then some details about data and the set of more practical operations needed in order to extract information from them in a numerical manner, eventually building a forecasting model on it will be discussed. Later the application of the techniques previously introduced to the different projects will be discussed; for each one of them, the methodologies followed and the analyzes carried out will be provided, as well as the obtained results. Finally an analysis of what has globally been done in the work along with different comments, the obtained results and some possible future work and improvements will conclude the work

Bayesian multi--dipole localization and uncertainty quantification from simultaneous EEG and MEG recordings

We deal with estimation of multiple dipoles from combined MEG and EEG time--series. We use a sequential Monte Carlo algorithm to characterize the posterior distribution of the number of dipoles and their locations. By considering three test cases, we show that using the combined data the method can localize sources that are not easily (or not at all) visible with either of the two individual data alone. In addition, the posterior distribution from combined data exhibits a lower variance, i.e. lower uncertainty, than the posterior from single device.Comment: 4 pages, 3 figures -- conference paper from EMBEC 2017, Tampere, Finlan

The Nature, Timing and Impact of Broadband Policies: a Panel Analysis of 30 OECD Countries

We empirically investigate the impact of a vast array of public policies on wireline broadband penetration through a novel and unique dataset covering 30 OECD countries, over 1995-2010. We find that while both supply and demand-side policies have a positive effect on broadband penetration, their relative impact depends on the actual stage of broadband diffusion. When an advanced stage is reached, only demand-side policies appear to generate a positive and increasing effect. Moreover, both technological and market competition play a positive role, and the effect of the latter shows a non-linear path along the stage of market development. Finally, the relative weight of the service sector in the national economy reveals to be crucial for broadband penetration. Our analysis provides new insights into the policy debate and in particular on the rationale of a selective policy design for broadband penetration and, in perspective, for the rollout of next-generation networks.telecommunications policies, broadband penetration, infrastructure investments

A theory of the strain-dependent critical field in Nb3Sn, based on anharmonic phonon generation

We propose a theory to explain the strain dependence of the critical properties in A15 superconductors. Starting from the strong-coupling formula for the critical temperature, and assuming that the strain sensitivity stems mostly from the electron-phonon alpha^2F function, we link the strain dependence of the critical properties to a widening of alpha^2F. This widening is attributed to the nonlinear generation of phonons, which takes place in the anharmonic deformation potential induced by the strain. Based on the theory of sum- and difference-frequency wave generation in nonlinear media, we obtain an explicit connection between the widening of alpha^2F and the anharmonic energy. The resulting model is fit to experimental datasets for Nb3Sn, and the anharmonic energy extracted from the fits is compared with first-principles calculations.Comment: 10 pages, 3 figure

Grating-Coupled Surface Plasmon Resonance (GC-SPR) Optimization for Phase-Interrogation Biosensing in a Microfluidic Chamber.

Surface Plasmon Resonance (SPR)-based sensors have the advantage of being label-free, enzyme-free and real-time. However, their spreading in multidisciplinary research is still mostly limited to prism-coupled devices. Plasmonic gratings, combined with a simple and cost-effective instrumentation, have been poorly developed compared to prism-coupled system mainly due to their lower sensitivity. Here we describe the optimization and signal enhancement of a sensing platform based on phase-interrogation method, which entails the exploitation of a nanostructured sensor. This technique is particularly suitable for integration of the plasmonic sensor in a lab-on-a-chip platform and can be used in a microfluidic chamber to ease the sensing procedures and limit the injected volume. The careful optimization of most suitable experimental parameters by numerical simulations leads to a 30–50% enhancement of SPR response, opening new possibilities for applications in the biomedical research field while maintaining the ease and versatility of the configuration