363 research outputs found

    Diffusion covariation and co-jumps in bidimensional asset price processes with stochastic volatility and infinite activity Levy jumps

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    In this paper we consider two processes driven by diffusions and jumps. The jump components are Levy processes and they can both have finite activity and infinite activity. Given discrete observations we estimate the covariation between the two diffusion parts and the co-jumps. The detection of the co-jumps allows to gain insight in the dependence structure of the jump components and has important applications in finance. Our estimators are based on a threshold principle allowing to isolate the jumps. This work follows Gobbi and Mancini (2006) where the asymptotic normality for the estimator of the covariation, with convergence speed given by the squared root of h, was obtained when the jump components have finite activity. Here we show that the speed is the squared root of h only when the activity of the jump components is moderate

    Nonparametric estimation in models with Lévy type jumps and stochastic volatility

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    We introduce a nonparametric estimator of the volatility function in univariate processes with Lévy type jumps and stochastic volatility when we observe the state variable at discrete times. Our results rely on the fact that it is possible to recognize the discontinuous part of the state variable from those squared increments between observations exceeding a suitable threshold. We discuss the implementation of the estimator with high-frequency data

    Drift burst test statistic in the presence of infinite variation jumps

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    We consider the test statistic devised by Christensen, Oomen and Ren\`o in 2020 to obtain insight into the causes of {\em flash crashes} occurring at particular moments in time in the price of a financial asset. Under an Ito semimartingale model containing a drift component, a Brownian component and finite variation jumps, it is possible to identify when the cause is a drift burst (the statistic explodes) or otherwise (the statistic is asymptotically Gaussian). We complete the investigation showing how infinite variation jumps contribute asymptotically. The result is that the jumps never cause the explosion of the statistic. Specifically, when there are no bursts, the statistic diverges only if the Brownian component is absent, the jumps have finite variation and the drift is non-zero. In this case the triggering is precisely the drift. We also find that the statistic could be adopted for a variety of tests useful for investigating the nature of the data generating process, given discrete observations

    Risk that an observed cluster of price jumps has not yet exhausted: performance of an estimate on simulated data

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    This software is designed to support the research reported in Warnings about future jumps: properties of the Exponential Hawkes model, by Rachele Foschi, Francesca Lilla, and Cecilia Mancini, where it is assumed that the log-prices of a financial asset evolve following a jump diffusion semimartingale, as in (21) within the paper, and the process N counting the jumps is an Exponential Hawkes model. Formula (7) quantifies the probability that an observed cluster of price jumps is not yet finished, while feasible approximations are given by formulas (5) and (6). The software allows to verify, on simulated discrete time data, the reliability of the results obtained with the practical implementation of (5) and (6). The analysis is mentioned in Appendix B.3.4 and produces the results shown in Table 8

    Animal Welfare in the CAP and Large-Scale Distribution. Public Social Policy and Consumer Trust

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    This paper studies the role of animal welfare (AW) institutionally and for large scale retail and its value in consolidating trust between institutions-taxpayers and large scale retail-consumers. The first section analyses AW in the new CAP and current strategies of retail with regard to expectations of taxpayers and consumers respectively. The second section analyses interviews on AW carried out in large scale and traditional retailing on the Italian market, and puts forward short and medium term forecasts of the importance that AW could have in distribution strategies in trust building with consumers and in relationships with institutional and other interlocutors of the retail trade.CAP, animal welfare, modern retail, free-riders, pro-active and reactive strategies, Agricultural and Food Policy, Livestock Production/Industries,

    Quality Markers and Consumer Communication Strategies: Empirical Evidence in the 'Very Fresh' Sector in Italy

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    Quality is a key factor when consumers choose agri-food products, but at the same time is difficult for them to assess. On the demand side, consumers require protection measures, and on the supply side, efficient communications need to be available to all operators, including those who cannot afford to supply their own. In this context, quality markers such as logos, brands and indications or denominations that distinguish a product from its competitors can be a strategic way of transmitting information, especially for firms which cannot afford resources for communications or their own brand name. This research analyses and assesses the role of brands and territorial markers (PDO, PGI) in enhancing and promoting “very fresh” food products, in particular fruit and vegetables. The first part of the work identifies the most widely used quality markers, and the legal and organisational aspects for some of them. The second part is empirical and includes case studies on PDO and PGI, two company brands (Melinda and Marlene) in the fruit and vegetable sector and, finally, one collective brand, “QC – Qualità Controllata” set up by a regional authority, Emilia Romagna Region. Our case studies lead to the conclusion that collective brands and indications or denominations alone are not a sufficient condition for commercial success. What is essential, on top of basic product requisites, is the organisation of supply and brand strategy.Agribusiness, Agricultural and Food Policy, Food Consumption/Nutrition/Food Safety,

    Regulatory Framework and Private Innovation: The Case of Animal Welfare Friendly Beef Supply Chain in Italy

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    The paper examines innovation in the agrifood sector through an analysis of relationships between public institutions and the private sector. The first part is theoretical and analyses the roles played by public and private actors in innovation. The second part is a case study of the beef supply chain of COOP, the biggest retailer on the Italian market. It exemplifies product innovation driven by a regulatory framework and shows how organisation and structural renewal required by animal welfare legislation can lead to voluntary initiatives and additional innovation along the supply chain. The case study also features the role of institutions in communications and shows how market awareness drives improvement in organisation of production chains