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2015-2018
2015-2018
Funded by FONDAZIONE CRMO and University of Modena and Reggio Emilia
Principal Investigator
Principal Investigator
Silvia Muzzioli Institutional web page
Participants
Participants
Bernard De Baets institutional web page
Andrea Cipollini institutional web page
Elyas Elyasiani institutional web page
Luca Gambarelli institutional web page
Alberto Zaffaroni institutional web page
Research Questions:
1. How to obtain the risk measures (volatility, skewness, and other indices) and how to assess their usefulness:
Research Questions:
1. How to obtain the risk measures (volatility, skewness, and other indices) and how to assess their usefulness:
Traditional methods
Elyasiani, E., Gambarelli, L., Muzzioli, S. (2017). "The information Content of Corridor Volatiity Measures During Calm and Turmoil Periods". Quantitative Finance and Economics, 2017, 1(4): 454-473. doi: 10.3934/QFE.2017.4.454.
Elyasiani, E., Gambarelli, L., Muzzioli, S. (2016). "The Risk-Asymmetry index". CEFIN Working Paper n. 61. http://www.cefin.unimore.it/new/wp-content/uploads/2016/12/Cefin_WP_61.pdf
Elyasiani, E., Gambarelli, L., Muzzioli, S. (2016). "Fear or greed? What does a skewness index measure?". DEMB Working Paper n. 102. http://merlino.unimo.it/campusone/web_dep/wpdemb/0102.pdf.
Fuzzy regression methods
Muzzioli S., Gambarelli L. De Baets B. (2017). “Towards a Fuzzy Volatility Index for the Italian Market”. Proceedings of the IEEE INTERNATIONAL CONFERENCE ON FUZZY SYSTEMS (FUZZ-IEEE 2017) DOI: 10.1109/FUZZ-IEEE.2017.8015446.
Muzzioli S., De Baets B. (2017). “Fuzzy Approaches to option price modelling”. IEEE Transactions on Fuzzy Systems, 25 (2), 2017, 392-401.
2. Assessing the existence and sign of risk premia: investigation of CAPM and Fama-Macbeth regressions:
2. Assessing the existence and sign of risk premia: investigation of CAPM and Fama-Macbeth regressions:
Elyasiani, E., Gambarelli, L., Muzzioli, S. (2016). “Moment Risk Premia and the Cross-Section of Stock Returns”. DEMB Working Paper n. 103. http://merlino.unimo.it/campusone/web_dep/wpdemb/0103.pdf
3. Financial connectedness:
3. Financial connectedness:
Diebold-Yilmaz framework
Cipollini, A., Lo Cascio, I., Muzzioli, S. “Volatility co-movements: a time-scale decomposition analysis”, Journal of Empirical Finance, 34, 2015, 34-44.
Cipollini, A., Lo Cascio, I., Muzzioli, S. “Financial connectedness among volatility risk premia”, CEFIN Working paper n. 58. http://www.cefin.unimore.it/new/wp-content/uploads/2015/12/Cefin_WP_58.pdf
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