Andrea Tamoni

Learn More
We disaggregate consumption growth into components with different levels of persistence and show that a single business-cycle consumption factor can explain satisfactorily the differences in risk premia across book-to-market and size-sorted portfolios. We argue that accounting for persistence heterogeneity in consumption is important for interpreting(More)
In this paper we illustrate the implementation of an actual MANET demonstrator, based on off-the-shelf PDA devices with IEEE 802.11b wireless connectivity, tested on real-time applications. The most critical aspect affecting performances, in our opinion, is related to create a network where connectivity among nodes is as stable as possible. We implemented(More)
We study the properties of unconditional Hansen and Jagannathan (1991) bounds in the presence of conditioning information as the horizon increases. We provide evidence that long-horizon predictability translates into a tight lower bound on the variance of the stochastic discount factor (SDF). We then look at different asset pricing models and we show that(More)
Degree of risk aversion (RA) determines the impact of second moment shocks in DSGE models featuring stochastic volatility. Ceteris paribus, higher risk aversion leads to stronger responses of macroeconomic variables to volatility shocks, in contrast to the Tallarini (2000) irrelevance result, which still holds with respect to level shocks. The output,(More)
The dynamic dividend growth model (Campbell&Shiller, 1988) linking the log dividend yield to future expected dividend growth and stock market returns has been extensively used in the literature for forecasting stock returns. The empirical evidence on the performance of the model is mixed as its strength varies with the sample choice. This model is derived(More)
  • 1