Domenico Mignacca

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1 Abstract In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts that have been observed for asset distributions:(More)
The aim of this paper is to verify the hypothesis of money neutrality in the Italian experience. After a critical overview of the traditional techniques employed to verify this hypothesis, cointegration technique is used to verify: long-run neutrality, weak evidence of long-run superneutrality but absence of hyperneutrality. The absence of hyperneutrality(More)
In this paper we use the BDS test developed by Brock-Dechert-Scheinkman(1987) to investigate whether ARIMA models for the US real GNP generate i.i.d. residuals. The second step, after reviewing some results from Brock-Sayers(1988) and Scheinkman-LeBaron(1989), SL, we will use a different kind of specifications for the US real GNP such as a model with(More)
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