if this message does not display correctly, click here | Table of Contents Alessandro De Chiara, Central European University (CEU) - Department of Economics
Elisabetta Iossa, University of Rome Tor Vergata, IEFE Bocconi University Graziella Bertocchi, Università di Modena; Centre for Economic Policy Research (CEPR), Centre for Economic Policy Research (CEPR), IZA Institute of Labor Economics
Marianna Brunetti, Dept. Economics and Finance, University of Rome Tor Vergata, CEFIN
Anzelika Zaiceva, University of Modena and Reggio Emilia, IZA Institute of Labor Economics Leopoldo Catania, Aarhus University - School of Business and Social Sciences, Aarhus University - CREATES
Tommaso Proietti, University of Rome II - Department of Economics and Finance | |
CEIS: CENTRE FOR ECONOMIC & INTERNATIONAL STUDIES
Vincenzo Atella - Director "How to Set Budget Caps for Competitive Grants" 
CEIS Working Paper No. 448 ALESSANDRO DE CHIARA, Central European University (CEU) - Department of Economics
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ELISABETTA IOSSA, University of Rome Tor Vergata, IEFE Bocconi University
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We study how funding agencies should set budget caps for competitive grants. We show that budget caps influence the researchers' submission strategy and, in particular, whether they steer their project choice towards the agencies' favorite projects, and the level of funds they request. The welfare impact of alternative approaches depends on the level of competition, the cost of public funds and the social value of project implementation. "The Financial Decisions of Immigrant and Native Households: Evidence from Italy"
CEIS Working Paper No. 449 GRAZIELLA BERTOCCHI, Università di Modena; Centre for Economic Policy Research (CEPR), Centre for Economic Policy Research (CEPR), IZA Institute of Labor Economics
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MARIANNA BRUNETTI, Dept. Economics and Finance, University of Rome Tor Vergata, CEFIN
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ANZELIKA ZAICEVA, University of Modena and Reggio Emilia, IZA Institute of Labor Economics
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Using rich Italian data for the period 2006-2014, we document sizeable gaps between native and immigrant households with respect to wealth holdings and financial decisions. Immigrant household heads hold less net wealth than native, but only above the median of the wealth distribution, with housing as the main driver. Immigrant status reduces the likelihood of holding risky assets, housing, mortgages, businesses, and valuables, while it increases the likelihood of financial fragility. Years since migration, countries of origin, and the pattern of intermarriage also matter. The Great Recession has worsened the condition of immigrants in terms of wealth holdings, home ownership, and financial fragility. "Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects"
CEIS Working Paper No. 450 LEOPOLDO CATANIA, Aarhus University - School of Business and Social Sciences, Aarhus University - CREATES
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TOMMASO PROIETTI, University of Rome II - Department of Economics and Finance
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The prediction of volatility is of primary importance for business applications in risk management, asset allocation and pricing of derivative instruments. This paper proposes a novel measurement model which takes into consideration the possibly time-varying interaction of realized volatility and asset returns, according to a bivariate model aiming at capturing the main stylised facts: (i) the long memory of the volatility process, (ii) the heavy-tailedness of the returns distribution, and (iii) the negative dependence of volatility and daily market returns. We assess the relevance of "volatility in volatility" and time-varying "leverage" effects in the out-of-sample forecasting performance of the model, and evaluate the density forecasts of the future level of market volatility. The empirical results illustrate that our speci
fication can outperform the benchmark HAR-RV, both in terms of point and density forecasts. | | ^top
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