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CEIS: CENTRE FOR ECONOMIC & INTERNATIONAL STUDIES
Vincenzo Atella - Director "A Vector Heterogeneous Autoregressive Index Model for Realized Volatility Measures" 
CEIS Working Paper No. 391 GIANLUCA CUBADDA, University of Rome II - Department of Economics and Finance
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BARBARA GUARDABASCIO, University of Rome, Tor Vergata
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ALAIN HECQ, Maastricht University - Department of Economics This paper introduces a new modelling for detecting the presence of commonalities in a set of realized volatility measures. In particular, we propose a multivariate generalization of the heterogeneous autoregressive model (HAR) that is endowed with a common index structure. The Vector Heterogeneous Autoregressive Index model has the property to generate a common index that preserves the same temporal cascade structure as in the HAR model, a feature that is not shared by other aggregation methods (e.g., principal components). The parameters of this model can be easily estimated by a proper switching algorithm that increases the Gaussian likelihood at each step. We illustrate our approach with an empirical analysis aiming at combining several realized volatility measures of the same equity index for three different markets. "The Effect of the Italian Uni fication on the Comparative Regional Development in Literacy, 1821-1911"
CEIS Working Paper No. 392 CARLO CICCARELLI, University of Rome, Tor Vergata - Faculty of Economics
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JACOB LOUIS WEISDORF, University of Copenhagen - Department of Economics
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This paper provides the fi rst ever diachronic homogenous estimates of literacy rates in the Italian provinces during the period 1821-1911, by gender. The estimates exploit the age structure information reported in the population censuses of 1881 and 1911 to back cast literacy rates to the early 19th century. Territorial differences were already huge in the aftermath of the Napoleonic wars, with Southern regions registering extremely low levels and essentially no change before the uni cation of 1861. Furthermore, the early rise of literacy rates for Northern women suggests a dimension of the North-South gap that signifi cantly the political uni cation of the country. "A Closer Look at EU Current Accounts"
CEIS Working Paper No. 393 MARIAROSARIA COMUNALE, Bank of Lithuania - Economics Department
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In this paper, we look at the determinants of current accounts in twenty-seven EU countries over the period 1994-2014. The twenty-seven countries of interest are divided into three sub-groups, namely: core, periphery and CEE new member states. We also assess the current accounts based on computed equilibrium values, and we provide a measure of misalignment for the medium run. As determinants we include capital flows as well as demographic, fiscal and relative development factors. The initial Net Foreign Asset position and oil balance seem to matter more in the core countries than in the periphery and CEE new member states. In contrast, the periphery and CEE new member states seem to be more strongly affected by capital flows. Fiscal balance negatively affects only the periphery, while an increase in government spending is positive for the current account for CEE new member states. In the past twenty years these misalignments have shown a cyclical behaviour in most EU countries, and the magnitude of the cycles themselves are highly heterogeneous across groups. Lastly, we compute an adjusted current account equilibrium, which tries to correct the equilibrium value by the role of expectations (proxied by IMF projections). This factor has more of an impact in the UK than in the euro-area countries. | | ^top
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Social Science Electronic Publishing (SSEP), Inc., Harvard Business School, National Bureau of Economic Research (NBER), European Corporate Governance Institute (ECGI)
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