Dynamics of intraday serial correlation in the Italian futures market

The serial correlation of high‐frequency intraday returns on the Italian stock index futures (FIB30) in the period 2000–2002 is studied. It is found that intraday autocorrelation is mostly negative for time scales lower than 20 minutes, mainly due to the bid–ask bounce effect. Although this supports the efficiency of the Italian futures market, evidence that intraday serial correlation becomes positive in high‐volatility regimes is also provided. Moreover, it is found that it is mainly unexpected volatility that makes serial correlation rise, and not its predictable part. The results are supportive of the K. Chan (1993) model. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:61–84, 2006     

Applications of parameters of shape to statistical distributions

Several new parameters characterizing the shape of statistical distributions are discussed. These parameters have earlier been considered for characterization of the shape of territories. By means of these parameters we describe general spread and spread along the axes, as well as asymmetry, of univariate theoretical and empirical distributions. General formulas for the parameters are given, and the particular formulas for the most of the common theoretical distributions are also listed. Some numerical values are tabulated, to illustrate their usefulness. Affine transformations are considered, and many applications and extensions are hinted upon.     

“Set a Sufficiently Ambitious Budget Target and Let the Automatic Stabilizers Work”. Will it Really Work in the European Monetary Union?

We examine the popular recipe in the title by means of an AD-LM-AS two-country model of the EMU, controlling for asymmetry in demand and supply shocks and in the monetary-policy transmission mechanism. Unless structural symmetry holds and symmetric shock occurs, national automatic stabilizers, even though supplemented with the common monetary policy, cannot deliver optimal stabilization in each economy. Inflation and output gaps are not closed and may be divergent in sign. Considering that a federal system of inter-regional insurance is lacking, the recipe under examination is too optimistic, while serious threat to EMU cohesion may arise. The econometric estimates we present show that existing national fiscal systems work very poorly as for the minimization, after shocks, of the dispersion of national incomes around the EMU average.     

On the performance of the Chow-Lin procedure for quarterly interpolation of annual data: Some Monte-Carlo analysis

Most of the countries of the OECD offer quarterly estimates of their national growth or of their Gross National Product. Official Statistical Agencies in western countries have to deal with the problem of estimating Quarterly National Accounts series congruently with Annual National Accounts. In Spain, the Instituto Nacional de Estadística uses the Chow-Lin disaggregation method, which is based on information provided by a group of high-frequency related variables, to estimate the quarterly components of National Accounts from annual components. In this paper, we analyse the relative quality of the estimates obtained through the Chow-Lin procedure, under different sets of hypotheses.JEL Classification: C15, C43, M40We are grateful to Maria Amparo Ripoll for her assistance. The authors also wish to thank three anonymous referees and an editor for their constructive suggestions and comments. This research was partially made during the stay of the first author at the Universidad Carlos III de Madrid. It has been partially supported by the research project DGCYT PB98-1460.     

The Italian hedge funds industry: An empirical analysis of performance and persistence

This study analyses Italian hedge funds performance and persistence. The peculiarity of the Italian hedge fund industry is that 95% of the hedge funds are funds of hedge funds (FoHF), whereas only 5% of them employ other investment styles. Using monthly data on FoHF provided by MondoHedge, we examine the impact of both market variables and funds’ own characteristics on funds performance using panel data. We find that the European, the Japanese and the emerging markets equity markets, and the commodity market have a positive impact on Italian FoHF performances, while the US Bond Market negatively affects them. Moreover, we find performance fees and notice days to have a negative impact on funds performances. Finally, we test the presence of performance persistence. Employing two different nonparametric methods, we find that funds performances are persistent on a monthly and quarterly basis, while the regression-based parametric method provides evidence of persistence only on a monthly basis.     

Evaluating Small Businesses' Performance in Public e‐Procurement: Evidence from the Italian Government's e‐Marketplace

e‐Procurement is widely advocated as an effective tool to promote the participation of small and medium enterprises (SMEs) as well as micro enterprises in the public procurement market. However, little evidence exists as to what factors may influence the allocation of contracts to differently sized suppliers. We address this issue by analyzing a rather rich and unique data set, namely the “direct award” (low‐value) transactions that took place on the Italian e‐marketplace during the period 2005–2010. In this paper, we exploit data from low‐value transactions to test the impact of different structural dimensions of the national public e‐marketplace on the probability that firms of different size are awarded public contracts, particularly focusing on micro and small firms. We find that both the nature of the public buyer and the characteristics of the traded goods/services do have an impact on different firms' ability to be awarded public contracts. We also test to what extent the geographical distance between public buyers and private suppliers explains the propensity of different size class of firms to be awarded public contracts, proving, at least to some extent, that some features of “physical” procurement markets are mirrored in the “virtual” market.     

Expectations,network effects and timing of technology adoption: some empirical evidence from a sample of SMEs in Italy

We provide evidence on the influence of expectations and network effects on the timing of technological adoption. By considering a sample of SMEs operating in Italy, we focus on the determinants of their decision to adopt Fast Ethernet, a communication standard for Local Area Networks (LANs). We find that both expectations and network effects significantly affect the timing of adoption. In particular, price expectations generally tend to delay adoption and (indirect) network effects in the form of backward compatibility as well as informational spillovers tend to foster adoption. Firm size also matters.

Incremental costs associated with myocardial infarction and stroke in patients with type 2 diabetes mellitus: an overview for economic modeling

Objective:

To identify cost estimates related to myocardial infarction (MI) or stroke in patients with type 2 diabetes mellitus (T2DM) for use in economic models.

Methods:

A systematic literature review was conducted. Electronic databases and conference abstracts were screened against inclusion criteria, which included studies performed in patients who had T2DM before experiencing an MI or stroke. Primary cost studies and economic models were included. Costs were converted to 2012 pounds sterling.

Results:

Fifty-four studies were identified: 13 primary cost studies and 41 economic evaluations using secondary sources for complication costs. Primary studies provided costs from 10 countries. Estimates for a fatal event ranged from £2482–£5222 for MI and from £4900–£6694 for stroke. Costs for the year a non-fatal event occurred ranged from £5071–£29,249 for MI and from £5171–£38,732 for stroke. Annual follow-up costs ranged from £945–£1616 for an MI and from £4704–£12,926 for a stroke. Economic evaluations from 12 countries were identified, and costs of complications showed similar variability to the primary studies.

Discussion:

The costs identified within primary studies varied between and within countries. Many studies used costs estimated in studies not specific to patients with T2DM. Data gaps included a detailed breakdown of resource use, which affected the ability to compare data across countries.

Conclusions:

In the development of economic models for patients with T2DM, the use of accurate estimates of costs associated with MI and stroke is important. When country-specific costs are not available, clear justification for the choice of estimates should be provided.