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Featured researches published by Attilio Gardini.


Oxford Bulletin of Economics and Statistics | 1997

A Reduced Rank Regression Approach to Tests of Asset Pricing

Michele Costa; Attilio Gardini; Paolo Paruolo

Both the Arbitrage Pricing Theory (APT) and the Capital Asset Pricing Model (CAPM) place restrictions of the cross sectional variation of conditional expectations of asset returns and of macro-indicators. The authors show that these restrictions imposed on the reference statistical models lead to special cases of the reduced rank regression model. The maximum likelihood problem is solved by canonical correlation analysis. Likelihood ratio tests about the number of factors underlying stock returns are straightforward to calculate, thus allowing to discriminate between competing financial theories. Moreover LR tests on the relevance of each macroeconomic indicator within a chosen model can be implemented. Some of the tests are illustrated by an application to Italian stock market data. Copyright 1997 by Blackwell Publishing Ltd


Journal of Quality Assurance in Hospitality & Tourism | 2002

Benchmark in the conference hospitality industry.

Attilio Gardini; Cristina Bernini

Abstract Congress hospitality industry is one of the most dynamic segments in hospitality sector. This leads an increasing competition among conference centres. This paper presents a benchmarking analysis of international conference industry with the aim to analyse organisational and productive practices allowing to obtain the best performance. Benchmarking contributes to selecting the best practices characterising the best international conference centre. We analyse a sample of conference centres operating in international market. Information on productive capacity, services supplied and economic performance are used to define relevant benchmarking indicators and the Global Performance Index (GPI), obtained as statistical synthesis of the previous indicators. The results of benchmarking analysis show the relevance of three main factors for the best performance of conference companies: (1) flexibility of the building structure; (2) vertical integration of production and completeness of conference service supply; and (3) commercial organisation and market positioning of the conference centre.


Statistical Methods and Applications | 1999

A new approach to stock price modelling and the efficiency of the Italian stock exchange

Attilio Gardini; Giuseppe Cavaliere; Michele Costa

In this paper, we propose a new model of asset prices which takes account of the investment strategies of three different kinds of agents: the market-makers, who operate rationally on the basis of the asset fundamentals, the smart buy-and-sell agents, who intervene when the prices reach particular levels and the non-smart buy-and-sell agents, who trade infrequently, mainly following psychological motivations. The different behavior of these groups of agents can determine temporary inefficiences on financial markets and we show that, by considering these inefficiences, it is possible to improve forecasting of asset prices.


Journal of Applied Economics | 2015

Disequilibria and contagion in financial markets: Evidence from a new test

Luca De Angelis; Attilio Gardini

This paper provides an analysis of contagion by measuring disequilibria in risk premium dynamics. We propose to test financial contagion using an econometric procedure where we first estimate the preference parameters of the consumption-based asset pricing model (C-CAPM) to measure the equilibrium risk premia in different countries and then we consider the difference between empirical and equilibrium risk premia to test cross-country disequilibrium episodes due to contagion. Disequilibrium in financial markets is modeled by the multivariate DCC-GARCH model including a deterministic crisis variable. Our approach allows to identify the disequilibria generated by increases in volatility that is not explained by fundamentals but is endogenous to financial markets and to evaluate the existence of contagion effects defined by exogenous shifts in cross-country return correlations during crisis periods. Our results show evidence of contagion from the U.S. to U.K., Japan, France, and Italy during the crisis started in 2007–08.


46TH SCIENTIFIC MEETING OF THE ITALIAN STATISTICAL SOCIETY | 2014

Timely Indices for Residential Construction Sector

Attilio Gardini; Enrico Foscolo

We propose search engine query data-based indices for the Italian residential construction production. On-line data management tools and filters are described and a cointegrated vector autoregressive model is estimated in order to establish statistical significant relationships between Internet indicators and target series by official agencies. The proposed methodology can therefore fill the temporal gap in released publications and provides timelier indices for current unobserved trend-cycle dynamics.


Empirical Economics | 2004

Quantile estimation of frontier production function

Cristina Bernini; Marzia Freo; Attilio Gardini


International Review of Economics & Finance | 2006

Regional consumption dynamics and risk sharing in Italy

Giuseppe Cavaliere; Luca Fanelli; Attilio Gardini


Giornale degli Economisti | 2007

STOCK MARKET PARTICIPATION: NEW EMPIRICAL EVIDENCE FROM ITALIAN HOUSEHOLDS' BEHAVIOR

Attilio Gardini; Alessandro Magi


Journal of Applied Econometrics | 2008

International dynamic risk sharing

Giuseppe Cavaliere; Luca Fanelli; Attilio Gardini


Rivista di Politica Economica | 2005

Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia.

Attilio Gardini; Giuseppe Cavaliere; Luca Fanelli

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