Camilla Ferretti

Titoli dell'autore

Does the Past Count? Sovereign Debt during the Classical Gold Standard through the Lenses of Mover Stayer and Markov Chain Models digital

di Daniela Bragoli, Camilla Ferretti, PIERO GANUGI, Luigi Grossi, Giancarlo Ianulardo

Anno: 2019

...We study sovereign debt markets behaviour during the Classical Gold Standard (CGS) Era (1880-1913), i.e. the first era of globalization characterized by free movement of capital and a fixed exchange rate regime. In particular we analyse both the issues of markets memory and the degree of confidence in sovereign debt markets by means of three stochastic models: Markov Chain (MC), Mover Stayer (MS) and Non Homogeneous Markov Chain (NHMC) estimated on two-state transition matrices of countries switching from sound to distressed...

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An interactive MATLAB TOOL for the estimation of the directional mobility index compared to some other mobility measures digital

di Danilo Aringhieri, Camilla Ferretti

Anno: 2018

The Directional Mobility Measurement tool (DMMtool.m) is a free interactive instrument, which computes in MATLAB the directional mobility index by automatically importing and elaborating the data from a wide-format panel, not necessarily balanced, stored in a ‘.xls’ or ‘.xlsx’ spreadsheet, for a single, quantitative, ‘size-type’ scalar variable. We will imagine a sample of firms observed over many successive years to assess their tendency to upsize or downsize...

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Mobility as prevailing direction for transition matrices

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digital

di Camilla Ferretti

Anno: 2012

SUMMARY Mobility indices are important tools for summarizing and comparing the dynamics of different samples. A mobility index is defined as a function which assigns a real value I to a given transition matrix . The function I ðPÞ, where P is the transition matrix, is chosen to describe a specific type of mobility (e.g. the tendency to leave the current state). In this paper we develop a family of mobility indices capable of embodying information on both the intensity and the prevailing direction of mobility in the sample under study. Keywords: Mobility Index, Transition Matrix, Prevailing Direction.

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