VIII Contents
Empirical likelihood based nonparametric testing for CAPM
Pietro Coretto and Maria Lucia Parrella............................... 103
Lee-Carter error matrix simulation: heteroschedasticity impact on
actuarial valuations
Valeria D’Amato and Maria Russolillo................................ 113
Estimating the volatility term structure
Antonio D ́ıaz, Francisco Jare ̃no, and Eliseo Navarro..................... 123
Exact and approximated option pricing in a stochastic volatility
jump-diffusion model
Fernanda D’Ippoliti, Enrico Moretto, Sara Pasquali, and Barbara Trivellato.. 133
A skewed GARCH-type model for multivariate financial time series
Cinzia Franceschini and Nicola Loperfido.............................. 143
Financial time series and neural networks in a minority game context
Luca Grilli, Massimo Alfonso Russo, and Angelo Sfrecola................. 153
Robust estimation of style analysis coefficients
Michele La Rocca and Domenico Vistocco............................. 163
Managing demographic risk in enhanced pensions
Susanna Levantesi and Massimiliano Menzietti.......................... 173
Clustering mutual funds by return and risk levels
Francesco Lisi and Edoardo Otranto.................................. 183
Multivariate Variance Gamma and Gaussian dependence:
a study with copulas
Elisa Luciano and Patrizia Semeraro.................................. 193
A simple dimension reduction procedure for corporate finance
composite indicators
Marco Marozzi and Luigi Santamaria................................. 205
The relation between implied and realised volatility in the DAX index
options market
Silvia Muzzioli................................................... 215
Binomial algorithms for the evaluation of options on stocks with fixed per
share dividends
Martina Nardon and Paolo Pianca................................... 225
Nonparametric prediction in time series analysis: some empirical results
Marcella Niglio and Cira Perna...................................... 235