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Article
Publication date: 18 July 2023

Fabio Gobbi and Sabrina Mulinacci

The purpose of this paper is to introduce a generalization of the time-varying correlation elliptical copula models and to analyse its impact on the tail risk of a portfolio of…

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Abstract

Purpose

The purpose of this paper is to introduce a generalization of the time-varying correlation elliptical copula models and to analyse its impact on the tail risk of a portfolio of foreign currencies during the Covid-19 pandemic.

Design/methodology/approach

The authors consider a multivariate time series model where marginal dynamics are driven by an autoregressive moving average (ARMA)–Glosten-Jagannathan-Runkle–generalized autoregressive conditional heteroscedastic (GARCH) model, and the dependence structure among the residuals is given by an elliptical copula function. The correlation coefficient follows an autoregressive equation where the autoregressive coefficient is a function of the past values of the correlation. The model is applied to a portfolio of a couple of exchange rates, specifically US dollar–Japanese Yen and US dollar–Euro and compared with two alternative specifications of the correlation coefficient: constant and with autoregressive dynamics.

Findings

The use of the new model results in a more conservative evaluation of the tail risk of the portfolio measured by the value-at-risk and the expected shortfall suggesting a more prudential capital allocation policy.

Originality/value

The main contribution of the paper consists in the introduction of a time-varying correlation model where the past values of the correlation coefficient impact on the autoregressive structure.

Details

Studies in Economics and Finance, vol. 40 no. 5
Type: Research Article
ISSN: 1086-7376

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Article
Publication date: 1 February 2004

Giuseppe Galassi and Richard Mattessich

The paper offers a survey of major Italian accounting scholars and their work for the period from 1900 to 1950. Apart from the late works of Rossi and Besta, the main focus is on…

202

Abstract

The paper offers a survey of major Italian accounting scholars and their work for the period from 1900 to 1950. Apart from the late works of Rossi and Besta, the main focus is on the contributions by Zappa, who undoubtedly dominated the scene. In this period, as well as later, most Italian accountants and “aziendalisti” adopted the so‐called “income system”. Although its premises originated with Fabio Besta, master of the so‐called “patrimonial or proprietorship system”, the Italian School under Zappa gave this system a new theoretical basis that differed fundamentally from that of Besta. Zappa also developed the dynamic aspect of accounting and business economics that still prevails in Italy. The paper also devotes attention to other Italian scholars, less well‐known abroad. In the area of cost accounting it concentrates on the views of De Minico and his disciple Amodeo, but also mentions other contributors. The final Section deals with Italian contributions to accounting history during this period

Details

Review of Accounting and Finance, vol. 3 no. 2
Type: Research Article
ISSN: 1475-7702

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Article
Publication date: 15 February 2013

Anna Azzi, Alessandro Persona, Fabio Sgarbossa and Mauro Bonin

The purpose of the present research is to explore the current situation and future expectations on whether to self‐manage or outsource logistics operations in centralized…

3309

Abstract

Purpose

The purpose of the present research is to explore the current situation and future expectations on whether to self‐manage or outsource logistics operations in centralized healthcare networks, and to analyse and quantify the relationships between logistics outsourcing, costs and performance.

Design/methodology/approach

The paper is based on a thorough study of a local Italian healthcare network, which evaluated the economic sustainability of logistics outsourcing. The data were collected using interviews, documentation and observations in hospital pharmacies and wards, and by referring to public information available on the internet. A system dynamic simulation followed by a sensitivity analysis was used to investigate the impact of changing key variables as well as the advice of logistics providers.

Findings

The sensitivity analysis demonstrates that logistics outsourcing is often the most economical choice.

Social implications

Performance‐oriented concepts applied to healthcare have many pros in terms of sustainable delivery of quality healthcare at affordable costs.

Originality/value

While there are numerous studies on logistics outsourcing in many industries, when it comes to the healthcare sector literature is scarce, probably due to the great changes this sector has faced in recent times: thus, the paper's quantitative findings should be seen as a first attempt to assist the “make‐or‐buy” decision process toward sustainable development of the healthcare sector.

Details

Strategic Outsourcing: An International Journal, vol. 6 no. 1
Type: Research Article
ISSN: 1753-8297

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