18
H index
23
i10 index
1860
Citations
Leibniz-Institut für Finanzmarktforschung SAFE (Sustainable Architecture for Finance in Europe) (90% share) | 18 H index 23 i10 index 1860 Citations RESEARCH PRODUCTION: 27 Articles 111 Papers 4 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Loriana Pelizzon. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Financial Economics | 3 |
Journal of Banking & Finance | 2 |
BANCARIA | 2 |
Year | Title of citing document | |
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2020 | Optimal control of investment, premium and deductible for a non-life insurance company. (2020). Serrano, Rafael ; Parra-Alvarez, Juan Carlos ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2020-11. Full description at Econpapers || Download paper | |
2020 | Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025. Full description at Econpapers || Download paper | |
2021 | Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk. (2021). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:079. Full description at Econpapers || Download paper | |
2022 | Investor-Driven Corporate Finance: Evidence from Insurance Markets. (2022). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:144. Full description at Econpapers || Download paper | |
2022 | Imperfect Competition in Derivatives Markets. (2022). Brinkmann, Christina. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:153. Full description at Econpapers || Download paper | |
2021 | Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. (2021). Polat, Onur. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:2:p:47-59. Full description at Econpapers || Download paper | |
2022 | Network Structure and Fragmentation of the Argentinean Interbank Markets. (2022). Montes-Rojas, Gabriel ; Forte, Federico ; Elosegui, Pedro. In: Working Papers. RePEc:aoz:wpaper:129. Full description at Econpapers || Download paper | |
2020 | A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2019). Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier ; Donnat, Philippe . In: Papers. RePEc:arx:papers:1703.00485. Full description at Econpapers || Download paper | |
2020 | Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028. Full description at Econpapers || Download paper | |
2020 | Asymmetric Connectedness of Fears in the U.S. Financial Sector. (2018). BarunÃÂk, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:1810.12022. Full description at Econpapers || Download paper | |
2020 | Systemic risk assessment through high order clustering coefficient. (2018). Cerqueti, Roy ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:1810.13250. Full description at Econpapers || Download paper | |
2020 | How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2001.11249. Full description at Econpapers || Download paper | |
2021 | Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420. Full description at Econpapers || Download paper | |
2021 | Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160. Full description at Econpapers || Download paper | |
2020 | Neural Networks and Value at Risk. (2020). Weisheit, Stefan ; Klawunn, Michael ; Hoepner, Andreas ; Borth, Damian ; Arimond, Alexander. In: Papers. RePEc:arx:papers:2005.01686. Full description at Econpapers || Download paper | |
2020 | Dynamic Network Risk. (2020). BarunÃÂk, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639. Full description at Econpapers || Download paper | |
2021 | Suffocating Fire Sales. (2020). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:2006.08110. Full description at Econpapers || Download paper | |
2020 | A Bivariate Compound Dynamic Contagion Process for Cyber Insurance. (2020). Jang, Jiwook ; Oh, Rosy. In: Papers. RePEc:arx:papers:2007.04758. Full description at Econpapers || Download paper | |
2020 | CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2009.10764. Full description at Econpapers || Download paper | |
2021 | COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2021). Billio, Monica ; Matteo, Iacopini ; Michele, Costola ; Roberto, Casarin ; Monica, Billio. In: Papers. RePEc:arx:papers:2101.00422. Full description at Econpapers || Download paper | |
2021 | Diagnosis of systemic risk and contagion across financial sectors. (2021). Zhu, Richard Licheng ; Choudhari, Sayuj. In: Papers. RePEc:arx:papers:2101.06585. Full description at Econpapers || Download paper | |
2022 | Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783. Full description at Econpapers || Download paper | |
2021 | The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623. Full description at Econpapers || Download paper | |
2021 | Modeling of crisis periods in stock markets. (2021). Emiris, Ioannis Z ; Dalamagkas, Theodore ; Christoforou, Emmanouil ; Chalkis, Apostolos. In: Papers. RePEc:arx:papers:2103.13294. Full description at Econpapers || Download paper | |
2021 | Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes. (2021). Mandjes, Michel ; Karim, Raviar. In: Papers. RePEc:arx:papers:2106.03560. Full description at Econpapers || Download paper | |
2021 | An Information Filtering approach to stress testing: an application to FTSE markets. (2021). Aste, Tomaso ; Caccioli, Fabio ; Seabrook, Isobel. In: Papers. RePEc:arx:papers:2106.08778. Full description at Econpapers || Download paper | |
2021 | ESGM: ESG scores and the Missing pillar. (2021). Czado, Claudia ; Paterlini, Sandra ; Bax, Karoline ; Sahin, Ozge. In: Papers. RePEc:arx:papers:2106.15466. Full description at Econpapers || Download paper | |
2021 | Mean-Variance Portfolio Selection in Contagious Markets. (2021). Zou, Bin ; Shen, Yang. In: Papers. RePEc:arx:papers:2110.09417. Full description at Econpapers || Download paper | |
2021 | The Evolving Causal Structure of Equity Risk Factors. (2021). BONCHI, FRANCESCO ; Bajardi, Paolo ; D'Acunto, Gabriele ; de Francisci, Gianmarco. In: Papers. RePEc:arx:papers:2111.05072. Full description at Econpapers || Download paper | |
2021 | Mesoscopic Structure of the Stock Market and Portfolio Optimization. (2021). Garlaschelli, Diego ; Squartini, Tiziano ; Fagiolo, Giorgio ; Zema, Sebastiano Michele. In: Papers. RePEc:arx:papers:2112.06544. Full description at Econpapers || Download paper | |
2021 | Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031. Full description at Econpapers || Download paper | |
2022 | Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia. (2022). Roncalli, Thierry ; Kostyuchyk, Nazar ; Bruder, Benjamin. In: Papers. RePEc:arx:papers:2202.10721. Full description at Econpapers || Download paper | |
2022 | Network structure and fragmentation of the Argentinean interbank markets. (2022). Montes-Rojas, Gabriel ; Elosegui, Pedro ; Forte, Federico. In: Papers. RePEc:arx:papers:2203.14488. Full description at Econpapers || Download paper | |
2021 | Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20154. Full description at Econpapers || Download paper | |
2021 | Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21154. Full description at Econpapers || Download paper | |
2021 | Did the COVID-19 Shock Impair the Stock Performance of Companies with Older CEOs?. (2021). Lagravinese, Raffaele ; Resce, Giuliano ; Ferri, Giovanni. In: SERIES. RePEc:bai:series:series_wp_02-2021. Full description at Econpapers || Download paper | |
2020 | On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity. (2020). Hipp, Ruben. In: Staff Working Papers. RePEc:bca:bocawp:20-42. Full description at Econpapers || Download paper | |
2021 | Systemic Risk and Portfolio Diversification: Evidence from the Futures Market. (2021). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:21-50. Full description at Econpapers || Download paper | |
2021 | Network Structure and Fragmentation of the Argentinean Interbank Markets. (2021). Forte, Federico ; Montes-Rojas, Gabriel ; Elosegui, Pedro. In: BCRA Working Paper Series. RePEc:bcr:wpaper:202196. Full description at Econpapers || Download paper | |
2022 | Flash crashes on sovereign bond markets – EU evidence. (2022). Panzarino, Onofrio ; Marseglia, Gaetano ; Haferkorn, Martin ; Bouveret, Antoine. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_020_22. Full description at Econpapers || Download paper | |
2020 | Granular Instrumental Variables. (2020). Gabaix, Xavier. In: Working Papers. RePEc:bfi:wpaper:2020-177. Full description at Econpapers || Download paper | |
2021 | Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798. Full description at Econpapers || Download paper | |
2022 | On the Choice of Central Counterparties in the EU. (2022). Piquard, Thibaut ; Demange, Gabrielle. In: Working papers. RePEc:bfr:banfra:868. Full description at Econpapers || Download paper | |
2022 | Deconstructing ESG scores: how to invest with your own criteria. (2022). Jondeau, Eric ; Jegarasasingam, Anandakumar ; Elsenhuber, Ulrike ; Ehlers, Torsten. In: BIS Working Papers. RePEc:bis:biswps:1008. Full description at Econpapers || Download paper | |
2020 | A New Indicator of Bank Funding Cost. (2020). Sahuc, Jean-Guillaume ; Mojon, Benoit ; Jondeau, Eric. In: BIS Working Papers. RePEc:bis:biswps:854. Full description at Econpapers || Download paper | |
2020 | Economic crisis and determinants of solvency in the insurance sector: new evidence from Spain. (2020). Trujilloponce, Antonio ; Parradomartinez, Purificacion ; Moreno, Ignacio . In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2965-2994. Full description at Econpapers || Download paper | |
2020 | Shocks to food market systems: A network approach. (2020). Kshirsagar, Varun ; Baffes, John. In: Agricultural Economics. RePEc:bla:agecon:v:51:y:2020:i:1:p:111-129. Full description at Econpapers || Download paper | |
2020 | Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100. Full description at Econpapers || Download paper | |
2021 | Can “Concerted” Macroprudential Policies Mitigate Cross?border Contagion of Financial Risks? Evidence from China and Its Financially Connected Economies. (2021). Chen, Xiaoli ; Liu, Xiaoyu. In: China & World Economy. RePEc:bla:chinae:v:29:y:2021:i:3:p:26-54. Full description at Econpapers || Download paper | |
2020 | Investment in Financial Information and Portfolio Performance. (2020). Jappelli, Tullio ; Guiso, Luigi. In: Economica. RePEc:bla:econom:v:87:y:2020:i:348:p:1133-1170. Full description at Econpapers || Download paper | |
2020 | Modelling Financial Contagion Using High Frequency Data. (2020). Yao, Wenying ; Alexeev, Vitali ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:314-330. Full description at Econpapers || Download paper | |
2020 | Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349. Full description at Econpapers || Download paper | |
2020 | The Coâ€Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asiaâ€Pacific Markets. (2020). Gottschalk, Katrin ; da Fonseca, Jose. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:551-579. Full description at Econpapers || Download paper | |
2021 | Measuring Systemic Risk: Capital Shortfall and CSRISK. (2021). Lee, Joeming ; Hsu, Yuanteng ; Wang, Jyingnan ; Chen, Chihchun. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:1:p:358-369. Full description at Econpapers || Download paper | |
2021 | Financial literacy and household asset allocation: Evidence from micro?data in China. (2021). Wu, YU ; Xiao, Jingna ; Lu, Xiaomeng. In: Journal of Consumer Affairs. RePEc:bla:jconsa:v:55:y:2021:i:4:p:1464-1488. Full description at Econpapers || Download paper | |
2021 | Fire?Sale Spillovers in Debt Markets. (2021). Hortasu, Ali ; Falato, Antonio ; Shin, Chae Hee ; Li, Dan. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:3055-3102. Full description at Econpapers || Download paper | |
2021 | Regional growth and disparities in a post?COVID Europe: A new normality scenario. (2021). Caragliu, Andrea ; Capello, Roberta. In: Journal of Regional Science. RePEc:bla:jregsc:v:61:y:2021:i:4:p:710-727. Full description at Econpapers || Download paper | |
2020 | The Reinsurance Network Among U.S. Property–Casualty Insurers: Microstructure, Insolvency Risk, and Contagion. (2020). Weiss, Mary A ; Sun, Tao ; Cummins, David J ; Chen, Hua. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:253-284. Full description at Econpapers || Download paper | |
2020 | Tail Risk Networks of Insurers Around the Globe: An Empirical Examination of Systemic Risk for Gâ€SIIs vs Nonâ€Gâ€SIIs. (2020). Sun, Tao ; Chen, Hua. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:285-318. Full description at Econpapers || Download paper | |
2020 | Correlated Trading by Life Insurers and Its Impact on Bond Prices. (2020). Niehaus, Greg ; Chiang, Chiachun. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:3:p:597-625. Full description at Econpapers || Download paper | |
2021 | Simultaneous borrowing of information across space and time for pricing insurance contracts: An application to rating crop insurance policies. (2021). Ker, Alan P ; Liu, Yong. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:1:p:231-257. Full description at Econpapers || Download paper | |
2020 | Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach. (2020). Chen, Zhenxi. In: Manchester School. RePEc:bla:manchs:v:88:y:2020:i:2:p:262-281. Full description at Econpapers || Download paper | |
2021 | Financial Network and Systemic Risk—A Dynamic Model. (2021). Yao, David D ; Wang, Tan ; Chen, Hong. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:8:p:2441-2466. Full description at Econpapers || Download paper | |
2020 | Populism, Political Risk and the Economy: Lessons from Italy. (2019). Schiantarelli, Fabio ; Brianti, Marco ; Brancati, Emanuele ; Balduzzi, Pierluigi. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:989. Full description at Econpapers || Download paper | |
2020 | The impact of QE on liquidity: evidence from the UK Corporate Bond Purchase Scheme. (2019). LINTON, OLIVER ; Elliott, David ; Morley, Ben ; McLaren, Nick ; Kaminska, Iryna ; Boneva, Lena. In: Bank of England working papers. RePEc:boe:boeewp:0782. Full description at Econpapers || Download paper | |
2021 | Modelling fire sale contagion across banks and non-banks. (2020). Ferrara, Gerardo ; Ramadiah, Amanah ; Caccioli, Fabio. In: Bank of England working papers. RePEc:boe:boeewp:0878. Full description at Econpapers || Download paper | |
2021 | Impacts of the Covid-19 crisis: evidence from 2 million UK SMEs. (2021). Walczak, Eryk ; Karmakar, Sudipto ; Walker, Danny ; Markoska, Elena ; Hurley, James. In: Bank of England working papers. RePEc:boe:boeewp:0924. Full description at Econpapers || Download paper | |
2021 | The impact of machine learning and big data on credit markets. (2021). Grout, Paul ; Eccles, Peter ; Zalewska, Anna ; Siciliani, Paolo. In: Bank of England working papers. RePEc:boe:boeewp:0930. Full description at Econpapers || Download paper | |
2021 | Zombies, Again? The COVID-19 Business Support Programs in Japan We designed and conducted a firm-level survey on the use of COVID-19-related government programs, in collaboration with Tokyo Shoko Rese. (2021). Kawaguchi, Daiji ; Hoshi, Takeo ; Ueda, Kenichi. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp21e15. Full description at Econpapers || Download paper | |
2020 | Network-Based Measures of Systemic Risk in Korea. (2020). Lee, Jieun ; Choi, Jaewon. In: Working Papers. RePEc:bok:wpaper:2008. Full description at Econpapers || Download paper | |
2021 | Three Projects in the New Law and Finance. (2021). Dan, Awrey. In: Accounting, Economics, and Law: A Convivium. RePEc:bpj:aelcon:v:11:y:2021:i:1:p:9-25:n:1. Full description at Econpapers || Download paper | |
2021 | How do volatility regimes affect the pricing of quality and liquidity in the stock market?. (2021). Hübner, Georges ; Tarik, Bazgour ; Danielle, Sougne ; Georges, Hubner ; Cedric, Heuchenne. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:17:n:3. Full description at Econpapers || Download paper | |
2021 | Markov Switching Panel with Endogenous Synchronization Effects. (2021). Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica ; Agudze, Komla M. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps82. Full description at Econpapers || Download paper | |
2020 | A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model. (2020). Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20114. Full description at Econpapers || Download paper | |
2021 | Non-Performing Loan Determinants and Impact of COVID-19: Case of Bosnia and Herzegovina. (2021). Delihodi, Emina Uni ; Kozari, Kemal ; Uni, Amila. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:10:y:2021:i:3:p:5-22. Full description at Econpapers || Download paper | |
2021 | The Impact of Fintech Startups on Financial Institutions Performance and Default Risk. (2021). Haddad, Christian ; Hornuf, Lars. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9050. Full description at Econpapers || Download paper | |
2020 | Embedding Finance in the Macroeconomics of Climate Change: Research Challenges and Opportunities Ahead. (2020). Monasterolo, Irene. In: CESifo Forum. RePEc:ces:ifofor:v:21:y:2020:i:04:p:25-32. Full description at Econpapers || Download paper | |
2020 | Measuring Systemic Risk: A Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:874. Full description at Econpapers || Download paper | |
2020 | High Dimensional Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:886. Full description at Econpapers || Download paper | |
2021 | Interconnectedness and contagion in the Czech financial system. (2021). Szabo, Milan ; Kucera, Adam. In: Occasional Publications - Chapters in Edited Volumes. RePEc:cnb:ocpubc:tafs2020/5. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2020 | Are Member States’ Budgetary Policies Adhering to the EU Fiscal Rules?. (2020). Cronin, David. In: Applied Economics Quarterly (formerly: Konjunkturpolitik). RePEc:dah:aeqaeq:v66_y2020_i1_q1_p_47-64. Full description at Econpapers || Download paper | |
2021 | Return spillovers between green energy indexes and financial markets: a first sectoral approach. (2021). Nobletz, Capucine. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-24. Full description at Econpapers || Download paper | |
2020 | Fire sales by euro area banks and funds: what is their asset price impact?. (2020). Palligkinis, Spyros ; Pancaro, Cosimo ; Moccero, Diego ; Mirza, Harun. In: Working Paper Series. RePEc:ecb:ecbwps:20202491. Full description at Econpapers || Download paper | |
2020 | Nowcasting business cycle turning points with stock networks and machine learning. (2020). Hirschbühl, Dominik ; Azqueta-Gavaldon, Andres ; Saiz, Lorena ; Onorante, Luca ; Hirschbuhl, Dominik. In: Working Paper Series. RePEc:ecb:ecbwps:20202494. Full description at Econpapers || Download paper | |
2021 | Euro area sovereign bond risk premia during the Covid-19 pandemic. (2021). Grimm, Niklas ; Corradin, Stefano ; Schwaab, Bernd. In: Working Paper Series. RePEc:ecb:ecbwps:20212561. Full description at Econpapers || Download paper | |
2021 | Banks’ loan charge-offs and macro-level risk. (2021). Guo, Mengyang ; Song, Victor ; Jin, Justin Y. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001179. Full description at Econpapers || Download paper | |
2021 | Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach. (2021). Sutcliffe, Charles ; Stafylas, Dimitrios ; Platanakis, Emmanouil ; Newton, David ; Ye, Xiaoxia. In: The British Accounting Review. RePEc:eee:bracre:v:53:y:2021:i:5:s0890838921000263. Full description at Econpapers || Download paper | |
2020 | Business connectedness or market risk? Evidence from financial institutions in China. (2020). Li, Zheng ; Lu, Yanchen ; Liang, QI. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x20301000. Full description at Econpapers || Download paper | |
2020 | Can systemic risk measures predict economic shocks? Evidence from China. (2020). Zhang, YU ; Liu, Yanzhen ; Chen, Guojin. In: China Economic Review. RePEc:eee:chieco:v:64:y:2020:i:c:s1043951x20301541. Full description at Econpapers || Download paper | |
2020 | Does operating risk affect portfolio risk? Evidence from insurers securities holding. (2020). Yu, Tong ; Yao, Tong ; Sun, Zhenzhen ; Chen, Xuanjuan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300237. Full description at Econpapers || Download paper | |
2021 | Fintech and access to finance. (2021). Schwienbacher, Armin ; Bollaert, Helen ; Lopez-De, Florencio. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000626. Full description at Econpapers || Download paper | |
2021 | Estimation of high dimensional factor model with multiple threshold-type regime shifts. (2021). Wu, Jianhong. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:157:y:2021:i:c:s0167947320302449. Full description at Econpapers || Download paper | |
2020 | Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301901. Full description at Econpapers || Download paper | |
2021 | Network tail risk estimation in the European banking system. (2021). Tich, Toma ; Giacometti, Rosella ; Torri, Gabriele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000609. Full description at Econpapers || Download paper | |
2021 | Effect of trade and economic policy uncertainties on regional systemic risk: Evidence from ASEAN. (2021). Dogah, Kingsley. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002145. Full description at Econpapers || Download paper | |
2022 | Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach. (2022). Milacic, Veselin ; Milosevic, Igor ; Jolicic, Ivan ; Radulovic, Mladen ; Mihailovic, Andrej ; Bracanovic, Andrej ; Muhadinovic, Milica ; Bojaj, Martin M. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000384. Full description at Econpapers || Download paper | |
2020 | Tree networks to assess financial contagion. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Agosto, Arianna. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:349-366. Full description at Econpapers || Download paper | |
2020 | Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis. (2020). Pochea, Maria Miruna ; Nioi, Mihai. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:133-147. Full description at Econpapers || Download paper | |
2020 | Macro-uncertainty and financial stress spillovers in the Eurozone. (2020). Mikaliunaite, Ieva ; Cipollini, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:546-558. Full description at Econpapers || Download paper | |
2020 | Firm-specific information and systemic risk. (2020). Clements, Adam ; Liao, Y. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:480-493. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2011 | Bank credit to medium-sized enterprises in Italy: the trends before and during the crisis In: BANCARIA. [Full Text][Citation analysis] | article | 0 |
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2012 | Measuring Sovereign Contagion in Europe.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 175 | paper | |
2018 | Measuring sovereign contagion in Europe.(2018) In: Journal of Financial Stability. [Full Text][Citation analysis] This paper has another version. Agregated cites: 175 | article | |
2013 | Measuring Sovereign Contagion in Europe.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 175 | paper | |
2015 | Measuring sovereign contagion in Europe.(2015) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 175 | paper | |
2021 | Short Selling – On Ethics, Politics, and Culture In: Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB). [Full Text][Citation analysis] | article | 0 |
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2019 | Risk Pooling, Leverage, and the Business Cycle.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2020 | Risk pooling, leverage, and the business cycle.(2020) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2017 | Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2021 | The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
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2020 | The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 30 |
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2020 | The COVID-19 Shock and Equity Shortfall: Firm-Level Evidence from Italy.(2020) In: Review of Corporate Finance Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | article | |
2020 | The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy.(2020) In: CSEF Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
2020 | The COVID-19 shock and equity shortfall: Firm-level evidence from Italy.(2020) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
2003 | Are Household Portfolios Efficient? An Analysis Conditional on Housing In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 28 |
2008 | Are Household Portfolios Efficient? an Analysis Conditional on Housing.(2008) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | article | |
2006 | Are Household Portfolios Efficient? An Analysis Conditional on Housing.(2006) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
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2014 | Liquidity coinsurance and bank capital.(2014) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2020 | Coronavirus and financial stability 3.0: Try equity – risk sharing for companies, large and small In: Vox eBook Chapters. [Full Text][Citation analysis] | chapter | 0 |
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2019 | The anatomy of the euro area interest rate swap market In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
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2012 | Dynamic risk exposures in hedge funds In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 34 |
2007 | Dynamic Risk Exposure in Hedge Funds.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2013 | Deciphering the Libor and Euribor Spreads during the subprime crisis In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 7 |
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2014 | Mutual excitation in Eurozone sovereign CDS In: Journal of Econometrics. [Full Text][Citation analysis] | article | 45 |
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2000 | Value-at-Risk: a multivariate switching regime approach In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 59 |
2009 | Efficient portfolios when housing needs change over the life cycle In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 27 |
2007 | Efficient Portfolios when Housing Needs Change over the Life-Cycle.(2007) In: Marco Fanno Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
2007 | Efficient Portfolios when Housing Needs Change over the Life-Cycle.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
2003 | Contagion and interdependence in stock markets: Have they been misdiagnosed? In: Journal of Economics and Business. [Full Text][Citation analysis] | article | 65 |
2012 | Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 906 |
2010 | Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2010) In: NBER Chapters. [Citation analysis] This paper has another version. Agregated cites: 906 | chapter | |
2011 | Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 906 | paper | |
2016 | Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 41 |
2021 | Portfolio similarity and asset liquidation in the insurance industry In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 24 |
2020 | Portfolio Similarity and Asset Liquidation in the Insurance Industry.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2018 | Portfolio similarity and asset liquidation in the insurance industry.(2018) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2008 | Credit derivatives, capital requirements and opaque OTC markets In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 22 |
2006 | Credit Derivatives, Capital Requirements and Opaque OTC Markets.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2003 | Volatility and shocks spillover before and after EMU in European stock markets In: Journal of Multinational Financial Management. [Full Text][Citation analysis] | article | 46 |
2016 | The Impact of the Monetary Policy Interventions on the Insurance Industry In: EIOPA Financial Stability Report - Thematic Articles. [Full Text][Citation analysis] | paper | 2 |
2018 | The impact of monetary policy iInterventions on the insurance industry.(2018) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2019 | Credit Scoring in SME Asset-Backed Securities: An Italian Case Study In: JRFM. [Full Text][Citation analysis] | article | 4 |
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2020 | A Meta-Measure of Performance related to Charactersitics of both Investors and Investments In: Post-Print. [Citation analysis] | paper | 0 |
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2008 | Italian Equity Funds: Efficiency and Performance Persistence In: The IUP Journal of Financial Economics. [Citation analysis] | article | 14 |
2008 | Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2008 | Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2018 | Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan In: IMES Discussion Paper Series. [Full Text][Citation analysis] | paper | 8 |
2000 | La Style Analysis nel mercato azionario italiano In: Rivista italiana degli economisti. [Full Text][Citation analysis] | article | 0 |
2007 | Pillar 1 versus Pillar 2 under Risk Management In: NBER Chapters. [Full Text][Citation analysis] | chapter | 2 |
2005 | Pillar 1 vs. Pillar 2 Under Risk Management In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2010 | Econometric Measures of Systemic Risk in the Finance and Insurance Sectors In: NBER Working Papers. [Full Text][Citation analysis] | paper | 78 |
2017 | Stock Price Crashes: Role of Slow-Moving Capital In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | Credit Derivatives: Capital Requirements and Strategic Contracting In: Marco Fanno Working Papers. [Full Text][Citation analysis] | paper | 8 |
2002 | La copertura dei rischi finanziari nelle imprese non finanziarie italiane attraverso gli strumenti derivati In: Moneta e Credito. [Full Text][Citation analysis] | article | 1 |
2014 | A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation In: Bankers, Markets & Investors. [Full Text][Citation analysis] | article | 0 |
2022 | Will video kill the radio star? Digitalisation and the future of banking In: Report of the Advisory Scientific Committee. [Full Text][Citation analysis] | paper | 0 |
2017 | The demand for central clearing: to clear or not to clear, that is the question In: ESRB Working Paper Series. [Full Text][Citation analysis] | paper | 13 |
2019 | The demand for central clearing: To clear or not to clear, that is the question.(2019) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2005 | Relative benchmark rating and persistence analysis: Evidence from Italian equity funds In: The European Journal of Finance. [Full Text][Citation analysis] | article | 9 |
2018 | Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
2006 | Phase-Locking and Switching Volatility in Hedge Funds In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2008 | Crisis and Hedge Fund Risk In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2008 | Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Market volatility, optimal portfolios and naive asset allocations In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | CDS Industrial Sector Indices, credit and liquidity risk In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2016 | Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Networks in risk spillovers: a multivariate GARCH perspective In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
2020 | Networks in risk spillovers: A multivariate GARCH perspective.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2018 | Networks in risk spillovers: A multivariate GARCH perspective.(2018) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2020 | Buildings Energy Efficiency and the Probability of Mortgage Default: The Dutch Case In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Buildings energy efficiency and the probability of mortgage default: The Dutch case.(2019) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2020 | Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods In: Working Papers. [Full Text][Citation analysis] | paper | 10 |
2017 | Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods.(2017) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2020 | Coming early to the party In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2017 | Coming early to the party.(2017) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2020 | Inside the ESG Ratings: (Dis)agreement and performance In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2021 | Inside the ESG ratings: (Dis)agreement and performance.(2021) In: Corporate Social Responsibility and Environmental Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2020 | Inside the ESG ratings: (Dis)agreement and performance.(2020) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2009 | Crises and Hedge Fund Risk In: Yale School of Management Working Papers. [Full Text][Citation analysis] | paper | 9 |
2021 | Lighting up the dark: Liquidity in the German corporate bond market In: Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | Lighting up the dark: Liquidity in the German corporate bond market.(2018) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2016 | How does P2P lending fit into the consumer credit market? In: Discussion Papers. [Full Text][Citation analysis] | paper | 27 |
2019 | OTC discount In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | OTC discount.(2021) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2018 | The pitfalls of central clearing in the presence of systematic risk In: ICIR Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2019 | Pitfalls of central clearing in the presence of systematic risk.(2019) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2018 | Financial stability in the EU: A case for micro data transparency In: SAFE Policy Letters. [Full Text][Citation analysis] | paper | 0 |
2020 | The Coronavirus and financial stability In: SAFE Policy Letters. [Full Text][Citation analysis] | paper | 24 |
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2020 | Corona and financial stability 3.0: Try equity - risk sharing for companies, large and small In: SAFE Policy Letters. [Full Text][Citation analysis] | paper | 4 |
2020 | Priorities for the CMU agenda In: SAFE Policy Letters. [Full Text][Citation analysis] | paper | 0 |
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2016 | Predatory margins and the regulation and supervision of central counterparty clearing houses (CCPs) In: SAFE White Paper Series. [Full Text][Citation analysis] | paper | 5 |
2019 | What are the main factors for the subdued profitability of significant banks in the Banking Union, and is the ECBs supervisory response conclusive and exhaustive? A critical assessment of the 2018 SSM In: SAFE White Paper Series. [Full Text][Citation analysis] | paper | 0 |
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2021 | Non-performing loans - new risks and policies? NPL resolution after COVID-19: Main differences to previous crises In: SAFE White Paper Series. [Full Text][Citation analysis] | paper | 2 |
2016 | How has sovereign bond market liquidity changed? An illiquidity spillover analysis In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2017 | The impact of network connectivity on factor exposures, asset pricing and portfolio diversification In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 7 |
2021 | P2P lenders versus banks: Cream skimming or bottom fishing? In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 20 |
2018 | Central bank-driven mispricing In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 4 |
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2020 | High-frequency trading during flash crashes: Walk of fame or hall of shame? In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 5 |
2020 | Collateral eligibility of corporate debt in the Eurosystem In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
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2015 | Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina? In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 21 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2022. Contact: CitEc Team