8
H index
7
i10 index
1111
Citations
Marcello Pericoli : Citation Profile
Banca d'Italia | RESEARCH PRODUCTION: 11 Articles 29 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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30 years (1992 - 2022). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Marcello Pericoli. | Is cited by:
| Cites to:
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Main data
Where Marcello Pericoli has published?
| Journals with more than one article published | # docs |
|---|---|
| International Finance | 3 |
Recent works citing Marcello Pericoli (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Was Covid-19 a wake-up call on climate risks? Evidence from the greenium. (2024). Liberati, Danilo ; Marinelli, Giuseppe. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_832_24. Full description at Econpapers || Download paper |
| 2023 | Transmission of the 2007–2008 financial crisis in advanced countries of the European Union. (2023). Tomczak, Kamila. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:1:p:40-64. Full description at Econpapers || Download paper |
| 2023 | Identifying financial fragmentation: do sovereign spreads in the EMU reflect differences in fundamentals?. (2023). End, Jan Willem ; van den End, Jan Willem ; Kakes, Jan. In: Working Papers. RePEc:dnb:dnbwpp:778. Full description at Econpapers || Download paper |
| 2023 | Herd behavior and contagion effects of the COVID-19. (2023). Ferreira, Roberto T. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-01078. Full description at Econpapers || Download paper |
| 2023 | Emotions and stock market anomalies: A systematic review. (2023). Verma, Shubhangi ; Rao, Purnima ; Kumar, Satish ; Goodell, John W. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022000557. Full description at Econpapers || Download paper |
| 2023 | A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (2023). Ge, Shuyi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002688. Full description at Econpapers || Download paper |
| 2023 | Energy price shocks, exchange rates and inflation nexus. (2023). Bigerna, Simona. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006540. Full description at Econpapers || Download paper |
| 2023 | Measuring financial soundness around the world: A machine learning approach. (2023). Mertzanis, Charilaos ; Cerchiello, Paola ; Bitetto, Alessandro. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s105752192200401x. Full description at Econpapers || Download paper |
| 2024 | Asymmetric and high-order risk transmission across VIX and Chinese futures markets. (2024). Luo, Jiawen ; Zhang, Zhendong. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000462. Full description at Econpapers || Download paper |
| 2024 | The impact of the Russia–Ukraine war on volatility spillovers. (2024). Wang, Yizhi ; Lin, Yongjia ; Sio-Chong, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001261. Full description at Econpapers || Download paper |
| 2023 | Did the collapse of Silicon Valley Bank catalyze financial contagion?. (2023). Goodell, John W ; Boubaker, Sabri ; Akhtaruzzaman, MD. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004543. Full description at Econpapers || Download paper |
| 2023 | The impacts of macroprudential regulations on extreme episodes in bank flows: Whose policy helps and whose policy harms?. (2023). You, YU ; Yang, Zheng. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323008152. Full description at Econpapers || Download paper |
| 2023 | What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000037. Full description at Econpapers || Download paper |
| 2023 | Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis N ; Bampinas, Georgios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001031. Full description at Econpapers || Download paper |
| 2024 | No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic. (2024). Zhou, Yinggang ; Lin, Juan ; Bei, Zeyun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000561. Full description at Econpapers || Download paper |
| 2024 | Revisiting the pricing impact of commodity market spillovers on equity markets. (2024). Hyde, Stuart ; Bowe, Michael ; Pinto-Avalos, Francisco. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000594. Full description at Econpapers || Download paper |
| 2023 | Stock markets from COVID-19 to the Russia–Ukraine crisis: Structural breaks in interactive effects panels. (2023). Jeribi, Ahmed ; Karamti, Chiraz. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:28:y:2023:i:c:s170349492300052x. Full description at Econpapers || Download paper |
| 2023 | Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market. (2023). Cheng, Lee-Young ; Wang, Shengjin ; Yang, Yuhong ; Li, Ruihai ; Shen, Anran ; Zheng, Yingfei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000379. Full description at Econpapers || Download paper |
| 2024 | Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251. Full description at Econpapers || Download paper |
| 2024 | Oil, gold and international stock markets: Extreme spillovers, connectedness and its determinants. (2024). Vo, Xuan Vinh ; al Rababa, Abdel Razzaq ; Ziadat, Salem Adel ; Mensi, Walid ; Kang, Sang Hoon. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:1-17. Full description at Econpapers || Download paper |
| 2023 | Risk spillovers in global financial markets: Evidence from the COVID-19 crisis. (2023). Zhao, Yang ; Shao, Zhiquan ; Fang, YI. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:821-840. Full description at Econpapers || Download paper |
| 2024 | Detecting financial contagion using a new nonparametric measure of asymmetric comovements. (2024). Yuan, DI ; Xu, Yixiong ; Zhang, Feipeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:284-296. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis ; Bampinas, Georgios. In: Post-Print. RePEc:hal:journl:hal-04164277. Full description at Econpapers || Download paper |
| 2023 | Inflation Expectations and Monetary Policy in the Euro Area. (2023). Visco, Ignazio. In: Atlantic Economic Journal. RePEc:kap:atlecj:v:51:y:2023:i:2:d:10.1007_s11293-023-09771-y. Full description at Econpapers || Download paper |
| 2024 | COVID-19, the Russia–Ukraine war and the connectedness between the U.S. and Chinese agricultural futures markets. (2024). Shi, Haili ; Sun, Yiru ; Zhang, Yongmin ; Zhao, Yingxue ; Ding, Shusheng. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-02852-6. Full description at Econpapers || Download paper |
| 2023 | Nonlinearity in the causality and systemic risk spillover between the OPEC oil and GCC equity markets: a pre- and post-financial crisis analysis. (2023). Abakah, Emmanuel ; Hammoudeh, Shawkat ; Alagidede, Imhotep Paul ; Tiwari, Aviral Kumar. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:3:d:10.1007_s00181-023-02366-1. Full description at Econpapers || Download paper |
| 2023 | Intelligent design: stablecoins (in)stability and collateral during market turbulence. (2023). Galati, Luca ; Webb, Alexander ; Blasis, Riccardo. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00492-4. Full description at Econpapers || Download paper |
| 2023 | Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets. (2023). Apergis, Nicholas ; Tsionas, Mike G. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:1137-1155. Full description at Econpapers || Download paper |
Works by Marcello Pericoli:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2001 | Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test In: Center Discussion Papers. [Full Text][Citation analysis] | paper | 67 |
| 2001 | Correlation Analysis of Financial Contagion: What One Should Know before Running a Test.(2001) In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 67 | paper | |
| 2001 | Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test.(2001) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 67 | paper | |
| 2019 | An assessment of recent trends in market-based expected iflation in the euro area In: Questioni di Economia e Finanza (Occasional Papers). [Full Text][Citation analysis] | paper | 1 |
| 2022 | Sovereign spreads and economic fundamentals: an econometric analysis In: Questioni di Economia e Finanza (Occasional Papers). [Full Text][Citation analysis] | paper | 2 |
| 2014 | Fiscal Policy and Macroeconomic Imbalances In: Workshop and Conferences. [Full Text][Citation analysis] | paper | 4 |
| 2015 | Forecaster heterogeneity, surprises and financial markets In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 5 |
| 2015 | Decomposing euro area sovereign spreads: credit, liquidity and convenience In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 5 |
| 2015 | Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 9 |
| 2017 | Monetary policy surprises over time In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 7 |
| 2018 | Monetary Policy Surprises over Time.(2018) In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2018 | Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 3 |
| 2022 | Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models*.(2022) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2018 | Macroeconomics determinants of the correlation between stocks and bonds In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 5 |
| 2022 | An analysis of objective inflation expectations and inflation risk premia In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 5 |
| 1999 | The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 25 |
| 2002 | The impact of news on the exchange rate of the lira and long-term interest rates.(2002) In: Economic Modelling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
| 2000 | Stock Values and Fundamentals; Link or Irrationality? In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 2 |
| 2000 | Stock Values and Fundamentals: Link or Irrationality?..(2000) In: Banca Italia - Servizio di Studi. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2001 | A Primer on Financial Contagion In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 373 |
| 2003 | A Primer on Financial Contagion.(2003) In: Journal of Economic Surveys. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 373 | article | |
| 2005 | Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 2 |
| 2006 | Canonical term-structure models with observable factors and the dynamics of bond risk premiums In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 30 |
| 2008 | Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia.(2008) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
| 2006 | The CAPM and the risk appetite index; theoretical differences and empirical similarities In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 3 |
| 2009 | Bond risk premia, macroeconomic fundamentals and the exchange rate In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 17 |
| 2012 | Bond risk premia, macroeconomic fundamentals and the exchange rate.(2012) In: International Review of Economics & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
| 2008 | Bond risk premia, macroeconomic fundamentals and the exchange rate.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2012 | Real term structure and inflation compensation in the euro area In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 5 |
| 2014 | Real Term Structure and Inflation Compensation in the Euro Area.(2014) In: International Journal of Central Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2012 | Expected inflation and inflation risk premium in the euro area and in the United States In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 2 |
| 2013 | Pure or wake-up-call contagion? Another look at the EMU sovereign debt crisis In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 129 |
| 2013 | Pure or Wake-up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis.(2013) In: International Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 129 | article | |
| 2013 | Macroeconomic and monetary policy surprises and the term structure of interest rates In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 0 |
| 2009 | Capital Asset Pricing Model and the Risk Appetite Index: Theoretical Differences, Empirical Similarities and Implementation Problems In: International Finance. [Full Text][Citation analysis] | article | 0 |
| 2020 | On risk factors of the stock–bond correlation In: International Finance. [Full Text][Citation analysis] | article | 0 |
| 2002 | Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 410 |
| 2005 | Some contagion, some interdependence: More pitfalls in tests of financial contagion.(2005) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 410 | article | |
| 2007 | A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 1992 | Single Market Emu and Widening. Responses to Three Institutional Shocks in the European Community In: Department of Economics Working Papers. [Citation analysis] | paper | 0 |
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