Details about Simone Manganelli

Access statistics for papers by Simone Manganelli.

Last updated 2009-01-05. Update your information in the RePEc Author Service.

Short-id: pma142

Working Papers

2008

1. Measuring financial integration in new EU member states
   Occasional Paper Series, European Central Bank View citations
2. The impact of the euro on equity markets - a country and sector decomposition
   Working Paper Series, European Central Bank

2007

3. Asset allocation by penalized least squares
   Working Paper Series, European Central Bank View citations
4. Market discipline, financial integration and fiscal rules - what drives spreads in the euro area government bond market?
   Working Paper Series, European Central Bank View citations
5. The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   See also Journal Article in Journal of Money, Credit and Banking (2008)

2006

6. A new theory of forecasting
   Working Paper Series, European Central Bank View citations
7. Financial integration of new EU Member States
   Working Paper Series, European Central Bank View citations
8. The impact of the euro on financial markets
   Working Paper Series, European Central Bank View citations

2005

9. Measuring comovements by regression quantiles
   Working Paper Series, European Central Bank View citations

2004

10. The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles
    Econometric Society 2004 Latin American Meetings, Econometric Society

2003

11. The Central Bank as a risk manager: quantifying and forecasting fnflation risks
    Working Paper Series, European Central Bank View citations
12. The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
13. The Euro area financial system: structure, integration and policy initiatives
    Working Paper Series, European Central Bank View citations
    See also Journal Article in Oxford Review of Economic Policy (2003)

2002

14. Duration: volume and volatility impact of trades
    Working Paper Series, European Central Bank View citations
    See also Journal Article in Journal of Financial Markets (2005)
15. Sensitivity analysis of volatility - a new tool for risk management
    Working Paper Series, European Central Bank View citations

2001

16. Value at risk models in finance
    Working Paper Series, European Central Bank View citations

2000

17. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) View citations
    See also Journal Article in Journal of Business & Economic Statistics (2004)

1999

18. CAViaR: Conditional Value at Risk by Quantile Regression
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

Journal Articles

2008

1. The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan
   Journal of Money, Credit and Banking, 2008, 40, (6), 1103-1129 View citations
   See also Working Paper (2007)

2007

2. Quantifying the Risk of Deflation
   Journal of Money, Credit and Banking, 2007, 39, (2-3), 561-590 View citations

2005

3. Duration, volume and volatility impact of trades
   Journal of Financial Markets, 2005, 8, (4), 377-399 View citations
   See also Working Paper (2002)

2004

4. Asset Allocation by Variance Sensitivity Analysis
   Journal of Financial Econometrics, 2004, 2, (3), 370-389 View citations
5. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
   Journal of Business & Economic Statistics, 2004, 22, 367-381 View citations
   See also Working Paper (2000)

2003

6. The Euro-area Financial System: Structure, Integration, and Policy Initiatives
   Oxford Review of Economic Policy, 2003, 19, (1), 180-213 View citations
   See also Working Paper (2003)