Details about Marcello Pericoli

Access statistics for papers by Marcello Pericoli.

Last updated 2008-10-16. Update your information in the RePEc Author Service.

Short-id: ppe177

Working Papers

2008

1. Bond risk premia, macroeconomic fundamentals and the exchange rate
   MPRA Paper, University Library of Munich, Germany

2007

2. A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors
   MPRA Paper, University Library of Munich, Germany

2006

3. Canonical term-structure models with observable factors and the dynamics of bond risk premiums
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research Department View citations
4. The CAPM and the risk appetite index; theoretical differences and empirical similarities
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research Department View citations

2005

5. Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research Department

2002

6. Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   See Also Journal Article in Journal of International Money and Finance (2005)

2001

7. A Primer on Financial Contagion
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research Department View citations
   See Also Journal Article in Journal of Economic Surveys (2003)
8. Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test
   Working Papers, Economic Growth Center, Yale University View citations
   Also in
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research Department (2001) View citations

2000

9. Stock Values and Fundamentals: Link or Irrationality?
   Working Papers, Banca Italia - Servizio di Studi View citations
   Also in
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research Department (2000) View citations

1992

10. Single Market Emu and Widening. Responses to Three Institutional Shocks in the European Community
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia

Journal Articles

2008

1. Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia
   Journal of Money, Credit and Banking, 2008, 40, (7), 1471-1488

2005

2. 'Some contagion, some interdependence': More pitfalls in tests of financial contagion
   Journal of International Money and Finance, 2005, 24, (8), 1177-1199 View citations
   See Also Working Paper (2002)

2003

3. A Primer on Financial Contagion
   Journal of Economic Surveys, 2003, 17, (4), 571-608 View citations
   See Also Working Paper (2001)

2002

4. The impact of news on the exchange rate of the lira and long-term interest rates
   Economic Modelling, 2002, 19, (4), 611-639 View citations