Details about Costanza Torricelli

Access statistics for papers by Costanza Torricelli.

Last updated 2008-02-26. Update your information in the RePEc Author Service.

Short-id: pto78

Working Papers

2008

1. Indebtedness, macroeconomic conditions and banks’ loan losses: evidence from Italy
   Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi"

2007

2. Model risk and techniques for controlling market parameters. The experience in Banco Popolare
   Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi"
3. The Effect of Population Ageing on Household Portfolio Choices in Italy
   Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica View citations
4. The role of demographic variables in explaining financial returns in Italy
   Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica

2006

5. Economic activity and Recession Probabilities: spread predictive power in Italy
   Computing in Economics and Finance 2006, Society for Computational Economics
6. Optimal banks behaviour and procyclicality
   Computing in Economics and Finance 2006, Society for Computational Economics

2005

7. Forward-looking estimation of default probabilities with Italian data
   Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica View citations
8. The internal efficiency of Index Option Markets
   Computing in Economics and Finance 2005, Society for Computational Economics

1999

9. The Information in the Term of Structure: further Results for Germany
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations

1998

10. Tests of the Expectations Hypothesis and Policy Reaction to the Term Spread: Some Comparative Evidence
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics

1997

11. The expectations hypothesis of the term structure: Evidence for Germany
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations

Undated

12. Estimation and Arbitrage Opportunities for Exchange Rate Baskets
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See Also Journal Article in Applied Economics (2003)

Journal Articles

2007

1. The internal and cross market efficiency in index option markets: an investigation of the Italian market
   Applied Financial Economics, 2007, 17, (1), 25-33

2005

2. Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities
   Journal of Banking & Finance, 2005, 29, (12), 3121-3140 View citations
3. Put-call parity and cross-markets efficiency in the index options markets: evidence from the Italian market
   International Review of Financial Analysis, 2005, 14, (5), 508-532 View citations
4. The pricing of options on an interval binomial tree. An application to the DAX-index option market
   European Journal of Operational Research, 2005, 163, (1), 192-200

2004

5. A multiperiod binomial model for pricing options in a vague world
   Journal of Economic Dynamics and Control, 2004, 28, (5), 861-887

2003

6. Estimation and arbitrage opportunities for exchange rate baskets
   Applied Economics, 2003, 35, (15), 1689-1698
   See Also Working Paper

2002

7. The information in the term structure of German interest rates
   European Journal of Finance, 2002, 8, (1), 21-45 View citations

1996

8. A comparative evaluation of alternative models of the term structure of interest rates
   European Journal of Operational Research, 1996, 93, (1), 205-223 View citations

1994

9. Futures market and spot price volatility: A model for a storable commodity
   European Journal of Political Economy, 1994, 10, (2), 339-355

Books

2007

1. Money, Finance and Demography: The Consequences of Ageing
   SUERF Colloquium Volumes, SUERF - The European Money and Finance Forum View citations