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Details about Costanza Torricelli
Access statistics for papers by Costanza Torricelli.
Last updated 2013-03-11. Update your information in the RePEc Author Service .
Short-id: pto78
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Journal Articles Books
Working Papers
2012
Is Financial Fragility a Matter of Illiquidity? An Appraisal for Italian Households
CEIS Research Paper, Tor Vergata University, CEIS
Also in 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" (2012)
Is It Money or Brains? The Determinants of Intra-Family Decision Power
IZA Discussion Papers, Institute for the Study of Labor (IZA) View citations (3)
Also in CEIS Research Paper, Tor Vergata University, CEIS (2012) View citations (3)Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics (2012) View citations (3)CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (3)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" (2012) View citations (3)Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" (2012) View citations (3)
2011
Modelling credit risk for innovative firms: the role of innovation measures
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"
2010
A parsimonious default prediction model for Italian SMEs
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"
2009
MODELS FOR HOUSEHOLD PORTFOLIOS AND LIFE-CYCLE ALLOCATIONS IN THE PRESENCE OF LABOUR INCOME AND LONGEVITY RISK
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" View citations (1)
Marriage and Other Risky Assets: A Portfolio Approach
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
Also in CHILD Working Papers, CHILD - Centre for Household, Income, Labour and Demographic economics - ITALY (2009) Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" (2008) Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics (2009) IZA Discussion Papers, Institute for the Study of Labor (IZA) (2009)
See also Journal Article in Journal of Banking & Finance (2011)
2008
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" View citations (2)
Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework
OFRC Working Papers Series, Oxford Financial Research Centre View citations (2)
See also Journal Article in Annals of Finance (2010)
2007
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"
The Effect of Population Ageing on Household Portfolio Choices in Italy
Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
Also in Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica (2007) View citations (1)
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
Economic activity and Recession Probabilities: spread predictive power in Italy
Computing in Economics and Finance 2006, Society for Computational Economics
Optimal banks behaviour and procyclicality
Computing in Economics and Finance 2006, Society for Computational Economics
2005
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 (5)
The aim of the present work is to test the predictive power of the term spread in forecasting real economic growth rates and recession probabilities in Italy. According to the most recent literature, the relationship between the term spread and economic growth rates is modelled as a nonlinear one and specifically the Logistic Smooth Transition model is used, while a probit model is implemented to forecast recession probabilities. In both applications evidence supports a relevant informative content of the spread in Italy
Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
The internal efficiency of Index Option Markets
Computing in Economics and Finance 2005, Society for Computational Economics
The no arbitrage condition in option implied trees: evidence from the Italian index options market
Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
2004
A forward-looking model for time-varying capital requirements and the New Basel Capital Accord
Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
The internal efficiency of Index Option Markets:Tests on the Italian Market
Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
2003
Call and put implied volatilities and the derivation of option implied trees
Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" View citations (2)
See also Journal Article in Frontiers in Finance and Economics (2007)
The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market
Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
2001
Estimation and arbitrage opportunities for exchange rate baskets
SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
See also Journal Article in Applied Economics (2003)
1999
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 (5)
1998
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
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 (9)
Journal Articles
2011
Marriage and other risky assets: A portfolio approach
Journal of Banking & Finance , 2011, 35 , (11), 2902-2915 View citations (5)
See also Working Paper (2009)
2010
Demographics and asset returns: does the dynamics of population ageing matter?
Annals of Finance , 2010, 6 , (2), 193-219
Population age structure and household portfolio choices in Italy
European Journal of Finance , 2010, 16 , (6), 481-502 View citations (3)
Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework
Annals of Finance , 2010, 6 , (1), 33-49
See also Working Paper (2008)
The Interaction of Financial Fragility and the Business Cycle in Determining Banks’ Loan Losses: An Investigation of the Italian Case
Economic Notes , 2010, 39 , (3), 129-146
2009
Economic activity and recession probabilities: information content and predictive power of the term spread in Italy
Applied Economics , 2009, 41 , (18), 2309-2322 View citations (2)
On the no-arbitrage condition in option implied trees
European Journal of Operational Research , 2009, 193 , (1), 212-221 View citations (1)
2008
Portfolio Choices, Gender and Marital Status
Rivista di Politica Economica , 2008, 98 , (5), 119-154
2007
Call an Put Implied Volatilities and the Derivation of Option Implied Trees
Frontiers in Finance and Economics , 2007, 4 , (1), 35-64
See also Working Paper (2003)
The internal and cross market efficiency in index option markets: an investigation of the Italian market
Applied Financial Economics , 2007, 17 , (1), 25-33 View citations (1)
2005
Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities
Journal of Banking & Finance , 2005, 29 , (12), 3121-3140 View citations (14)
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 View citations (1)
2004
A multiperiod binomial model for pricing options in a vague world
Journal of Economic Dynamics and Control , 2004, 28 , (5), 861-887 View citations (3)
2003
Estimation and arbitrage opportunities for exchange rate baskets
Applied Economics , 2003, 35 , (15), 1689-1698
See also Working Paper (2001)
2002
The information in the term structure of German interest rates
European Journal of Finance , 2002, 8 , (1), 21-45 View citations (3)
2001
A MODEL FOR PRICING AN OPTION WITH A FUZZY PAYOFF
Fuzzy Economic Review , 2001, VI , (1), 49-87 View citations (2)
1996
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 (2)
1994
Futures market and spot price volatility: A model for a storable commodity
European Journal of Political Economy , 1994, 10 , (2), 339-355 View citations (1)
Books
2007
Money, Finance and Demography: The Consequences of Ageing
SUERF Colloquium Volumes, SUERF - The European Money and Finance Forum View citations (6)
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