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Details about Costanza Torricelli

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Homepage:http://www.economia.unimore.it/torricelli_costanza/index.htm
Workplace:Dipartimento di Economia Politica (Department of Economics), Facoltà di Economia "Marco Biagi" (Faculty of Economics), Università degli Studi di Modena e Reggio Emilia, (more information at EDIRC)
Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Facoltà di Economia "Marco Biagi" (Faculty of Economics), Università degli Studi di Modena e Reggio Emilia, (more information at EDIRC)

Access statistics for papers by Costanza Torricelli.

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

Short-id: pto78


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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" Downloads

2007

  1. 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" Downloads
  2. 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 Downloads View citations
  3. 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 Downloads

2006

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

2005

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

1999

  1. 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 Downloads View citations

1998

  1. 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 Downloads

1997

  1. 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 Downloads View citations

Undated

  1. 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 Downloads

2005

  1. Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities
    Journal of Banking & Finance, 2005, 29, (12), 3121-3140 Downloads View citations
  2. 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 Downloads View citations
  3. 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 Downloads

2004

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

2003

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

2002

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

1996

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

1994

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

Books

2007

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