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

Working Papers

2012

1. 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)
2. 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

3. 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

4. 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

5. 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)
6. 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

7. 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)
8. 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

9. 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"
10. 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)
11. 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

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

2005

14. 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)
15. 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"
16. The internal efficiency of Index Option Markets
    Computing in Economics and Finance 2005, Society for Computational Economics
17. 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

18. 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"
19. 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

20. 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)
21. 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

22. 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

23. 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

24. 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

25. 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

1. 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

2. Demographics and asset returns: does the dynamics of population ageing matter?
   Annals of Finance, 2010, 6, (2), 193-219
3. Population age structure and household portfolio choices in Italy
   European Journal of Finance, 2010, 16, (6), 481-502 View citations (3)
4. 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)
5. 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

6. 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)
7. On the no-arbitrage condition in option implied trees
   European Journal of Operational Research, 2009, 193, (1), 212-221 View citations (1)

2008

8. Portfolio Choices, Gender and Marital Status
   Rivista di Politica Economica, 2008, 98, (5), 119-154

2007

9. 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)
10. 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

11. Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities
    Journal of Banking & Finance, 2005, 29, (12), 3121-3140 View citations (14)
12. 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)
13. 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

14. 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

15. Estimation and arbitrage opportunities for exchange rate baskets
    Applied Economics, 2003, 35, (15), 1689-1698
    See also Working Paper (2001)

2002

16. The information in the term structure of German interest rates
    European Journal of Finance, 2002, 8, (1), 21-45 View citations (3)

2001

17. A MODEL FOR PRICING AN OPTION WITH A FUZZY PAYOFF
    Fuzzy Economic Review, 2001, VI, (1), 49-87 View citations (2)

1996

18. 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

19. 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

1. Money, Finance and Demography: The Consequences of Ageing
   SUERF Colloquium Volumes, SUERF - The European Money and Finance Forum View citations (6)