Details about Sirio Aramonte

Access statistics for papers by Sirio Aramonte.

Last updated 2022-03-11. Update your information in the RePEc Author Service.

Short-id: par562

Working Papers

2022

1. Non-bank Financial Intermediaries and Financial Stability
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in BIS Working Papers, Bank for International Settlements (2021) View citations (8)

2021

2. Firm-level R&D after periods of intense technological innovation: the role of investor sentiment
   BIS Working Papers, Bank for International Settlements
3. Firm-specific risk-neutral distributions with options and CDS
   BIS Working Papers, Bank for International Settlements View citations (3)
4. Futures-based commodity ETFs when storage is constrained
   BIS Bulletins, Bank for International Settlements View citations (1)

2020

5. Corporate credit markets after the initial pandemic shock
   BIS Bulletins, Bank for International Settlements View citations (11)
6. Monitoring the Liquidity Profile of Mutual Funds
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)
7. The recent distress in corporate bond markets: cues from ETFs
   BIS Bulletins, Bank for International Settlements View citations (7)

2019

8. Measuring the Liquidity Profile of Mutual Funds
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
   See also Journal Article Measuring the Liquidity Profile of Mutual Funds, International Journal of Central Banking, International Journal of Central Banking (2020) View citations (2) (2020)

2017

9. Firm-Specific Risk-Neutral Distributions: The Role of CDS Spreads
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
10. Synthetic ETFs
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)

2015

11. Innovation, investor sentiment, and firm-level experimentation
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
12. Institutions and return predictability in oil-exporting countries
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
    See also Journal Article Institutions and return predictability in oil-exporting countries, The Quarterly Review of Economics and Finance, Elsevier (2019) View citations (1) (2019)
13. Risk Taking and Low Longer-term Interest Rates: Evidence from the U.S. Syndicated Loan Market
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (39)

2013

14. Assessing and combining financial conditions indexes
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (12)
    See also Journal Article Assessing and Combining Financial Conditions Indexes, International Journal of Central Banking, International Journal of Central Banking (2017) View citations (7) (2017)

2011

15. Dynamic factor value-at-risk for large, heteroskedastic portfolios
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (9)
    See also Journal Article Dynamic factor Value-at-Risk for large heteroskedastic portfolios, Journal of Banking & Finance, Elsevier (2013) View citations (16) (2013)

Journal Articles

2021

1. DeFi risks and the decentralisation illusion
   BIS Quarterly Review, 2021 View citations (36)
2. The rise of private markets
   BIS Quarterly Review, 2021 View citations (2)

2020

3. Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets
   Journal of Financial Markets, 2020, 51, (C) View citations (2)
4. Measuring the Liquidity Profile of Mutual Funds
   International Journal of Central Banking, 2020, 16, (5), 143-178 View citations (2)
   See also Working Paper Measuring the Liquidity Profile of Mutual Funds, Finance and Economics Discussion Series (2019) View citations (1) (2019)
5. Mind the buybacks, beware of the leverage
   BIS Quarterly Review, 2020 View citations (5)

2019

6. Institutions and return predictability in oil-exporting countries
   The Quarterly Review of Economics and Finance, 2019, 71, (C), 14-26 View citations (1)
   See also Working Paper Institutions and return predictability in oil-exporting countries, Finance and Economics Discussion Series (2015) View citations (1) (2015)
7. OTC derivatives: euro exposures rise and central clearing advances
   BIS Quarterly Review, 2019 View citations (8)

2017

8. Assessing and Combining Financial Conditions Indexes
   International Journal of Central Banking, 2017, 13, (1), 1-52 View citations (7)
   See also Working Paper Assessing and combining financial conditions indexes, Finance and Economics Discussion Series (2013) View citations (12) (2013)

2014

9. Macroeconomic uncertainty and the cross-section of option returns
   Journal of Financial Markets, 2014, 21, (C), 25-49 View citations (2)

2013

10. Dynamic factor Value-at-Risk for large heteroskedastic portfolios
    Journal of Banking & Finance, 2013, 37, (11), 4299-4309 View citations (16)
    See also Working Paper Dynamic factor value-at-risk for large, heteroskedastic portfolios, Finance and Economics Discussion Series (2011) View citations (9) (2011)