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Details about Sirio Aramonte

Homepage:https://sites.google.com/site/sirioaramonte/home
Workplace:Bank for International Settlements (BIS), (more information at EDIRC)

Access statistics for papers by Sirio Aramonte.

Last updated 2020-03-03. Update your information in the RePEc Author Service.

Short-id: par562


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Working Papers

2019

  1. Measuring the Liquidity Profile of Mutual Funds
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads

2017

  1. Firm-Specific Risk-Neutral Distributions: The Role of CDS Spreads
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
  2. Synthetic ETFs
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads

2015

  1. Innovation, investor sentiment, and firm-level experimentation
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
  2. Institutions and return predictability in oil-exporting countries
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads
    See also Journal Article in The Quarterly Review of Economics and Finance (2019)
  3. 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.) Downloads View citations (28)

2013

  1. Assessing and combining financial conditions indexes
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (9)
    See also Journal Article in International Journal of Central Banking (2017)

2011

  1. Dynamic factor value-at-risk for large, heteroskedastic portfolios
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (4)
    See also Journal Article in Journal of Banking & Finance (2013)

Journal Articles

2019

  1. Institutions and return predictability in oil-exporting countries
    The Quarterly Review of Economics and Finance, 2019, 71, (C), 14-26 Downloads
    See also Working Paper (2015)
  2. OTC derivatives: euro exposures rise and central clearing advances
    BIS Quarterly Review, 2019 Downloads View citations (3)

2017

  1. Assessing and Combining Financial Conditions Indexes
    International Journal of Central Banking, 2017, 13, (1), 1-52 Downloads
    See also Working Paper (2013)

2014

  1. Macroeconomic uncertainty and the cross-section of option returns
    Journal of Financial Markets, 2014, 21, (C), 25-49 Downloads

2013

  1. Dynamic factor Value-at-Risk for large heteroskedastic portfolios
    Journal of Banking & Finance, 2013, 37, (11), 4299-4309 Downloads View citations (10)
    See also Working Paper (2011)
 
Page updated 2020-03-28