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Details about Lorenzo Cappiello

Workplace:European Central Bank, (more information at EDIRC)

Access statistics for papers by Lorenzo Cappiello.

Last updated 2007-09-28. Update your information in the RePEc Author Service.

Short-id: pca410

Jump to Journal Articles

Working Papers

2004

  1. The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles
    Econometric Society 2004 Latin American Meetings, Econometric Society Downloads View citations (1)

2000

  1. International CAPM with Regime Switching GARCH Parameters
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (8)

Journal Articles

2006

  1. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
    Journal of Financial Econometrics, 2006, 4, (4), 537-572 Downloads View citations (961)
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