Details about Andrea Cipollini
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Workplace: | Dipartimento di Scienze Economiche, Aziendali e Statistiche (Department of Economics, Business and Statistics), Università degli Studi di Palermo (University of Palermo), (more information at EDIRC) Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Dipartimento di Economia "Marco Biagi" (Department of Economics), Università degli Studi di Modena e Reggio Emilia (University of Modena and Reggio Emilia), (more information at EDIRC) Center for Economic Research (RECent), Dipartimento di Economia "Marco Biagi" (Department of Economics), Università degli Studi di Modena e Reggio Emilia (University of Modena and Reggio Emilia), (more information at EDIRC)
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Access statistics for papers by Andrea Cipollini.
Last updated 2020-11-25. Update your information in the RePEc Author Service.
Short-id: pci12
Jump to Journal Articles
Working Papers
2018
- Housing Market Shocks in Italy: a GVAR approach
Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (2)
See also Journal Article in Journal of Housing Economics (2020)
- Predicting Bond Betas using Macro-Finance Variables
Working Papers, Universitat Rovira i Virgili, Department of Economics 
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) 
See also Journal Article in Finance Research Letters (2019)
2015
- Financial connectedness among European volatility risk premia
Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (4)
2014
- Volatility risk premia and financial connectedness
Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" View citations (1)
2013
- Volatility co-movements: a time scale decomposition analysis
Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" 
See also Journal Article in Journal of Empirical Finance (2015)
2010
- Testing for Contagion: a Time-Scale Decomposition
Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi"
2009
- Leading indicator properties of US high-yield credit spreads
Working Papers, Universitat Rovira i Virgili, Department of Economics 
Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2007) 
See also Journal Article in Journal of Macroeconomics (2010)
- The impact of bank concentration on financial distress: the case of the European banking system
Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (16)
2008
- Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis
Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" View citations (4)
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2005) View citations (1) Working Papers, Queen Mary University of London, School of Economics and Finance (2005)  Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (1)
See also Journal Article in Journal of Empirical Finance (2009)
- Measuring bank capital requirements through Dynamic Factor analysis
Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" View citations (1)
2007
- Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling
MPRA Paper, University Library of Munich, Germany 
Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2007) View citations (1)
- Leading indicator properties of the US corporate spreads
Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group
2005
- Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis
Finance, University Library of Munich, Germany View citations (2)
- TESTING FOR FINANCIAL CONTAGION BETWEEN DEVELOPED AND EMERGING MARKETS DURING THE 1997 EAST ASIAN CRISIS
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University View citations (1)
See also Journal Article in International Journal of Finance & Economics (2005)
2004
- A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (4)
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2004) View citations (1)
See also Journal Article in Economics Letters (2008)
2003
- A Dynamic Factor Analysis of Financial Contagion in Asia
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003)
2002
- Monetary Policy and the Exchange Rate During the Asian Crisis Identification Through Heteroscedasticity
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (8)
See also Journal Article in Journal of International Money and Finance (2005)
Journal Articles
2020
- Housing market shocks in italy: A GVAR approach
Journal of Housing Economics, 2020, 50, (C) View citations (1)
See also Working Paper (2018)
- Macro-uncertainty and financial stress spillovers in the Eurozone
Economic Modelling, 2020, 89, (C), 546-558 View citations (2)
2019
- How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study
Energy Economics, 2019, 84, (C)
- Predicting bond betas using macro-finance variables
Finance Research Letters, 2019, 29, (C), 193-199 
See also Working Paper (2018)
2018
- Asymmetric semi-volatility spillover effects in EMU stock markets
International Review of Financial Analysis, 2018, 57, (C), 221-230 View citations (4)
- Credit demand and supply shocks in Italy during the Great Recession
Applied Economics, 2018, 50, (53), 5795-5813
- Risk aversion connectedness in five European countries
Economic Modelling, 2018, 71, (C), 68-79 View citations (1)
2016
- Can an unglamorous non-event affect prices? The role of newspapers
Cogent Economics & Finance, 2016, 4, (1), 1142847
2015
- The European sovereign debt market: from integration to segmentation
The European Journal of Finance, 2015, 21, (2), 111-128 View citations (15)
- Volatility co-movements: A time-scale decomposition analysis
Journal of Empirical Finance, 2015, 34, (C), 34-44 View citations (5)
See also Working Paper (2013)
2012
- Economic value, competition and financial distress in the European banking system
Journal of Banking & Finance, 2012, 36, (11), 3101-3109 View citations (18)
- Switching to floating exchange rates, devaluations, and stock returns in MENA countries
International Review of Financial Analysis, 2012, 21, (C), 119-127 View citations (4)
2011
- Exchange Rates and Stock Prices in the MENA Countries: What Role for Oil?
Review of Development Economics, 2011, 15, (4), 758-774 View citations (3)
2010
- Leading indicator properties of US high-yield credit spreads
Journal of Macroeconomics, 2010, 32, (1), 145-156 
See also Working Paper (2009)
- Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region
Journal of Emerging Market Finance, 2010, 9, (3), 257-284 View citations (2)
2009
- FISCAL READJUSTMENTS IN THE UNITED STATES: A NONLINEAR TIME‐SERIES ANALYSIS
Economic Inquiry, 2009, 47, (1), 34-54 View citations (15)
- Forecasting financial crises and contagion in Asia using dynamic factor analysis
Journal of Empirical Finance, 2009, 16, (2), 188-200 View citations (14)
See also Working Paper (2008)
2008
- A stochastic variance factor model for large datasets and an application to S&P data
Economics Letters, 2008, 100, (1), 130-134 View citations (8)
See also Working Paper (2004)
- Evaluating currency crises: the case of the European monetary system
Empirical Economics, 2008, 35, (1), 11-27 View citations (6)
2005
- Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity
Journal of International Money and Finance, 2005, 24, (1), 39-53 View citations (43)
See also Working Paper (2002)
- Testing for contagion: a conditional correlation analysis
Journal of Empirical Finance, 2005, 12, (3), 476-489 View citations (143)
- Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis
International Journal of Finance & Economics, 2005, 10, (4), 359-367 View citations (2)
See also Working Paper (2005)
2004
- Threshold Effects in the U.S. Budget Deficit
Economic Inquiry, 2004, 42, (2), 214-222 View citations (30)
2002
- Does Inflation Targeting Affect the Trade–off Between Output Gap and Inflation Variability?
Manchester School, 2002, 70, (4), 528-545 View citations (2)
- The Euro and Monetary Policy Transparency
Eastern Economic Journal, 2002, 28, (1), 59-70 View citations (4)
2001
- Testing For Government Intertemporal Solvency: A Smooth Transition Error Correction Model Approach
Manchester School, 2001, 69, (6), 643-655
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