Details about Andrea Cipollini

Access statistics for papers by Andrea Cipollini.

Last updated 2020-11-25. Update your information in the RePEc Author Service.

Short-id: pci12

Working Papers

2018

1. 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 (7)
   See also Journal Article Housing market shocks in italy: A GVAR approach, Journal of Housing Economics, Elsevier (2020) View citations (3) (2020)
2. 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 Predicting bond betas using macro-finance variables, Finance Research Letters, Elsevier (2019) View citations (2) (2019)

2015

3. 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 (11)

2014

4. 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

5. 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" View citations (20)
   See also Journal Article Volatility co-movements: A time-scale decomposition analysis, Journal of Empirical Finance, Elsevier (2015) View citations (9) (2015)

2010

6. Testing for Contagion: a Time-Scale Decomposition
   Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi"

2009

7. 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 Leading indicator properties of US high-yield credit spreads, Journal of Macroeconomics, Elsevier (2010) (2010)
8. 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 (43)

2008

9. 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 Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (1)
   Working Papers, Queen Mary University of London, School of Economics and Finance (2005)
   See also Journal Article Forecasting financial crises and contagion in Asia using dynamic factor analysis, Journal of Empirical Finance, Elsevier (2009) View citations (24) (2009)
10. 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

11. Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (1)
12. Leading indicator properties of the US corporate spreads
    Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group

2005

13. Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis
    Finance, University Library of Munich, Germany View citations (3)
14. 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
    See also Journal Article Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2005) View citations (5) (2005)

2004

15. 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 (3)
    See also Journal Article A stochastic variance factor model for large datasets and an application to S&P data, Economics Letters, Elsevier (2008) View citations (11) (2008)

2003

16. A Dynamic Factor Analysis of Financial Contagion in Asia
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)

2002

17. 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 (9)
    See also Journal Article Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity, Journal of International Money and Finance, Elsevier (2005) View citations (53) (2005)

Journal Articles

2020

1. Housing market shocks in italy: A GVAR approach
   Journal of Housing Economics, 2020, 50, (C) View citations (3)
   See also Working Paper Housing Market Shocks in Italy: a GVAR approach, Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) (2018) View citations (7) (2018)
2. Macro-uncertainty and financial stress spillovers in the Eurozone
   Economic Modelling, 2020, 89, (C), 546-558 View citations (7)

2019

3. How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study
   Energy Economics, 2019, 84, (C) View citations (20)
4. Predicting bond betas using macro-finance variables
   Finance Research Letters, 2019, 29, (C), 193-199 View citations (2)
   See also Working Paper Predicting Bond Betas using Macro-Finance Variables, Working Papers (2018) (2018)

2018

5. Asymmetric semi-volatility spillover effects in EMU stock markets
   International Review of Financial Analysis, 2018, 57, (C), 221-230 View citations (15)
6. Credit demand and supply shocks in Italy during the Great Recession
   Applied Economics, 2018, 50, (53), 5795-5813 View citations (1)
7. Risk aversion connectedness in five European countries
   Economic Modelling, 2018, 71, (C), 68-79 View citations (5)

2016

8. Can an unglamorous non-event affect prices? The role of newspapers
   Cogent Economics & Finance, 2016, 4, (1), 1142847

2015

9. The European sovereign debt market: from integration to segmentation
   The European Journal of Finance, 2015, 21, (2), 111-128 View citations (21)
10. Volatility co-movements: A time-scale decomposition analysis
    Journal of Empirical Finance, 2015, 34, (C), 34-44 View citations (9)
    See also Working Paper Volatility co-movements: a time scale decomposition analysis, Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) (2013) View citations (20) (2013)

2012

11. Economic value, competition and financial distress in the European banking system
    Journal of Banking & Finance, 2012, 36, (11), 3101-3109 View citations (31)
12. Switching to floating exchange rates, devaluations, and stock returns in MENA countries
    International Review of Financial Analysis, 2012, 21, (C), 119-127 View citations (6)

2011

13. Exchange Rates and Stock Prices in the MENA Countries: What Role for Oil?
    Review of Development Economics, 2011, 15, (4), 758-774 View citations (9)

2010

14. Leading indicator properties of US high-yield credit spreads
    Journal of Macroeconomics, 2010, 32, (1), 145-156
    See also Working Paper Leading indicator properties of US high-yield credit spreads, Working Papers (2009) (2009)
15. Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region
    Journal of Emerging Market Finance, 2010, 9, (3), 257-284 View citations (7)

2009

16. FISCAL READJUSTMENTS IN THE UNITED STATES: A NONLINEAR TIME‐SERIES ANALYSIS
    Economic Inquiry, 2009, 47, (1), 34-54 View citations (15)
17. Forecasting financial crises and contagion in Asia using dynamic factor analysis
    Journal of Empirical Finance, 2009, 16, (2), 188-200 View citations (24)
    See also Working Paper Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis, Center for Economic Research (RECent) (2008) View citations (4) (2008)

2008

18. A stochastic variance factor model for large datasets and an application to S&P data
    Economics Letters, 2008, 100, (1), 130-134 View citations (11)
    See also Working Paper A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data, Working Papers (2004) View citations (3) (2004)
19. Evaluating currency crises: the case of the European monetary system
    Empirical Economics, 2008, 35, (1), 11-27 View citations (8)

2005

20. 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 (53)
    See also Working Paper Monetary Policy and the Exchange Rate During the Asian Crisis Identification Through Heteroscedasticity, Discussion Papers in Economics (2002) View citations (9) (2002)
21. Testing for contagion: a conditional correlation analysis
    Journal of Empirical Finance, 2005, 12, (3), 476-489 View citations (162)
22. 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 (5)
    See also Working Paper TESTING FOR FINANCIAL CONTAGION BETWEEN DEVELOPED AND EMERGING MARKETS DURING THE 1997 EAST ASIAN CRISIS, Economics and Finance Discussion Papers (2005) (2005)

2004

23. Threshold Effects in the U.S. Budget Deficit
    Economic Inquiry, 2004, 42, (2), 214-222 View citations (36)

2002

24. Does Inflation Targeting Affect the Trade–off Between Output Gap and Inflation Variability?
    Manchester School, 2002, 70, (4), 528-545 View citations (17)
25. The Euro and Monetary Policy Transparency
    Eastern Economic Journal, 2002, 28, (1), 59-70 View citations (4)

2001

26. Testing For Government Intertemporal Solvency: A Smooth Transition Error Correction Model Approach
    Manchester School, 2001, 69, (6), 643-655 View citations (24)