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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)

Access statistics for papers by Andrea Cipollini.

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

Short-id: pci12


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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" Downloads View citations (2)
    See also Journal Article in Journal of Housing Economics (2020)
  2. Predicting Bond Betas using Macro-Finance Variables
    Working Papers, Universitat Rovira i Virgili, Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) Downloads

    See also Journal Article in Finance Research Letters (2019)

2015

  1. 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" Downloads View citations (4)

2014

  1. Volatility risk premia and financial connectedness
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" Downloads View citations (1)

2013

  1. 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" Downloads
    See also Journal Article in Journal of Empirical Finance (2015)

2010

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

2009

  1. Leading indicator properties of US high-yield credit spreads
    Working Papers, Universitat Rovira i Virgili, Department of Economics Downloads
    Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2007) Downloads

    See also Journal Article in Journal of Macroeconomics (2010)
  2. 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" Downloads View citations (16)

2008

  1. 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" Downloads View citations (4)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2005) Downloads View citations (1)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2005) Downloads
    Computing in Economics and Finance 2006, Society for Computational Economics (2006) Downloads View citations (1)

    See also Journal Article in Journal of Empirical Finance (2009)
  2. Measuring bank capital requirements through Dynamic Factor analysis
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" Downloads View citations (1)

2007

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

2005

  1. Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis
    Finance, University Library of Munich, Germany Downloads View citations (2)
  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 Downloads View citations (1)
    See also Journal Article in International Journal of Finance & Economics (2005)

2004

  1. 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 Downloads View citations (4)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads View citations (1)

    See also Journal Article in Economics Letters (2008)

2003

  1. A Dynamic Factor Analysis of Financial Contagion in Asia
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads

2002

  1. 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 Downloads View citations (8)
    See also Journal Article in Journal of International Money and Finance (2005)

Journal Articles

2020

  1. Housing market shocks in italy: A GVAR approach
    Journal of Housing Economics, 2020, 50, (C) Downloads View citations (1)
    See also Working Paper (2018)
  2. Macro-uncertainty and financial stress spillovers in the Eurozone
    Economic Modelling, 2020, 89, (C), 546-558 Downloads View citations (2)

2019

  1. How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study
    Energy Economics, 2019, 84, (C) Downloads
  2. Predicting bond betas using macro-finance variables
    Finance Research Letters, 2019, 29, (C), 193-199 Downloads
    See also Working Paper (2018)

2018

  1. Asymmetric semi-volatility spillover effects in EMU stock markets
    International Review of Financial Analysis, 2018, 57, (C), 221-230 Downloads View citations (4)
  2. Credit demand and supply shocks in Italy during the Great Recession
    Applied Economics, 2018, 50, (53), 5795-5813 Downloads
  3. Risk aversion connectedness in five European countries
    Economic Modelling, 2018, 71, (C), 68-79 Downloads View citations (1)

2016

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

2015

  1. The European sovereign debt market: from integration to segmentation
    The European Journal of Finance, 2015, 21, (2), 111-128 Downloads View citations (15)
  2. Volatility co-movements: A time-scale decomposition analysis
    Journal of Empirical Finance, 2015, 34, (C), 34-44 Downloads View citations (5)
    See also Working Paper (2013)

2012

  1. Economic value, competition and financial distress in the European banking system
    Journal of Banking & Finance, 2012, 36, (11), 3101-3109 Downloads View citations (18)
  2. Switching to floating exchange rates, devaluations, and stock returns in MENA countries
    International Review of Financial Analysis, 2012, 21, (C), 119-127 Downloads View citations (4)

2011

  1. Exchange Rates and Stock Prices in the MENA Countries: What Role for Oil?
    Review of Development Economics, 2011, 15, (4), 758-774 Downloads View citations (3)

2010

  1. Leading indicator properties of US high-yield credit spreads
    Journal of Macroeconomics, 2010, 32, (1), 145-156 Downloads
    See also Working Paper (2009)
  2. Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region
    Journal of Emerging Market Finance, 2010, 9, (3), 257-284 Downloads View citations (2)

2009

  1. FISCAL READJUSTMENTS IN THE UNITED STATES: A NONLINEAR TIME‐SERIES ANALYSIS
    Economic Inquiry, 2009, 47, (1), 34-54 Downloads View citations (15)
  2. Forecasting financial crises and contagion in Asia using dynamic factor analysis
    Journal of Empirical Finance, 2009, 16, (2), 188-200 Downloads View citations (14)
    See also Working Paper (2008)

2008

  1. A stochastic variance factor model for large datasets and an application to S&P data
    Economics Letters, 2008, 100, (1), 130-134 Downloads View citations (8)
    See also Working Paper (2004)
  2. Evaluating currency crises: the case of the European monetary system
    Empirical Economics, 2008, 35, (1), 11-27 Downloads View citations (6)

2005

  1. Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity
    Journal of International Money and Finance, 2005, 24, (1), 39-53 Downloads View citations (43)
    See also Working Paper (2002)
  2. Testing for contagion: a conditional correlation analysis
    Journal of Empirical Finance, 2005, 12, (3), 476-489 Downloads View citations (143)
  3. 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 Downloads View citations (2)
    See also Working Paper (2005)

2004

  1. Threshold Effects in the U.S. Budget Deficit
    Economic Inquiry, 2004, 42, (2), 214-222 Downloads View citations (30)

2002

  1. Does Inflation Targeting Affect the Trade–off Between Output Gap and Inflation Variability?
    Manchester School, 2002, 70, (4), 528-545 Downloads View citations (2)
  2. The Euro and Monetary Policy Transparency
    Eastern Economic Journal, 2002, 28, (1), 59-70 Downloads View citations (4)

2001

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