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Details about Giulio Cifarelli

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Workplace:Dipartimento di Scienze per l'Economia e l'Impresa (Department of Economics and Management), Scuola di Economia e Management (Florence School of Economics and Management), Università degli Studi di Firenze (University of Florence), (more information at EDIRC)

Access statistics for papers by Giulio Cifarelli.

Last updated 2022-02-03. Update your information in the RePEc Author Service.

Short-id: pci45


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Working Papers

2020

  1. Structural Interdependence of Price and Demand in a Model of the Foreign Exchange Market with Heterogeneous Speculators: Evidence from High-frequency Data
    Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads

2018

  1. Can the interaction between a single long-term attractor and heterogeneous trading explain exchange rate behaviour? A nonlinear econometric investigation
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Sovereign - bank risk interconnections during the Greek financial crisis and the role of the Italian debt
    Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads

2017

  1. Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?
    Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads View citations (1)
    See also Journal Article in Research in International Business and Finance (2018)
  2. On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa (2017) Downloads

2016

  1. The impact of unconventional monetary policy on the sovereign bank nexus within and across EU countries. A time-varying conditional correlation analysis
    Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads

2014

  1. One size does not fit all. A non-linear analysis of European monetary transmission
    Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads

2013

  1. Speculative Cotton Pricing in the 1920s. A Nonlinear Tale of Noise Traders and Fundamentalists
    Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads

2012

  1. An Assessment of the Theory of Storage: Has the Relationship between Commodity Price Volatility and Market Fundamentals Changed Over Time?
    Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads View citations (1)

2011

  1. Hedging vs. speculative pressures on commodity futures returns
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  2. Nonlinear Regime Shifts in Oil Price Hedging Dynamics
    Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads

2010

  1. Commodity Futures Returns: A Non Linear Markov Regime Switching Model of Hedging and Speculative Pressures
    Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads
  2. Oil and portfolio risk diversification
    MPRA Paper, University Library of Munich, Germany Downloads

2009

  1. Exchange Rate Regimes and Reserve Policy on the Periphery: The Italian Lira 1883-1911
    Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads View citations (4)
  2. Is Oil A Financial Asset? An Empirical Investigation Spanning the Last Fifteen Years
    Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads

2008

  1. Oil price Dynamics and Speculation. A Multivariate Financial Approach
    Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads View citations (5)
    See also Journal Article in Energy Economics (2010)

2007

  1. The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation
    Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa Downloads
    See also Journal Article in Open Economies Review (2009)

2004

  1. Yes, implied volatilities are not informationally efficient: an empirical estimate using options on interest rate futures contracts
    MPRA Paper, University Library of Munich, Germany Downloads

2002

  1. The information content of implied volatilities of options on eurodeposit futures traded on the LIFFE: is there long memory?
    MPRA Paper, University Library of Munich, Germany Downloads

Journal Articles

2020

  1. A non-linear analysis of the sovereign bank nexus in the EU
    The Journal of Economic Asymmetries, 2020, 21, (C) Downloads View citations (1)

2018

  1. Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?
    Research in International Business and Finance, 2018, 46, (C), 313-323 Downloads View citations (1)
    See also Working Paper (2017)

2016

  1. Speculative pricing in the Liverpool cotton futures market: a nonlinear tale of noise traders and fundamentalists from the 1920s
    Cliometrica, Journal of Historical Economics and Econometric History, 2016, 10, (1), 31-54 Downloads
  2. Time-varying mark-up and the ECB monetary policy transmission in a highly non linear framework
    International Review of Economics & Finance, 2016, 45, (C), 247-262 Downloads View citations (9)

2015

  1. A dynamic model of hedging and speculation in the commodity futures markets
    Journal of Financial Markets, 2015, 25, (C), 1-15 Downloads View citations (11)

2013

  1. Smooth transition regime shifts and oil price dynamics
    Energy Economics, 2013, 38, (C), 160-167 Downloads View citations (5)

2012

  1. Can oil diversify away the unpriced risk of a portfolio?
    International Journal of Finance & Economics, 2012, 17, (1), 73-88 View citations (3)
  2. Exchange Rate Regimes and Reserve Policy: The Italian Lira, 1883–1911
    Open Economies Review, 2012, 23, (2), 253-275 Downloads View citations (7)

2010

  1. Oil price dynamics and speculation: A multivariate financial approach
    Energy Economics, 2010, 32, (2), 363-372 Downloads View citations (123)
    See also Working Paper (2008)

2009

  1. The Buffer Stock Model Redux? An Analysis of the Dynamics of Foreign Reserve Accumulation
    Open Economies Review, 2009, 20, (4), 525-543 Downloads View citations (1)
    See also Working Paper (2007)

2008

  1. Reserve overstocking in a highly integrated world. New evidence from Asia and Latin America
    The European Journal of Finance, 2008, 14, (4), 315-336 Downloads View citations (1)

2006

  1. Volatility co-movements between emerging sovereign bonds: Is there segmentation between geographical areas?
    Global Finance Journal, 2006, 16, (3), 245-263 Downloads View citations (18)

2005

  1. Volatility linkages across three major equity markets: A financial arbitrage approach
    Journal of International Money and Finance, 2005, 24, (3), 413-439 Downloads View citations (11)

2004

  1. The impact of the Argentine default on volatility co-movements in emerging bond markets
    Emerging Markets Review, 2004, 5, (4), 427-446 Downloads View citations (11)

2003

  1. Spreads on Emerging-Market Debt: Global vs. Regional Factors
    Economia Internazionale / International Economics, 2003, 56, (2), 255-286

2001

  1. Introduction
    The European Journal of Finance, 2001, 7, (4), 286-288 Downloads
  2. Volatility spillovers and the role of leading financial centres
    BNL Quarterly Review, 2001, 54, (216), 37-71 Downloads
    Also in Banca Nazionale del Lavoro Quarterly Review, 2001, 54, (216), 37-71 (2001) Downloads

1998

  1. The BTP Futures Contracts: Interest Rate Risk Hedging and Exchange Rate Crises
    Giornale degli Economisti, 1998, 57, (2), 189-211
  2. The exchange rate crisis of September 1992 and the pricing of Italian financial futures
    Journal of Futures Markets, 1998, 18, (7), 827-849 Downloads View citations (1)

1995

  1. Fundamentals, regime shifts, and dollar behavior in the 1980s
    Open Economies Review, 1995, 6, (1), 29-48 Downloads View citations (1)

1992

  1. Exchange Rate Market Efficiency Tests and Cointegration Analysis
    Economia Internazionale / International Economics, 1992, 45, (2), 197-208
 
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