Details about Giulio Cifarelli

Access statistics for papers by Giulio Cifarelli.

Last updated 2022-10-08. Update your information in the RePEc Author Service.

Short-id: pci45

Working Papers

2020

1. Endogenous and Exogenous Volatility in the Foreign Exchange Market
   Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa
2. 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

2018

3. 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 View citations (1)
4. Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Navigating the Oil Bubble: A Non-linear Heterogeneous-agent Dynamic Model of Futures Oil Pricing, The Energy Journal, International Association for Energy Economics (2021) (2021)
5. 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

2017

6. 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 View citations (1)
   See also Journal Article Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?, Research in International Business and Finance, Elsevier (2018) View citations (1) (2018)
7. 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
   Also in Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa (2017)

2016

8. 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

2014

9. 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

2013

10. 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

2012

11. 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 View citations (1)

2011

12. Hedging vs. speculative pressures on commodity futures returns
    MPRA Paper, University Library of Munich, Germany View citations (3)
13. 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

2010

14. 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
15. Oil and portfolio risk diversification
    MPRA Paper, University Library of Munich, Germany

2009

16. 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 View citations (4)
17. 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

2008

18. 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 View citations (6)
    See also Journal Article Oil price dynamics and speculation: A multivariate financial approach, Energy Economics, Elsevier (2010) View citations (161) (2010)

2007

19. 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 View citations (1)
    See also Journal Article The Buffer Stock Model Redux? An Analysis of the Dynamics of Foreign Reserve Accumulation, Open Economies Review, Springer (2009) View citations (1) (2009)

2004

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

2002

21. 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

Journal Articles

2021

1. Navigating the Oil Bubble: A Non-linear Heterogeneous-agent Dynamic Model of Futures Oil Pricing
   The Energy Journal, 2021, Volume 42, (Number 5)
   See also Working Paper Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing, MPRA Paper (2018) (2018)

2020

2. A non-linear analysis of the sovereign bank nexus in the EU
   The Journal of Economic Asymmetries, 2020, 21, (C) View citations (3)

2018

3. 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 View citations (1)
   See also Working Paper Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?, Working Papers - Economics (2017) View citations (1) (2017)

2016

4. 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
5. 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 View citations (9)

2015

6. A dynamic model of hedging and speculation in the commodity futures markets
   Journal of Financial Markets, 2015, 25, (C), 1-15 View citations (16)

2013

7. Smooth transition regime shifts and oil price dynamics
   Energy Economics, 2013, 38, (C), 160-167 View citations (6)

2012

8. Can oil diversify away the unpriced risk of a portfolio?
   International Journal of Finance & Economics, 2012, 17, (1), 73-88 View citations (5)
9. Exchange Rate Regimes and Reserve Policy: The Italian Lira, 1883–1911
   Open Economies Review, 2012, 23, (2), 253-275 View citations (7)

2010

10. Oil price dynamics and speculation: A multivariate financial approach
    Energy Economics, 2010, 32, (2), 363-372 View citations (161)
    See also Working Paper Oil price Dynamics and Speculation. A Multivariate Financial Approach, Working Papers - Economics (2008) View citations (6) (2008)

2009

11. The Buffer Stock Model Redux? An Analysis of the Dynamics of Foreign Reserve Accumulation
    Open Economies Review, 2009, 20, (4), 525-543 View citations (1)
    See also Working Paper The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation, Working Papers - Economics (2007) View citations (1) (2007)

2008

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

2006

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

2005

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

2004

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

2003

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

2001

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

1998

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

1995

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

1992

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