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Details about Stefano d'Addona

E-mail:
Homepage:http://www.daddona.it
Workplace:Dipartimento di Scienze Politiche (Department of Political Science), Università degli Studi Roma Tre (University of Rome Tre), (more information at EDIRC)

Access statistics for papers by Stefano d'Addona.

Last updated 2018-11-22. Update your information in the RePEc Author Service.

Short-id: pda130


Jump to Journal Articles

Working Papers

2017

  1. Nonparametric estimates of pricing functionals
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of Empirical Finance (2017)
  2. The stability of tax elasticities over the business cycle in European countries
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads

2014

  1. TRADE MARGINS AND EXCHANGE RATE REGIMES: NEW EVIDENCE FROM A PANEL VARX MODEL
    Working Papers, CREI Università degli Studi Roma Tre Downloads View citations (3)

2013

  1. Trade margins and exchange rate regimes: new evidence from a panel VAR
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2012

  1. Business cycle determinants of US foreign direct investments
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in Applied Economics Letters (2013)
  2. Testing external habits in an asset pricing model
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (1)
    Also in Working Papers, CREI Università degli Studi Roma Tre (2009) Downloads View citations (1)
  3. The British opt-out from the European Monetary Union: empirical evidence from monetary policy rules
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    Also in Working Papers, CREI Università degli Studi Roma Tre (2011) Downloads View citations (1)

    See also Journal Article in Applied Financial Economics (2013)

2011

  1. ASSET PRICING AND THE ROLE OF MACROECONOMIC VOLATILITY
    Working Papers, CREI Università degli Studi Roma Tre Downloads
    See also Journal Article in Annals of Finance (2014)
  2. FORCED MANAGER TURNOVERS IN ENGLISH SOCCER LEAGUES: A LONG-TERM PERSPECTIVE
    Working Papers, CREI Università degli Studi Roma Tre Downloads
  3. LONG-RUN EVIDENCE USING MULTIFACTOR ASSET PRICING MODELS
    Working Papers, CREI Università degli Studi Roma Tre Downloads
  4. Multivariate heavy-tailed models for Value-at-Risk estimation
    Papers, arXiv.org Downloads
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2012)
  5. RATIONAL IGNORANCE IN LONG-RUN RISK MODELS
    Working Papers, CREI Università degli Studi Roma Tre Downloads
    See also Journal Article in International Journal of Business and Economics (2018)

2010

  1. Too Small or too Low? New Evidence on the 4-Factor Model
    Working Paper series, Rimini Centre for Economic Analysis Downloads

2007

  1. Information processing with recursive utility: some intriguing results
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen Downloads

2006

  1. Information Quality and Stock Returns Revisited
    Finance, University Library of Munich, Germany Downloads
    Also in University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005) Downloads

    See also Journal Article in Journal of Financial and Quantitative Analysis (2010)

2005

  1. International Stock-Bond Correlations in a Simple Affine Asset Pricing Model
    Finance, University Library of Munich, Germany Downloads View citations (3)
    See also Journal Article in Journal of Banking & Finance (2006)
  2. Time Varying Sensitivities on a GRID architecture
    Finance, University Library of Munich, Germany Downloads
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2007)

Journal Articles

2018

  1. Rational Ignorance in Long-run Risk Models
    International Journal of Business and Economics, 2018, 17, (1), 43-54 Downloads
    See also Working Paper (2011)

2017

  1. LONG-RUN RISK AND MONEY MARKET RATES: AN EMPIRICAL ASSESSMENT
    Macroeconomic Dynamics, 2017, 21, (4), 1096-1117 Downloads
  2. Nonparametric estimates of pricing functionals
    Journal of Empirical Finance, 2017, 44, (C), 19-35 Downloads
    See also Working Paper (2017)
  3. Output stabilization in fixed and floating regimes: Does trade of new products matter?
    Economic Modelling, 2017, 64, (C), 365-383 Downloads View citations (1)

2015

  1. Exchange rates as shock absorbers: The role of export margins
    Research in Economics, 2015, 69, (4), 582-602 Downloads View citations (4)

2014

  1. Asset pricing and the role of macroeconomic volatility
    Annals of Finance, 2014, 10, (2), 197-215 Downloads View citations (1)
    See also Working Paper (2011)
  2. Forced Manager Turnovers in English Soccer Leagues
    Journal of Sports Economics, 2014, 15, (2), 150-179 Downloads View citations (3)

2013

  1. Business cycle determinants of US foreign direct investments
    Applied Economics Letters, 2013, 20, (10), 966-970 Downloads View citations (2)
    See also Working Paper (2012)
  2. IS IGNORANCE BLISS? THE COST OF BUSINESS-CYCLE UNCERTAINTY
    Macroeconomic Dynamics, 2013, 17, (4), 728-746 Downloads
  3. Nominal and real volatility as determinants of FDI
    Applied Economics, 2013, 45, (18), 2603-2610 Downloads View citations (24)
  4. The British opt-out from the European Monetary Union: empirical evidence from monetary policy rules
    Applied Financial Economics, 2013, 23, (23), 1783-1795 Downloads View citations (1)
    See also Working Paper (2012)
  5. The Determinants of Risk Premia on the Italian Stock Market: Empirical Evidence on Common Factors in Asset Pricing Models
    Economic Notes, 2013, 42, (2), 103-133 Downloads

2012

  1. MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (04), 1-32 Downloads
    See also Working Paper (2011)

2010

  1. Information Quality and Stock Returns Revisited
    Journal of Financial and Quantitative Analysis, 2010, 45, (6), 1419-1446 Downloads View citations (1)
    See also Working Paper (2006)

2007

  1. A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
    International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (06), 1043-1075 Downloads View citations (5)
  2. TIME VARYING SENSITIVITIES ON A GRID ARCHITECTURE
    International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (02), 307-329 Downloads
    See also Working Paper (2005)

2006

  1. International stock-bond correlations in a simple affine asset pricing model
    Journal of Banking & Finance, 2006, 30, (10), 2747-2765 Downloads View citations (38)
    See also Working Paper (2005)

2002

  1. Problematiche di accesso delle Piccole e Medie Imprese all'innovazione finanziaria: il caso della "securitization"
    ECONOMIA E DIRITTO DEL TERZIARIO, 2002, 2002/2, (2) Downloads
 
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