Details about Stefano d'Addona

Access statistics for papers by Stefano d'Addona.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pda130

Working Papers

2017

1. Nonparametric estimates of pricing functionals
   Papers, arXiv.org View citations (3)
   See also Journal Article Nonparametric estimates of pricing functionals, Journal of Empirical Finance, Elsevier (2017) View citations (1) (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 View citations (1)

2013

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

2012

4. Business cycle determinants of US foreign direct investments
   MPRA Paper, University Library of Munich, Germany View citations (2)
   See also Journal Article Business cycle determinants of US foreign direct investments, Applied Economics Letters, Taylor & Francis Journals (2013) View citations (4) (2013)
5. 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 View citations (1)
6. The British opt-out from the European Monetary Union: empirical evidence from monetary policy rules
   CEIS Research Paper, Tor Vergata University, CEIS
   See also Journal Article The British opt-out from the European Monetary Union: empirical evidence from monetary policy rules, Applied Financial Economics, Taylor & Francis Journals (2013) View citations (1) (2013)

2011

7. Multivariate heavy-tailed models for Value-at-Risk estimation
   Papers, arXiv.org
   See also Journal Article MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2012) View citations (2) (2012)

2010

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

2007

9. 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

2006

10. Information Quality and Stock Returns Revisited
    Finance, University Library of Munich, Germany
    Also in University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005)
    See also Journal Article Information Quality and Stock Returns Revisited, Journal of Financial and Quantitative Analysis, Cambridge University Press (2010) View citations (2) (2010)

2005

11. International Stock-Bond Correlations in a Simple Affine Asset Pricing Model
    Finance, University Library of Munich, Germany View citations (3)
    See also Journal Article International stock-bond correlations in a simple affine asset pricing model, Journal of Banking & Finance, Elsevier (2006) View citations (38) (2006)
12. Time Varying Sensitivities on a GRID architecture
    Finance, University Library of Munich, Germany
    See also Journal Article TIME VARYING SENSITIVITIES ON A GRID ARCHITECTURE, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2007) (2007)

Journal Articles

2018

1. Rational Ignorance in Long-run Risk Models
   International Journal of Business and Economics, 2018, 17, (1), 43-54

2017

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

2015

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

2014

6. Asset pricing and the role of macroeconomic volatility
   Annals of Finance, 2014, 10, (2), 197-215 View citations (1)
7. Forced Manager Turnovers in English Soccer Leagues
   Journal of Sports Economics, 2014, 15, (2), 150-179 View citations (9)

2013

8. Business cycle determinants of US foreign direct investments
   Applied Economics Letters, 2013, 20, (10), 966-970 View citations (4)
   See also Working Paper Business cycle determinants of US foreign direct investments, MPRA Paper (2012) View citations (2) (2012)
9. IS IGNORANCE BLISS? THE COST OF BUSINESS-CYCLE UNCERTAINTY
   Macroeconomic Dynamics, 2013, 17, (4), 728-746
10. Nominal and real volatility as determinants of FDI
    Applied Economics, 2013, 45, (18), 2603-2610 View citations (37)
11. The British opt-out from the European Monetary Union: empirical evidence from monetary policy rules
    Applied Financial Economics, 2013, 23, (23), 1783-1795 View citations (1)
    See also Working Paper The British opt-out from the European Monetary Union: empirical evidence from monetary policy rules, CEIS Research Paper (2012) (2012)
12. 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 View citations (1)

2012

13. MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (04), 1-32 View citations (2)
    See also Working Paper Multivariate heavy-tailed models for Value-at-Risk estimation, Papers (2011) (2011)

2010

14. Information Quality and Stock Returns Revisited
    Journal of Financial and Quantitative Analysis, 2010, 45, (6), 1419-1446 View citations (2)
    See also Working Paper Information Quality and Stock Returns Revisited, Finance (2006) (2006)

2007

15. 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 View citations (6)
16. TIME VARYING SENSITIVITIES ON A GRID ARCHITECTURE
    International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (02), 307-329
    See also Working Paper Time Varying Sensitivities on a GRID architecture, Finance (2005) (2005)

2006

17. International stock-bond correlations in a simple affine asset pricing model
    Journal of Banking & Finance, 2006, 30, (10), 2747-2765 View citations (38)
    See also Working Paper International Stock-Bond Correlations in a Simple Affine Asset Pricing Model, Finance (2005) View citations (3) (2005)

2002

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