Details about Pierangelo De Pace
Access statistics for papers by Pierangelo De Pace.
Last updated 2023-05-10. Update your information in the RePEc Author Service.
Short-id: pde112
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Working Papers
2020
- Comovement and Instability in Cryptocurrency Markets
Economics Department, Working Paper Series, Economics Department, Pomona College View citations (1)
See also Journal Article Comovement and instability in cryptocurrency markets, International Review of Economics & Finance, Elsevier (2023) View citations (4) (2023)
- Mildly Explosive Dynamics in U.S. Fixed Income Markets
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
Also in Economics Department, Working Paper Series, Economics Department, Pomona College (2020) View citations (1) Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2017) View citations (1)
See also Journal Article Mildly explosive dynamics in U.S. fixed income markets, European Journal of Operational Research, Elsevier (2020) View citations (1) (2020)
- The International Spread of COVID-19 Stock Market Collapses
Economics Department, Working Paper Series, Economics Department, Pomona College View citations (5)
See also Journal Article The international spread of COVID-19 stock market collapses, Finance Research Letters, Elsevier (2021) View citations (26) (2021)
2014
- Co-movement of major commodity price returns: A time-series assessment
IFPRI discussion papers, International Food Policy Research Institute (IFPRI) View citations (4)
Also in Policy Research Working Paper Series, The World Bank (2014) View citations (3)
2013
- How did the financial crisis alter the correlations of U.S. yield spreads?
Working Papers, Federal Reserve Bank of St. Louis View citations (4)
See also Journal Article How did the financial crisis alter the correlations of U.S. yield spreads?, Journal of Empirical Finance, Elsevier (2014) View citations (18) (2014)
2011
- The (non-)resiliency of foreign direct investment in the United States during the 2007-2009 financial crisis
Working Papers, Federal Reserve Bank of St. Louis View citations (3)
See also Journal Article (NON-)RESILIENCY OF FOREIGN DIRECT INVESTMENT IN THE UNITED STATES DURING THE 2007–2009 FINANCIAL CRISIS, Pacific Economic Review, Wiley Blackwell (2012) View citations (4) (2012)
2010
- Changes in the Second-Moment Properties of Disaggregated Capital Flows
Fordham Economics Discussion Paper Series, Fordham University, Department of Economics 
Also in Working Papers, Federal Reserve Bank of St. Louis (2010) 
See also Journal Article Changes in the second-moment properties of disaggregated capital flows, Economics Letters, Elsevier (2012) View citations (1) (2012)
2009
- The Cyclical Properties of Disaggregated Capital Flows
Fordham Economics Discussion Paper Series, Fordham University, Department of Economics View citations (4)
Also in Working Papers, Federal Reserve Bank of St. Louis (2008) View citations (17)
See also Journal Article The cyclical properties of disaggregated capital flows, Journal of International Money and Finance, Elsevier (2013) View citations (34) (2013)
2008
- Do European capital flows comove?
Working Papers, Federal Reserve Bank of St. Louis View citations (2)
See also Journal Article Do European capital flows comove?, The North American Journal of Economics and Finance, Elsevier (2009) View citations (6) (2009)
2006
- Grid-Bootstrap Methods vs. Bayesian Analysis. Testing for Structural Breaks in the Conditional Variance of Nominal Interest Rate Spreads - Four Cases in Europe
Econometrics, University Library of Munich, Germany
2005
- An Enlarged Economic and Monetary Union: Effects and Policy Implications
Macroeconomics, University Library of Munich, Germany
Journal Articles
2023
- Comovement and instability in cryptocurrency markets
International Review of Economics & Finance, 2023, 83, (C), 173-200 View citations (4)
See also Working Paper Comovement and Instability in Cryptocurrency Markets, Economics Department, Working Paper Series (2020) View citations (1) (2020)
2021
- The international spread of COVID-19 stock market collapses
Finance Research Letters, 2021, 42, (C) View citations (26)
See also Working Paper The International Spread of COVID-19 Stock Market Collapses, Economics Department, Working Paper Series (2020) View citations (5) (2020)
2020
- Mildly explosive dynamics in U.S. fixed income markets
European Journal of Operational Research, 2020, 287, (2), 712-724 View citations (1)
See also Working Paper Mildly Explosive Dynamics in U.S. Fixed Income Markets, Working Papers (2020) View citations (1) (2020)
2016
- Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment
Energy Economics, 2016, 57, (C), 28-41 View citations (82)
- The time-varying leading properties of the high yield spread in the United States
International Journal of Forecasting, 2016, 32, (1), 203-230 View citations (4)
2014
- An international perspective on the recent behavior of inflation
Review, 2014, 96, (3), 267-294 View citations (4)
- How did the financial crisis alter the correlations of U.S. yield spreads?
Journal of Empirical Finance, 2014, 28, (C), 362-385 View citations (18)
See also Working Paper How did the financial crisis alter the correlations of U.S. yield spreads?, Working Papers (2013) View citations (4) (2013)
2013
- CURRENCY UNION, FREE-TRADE AREAS, AND BUSINESS CYCLE SYNCHRONIZATION
Macroeconomic Dynamics, 2013, 17, (3), 646-680 View citations (19)
- GROSS DOMESTIC PRODUCT GROWTH PREDICTIONS THROUGH THE YIELD SPREAD: TIME‐VARIATION AND STRUCTURAL BREAKS
International Journal of Finance & Economics, 2013, 18, (1), 1-24 View citations (9)
- High yield spreads, real economic activity, and the financial accelerator
Economics Letters, 2013, 121, (3), 346-355 View citations (12)
- The cyclical properties of disaggregated capital flows
Journal of International Money and Finance, 2013, 32, (C), 528-555 View citations (34)
See also Working Paper The Cyclical Properties of Disaggregated Capital Flows, Fordham Economics Discussion Paper Series (2009) View citations (4) (2009)
2012
- (NON-)RESILIENCY OF FOREIGN DIRECT INVESTMENT IN THE UNITED STATES DURING THE 2007–2009 FINANCIAL CRISIS
Pacific Economic Review, 2012, 17, (3), 368-390 View citations (4)
See also Working Paper The (non-)resiliency of foreign direct investment in the United States during the 2007-2009 financial crisis, Working Papers (2011) View citations (3) (2011)
- Changes in the second-moment properties of disaggregated capital flows
Economics Letters, 2012, 115, (1), 122-127 View citations (1)
See also Working Paper Changes in the Second-Moment Properties of Disaggregated Capital Flows, Fordham Economics Discussion Paper Series (2010) (2010)
2009
- Do European capital flows comove?
The North American Journal of Economics and Finance, 2009, 20, (2), 145-161 View citations (6)
See also Working Paper Do European capital flows comove?, Working Papers (2008) View citations (2) (2008)
Software Items
2022
- HFUL_HLIM: Stata module for heteroskedasticity-robust version of the Fuller estimator and jackknife version of the limited-information maximum likelihood estimator
Statistical Software Components, Boston College Department of Economics
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