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

Working Papers

2020

1. 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)
2. 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 Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2017) View citations (1)
   Economics Department, Working Paper Series, Economics Department, Pomona College (2020) 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)
3. 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

4. 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

5. 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 (19) (2014)

2011

6. 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

7. 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

8. 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

9. 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

10. 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

11. An Enlarged Economic and Monetary Union: Effects and Policy Implications
    Macroeconomics, University Library of Munich, Germany

Journal Articles

2023

1. 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

2. 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

3. 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

4. Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment
   Energy Economics, 2016, 57, (C), 28-41 View citations (84)
5. 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

6. An international perspective on the recent behavior of inflation
   Review, 2014, 96, (3), 267-294 View citations (4)
7. How did the financial crisis alter the correlations of U.S. yield spreads?
   Journal of Empirical Finance, 2014, 28, (C), 362-385 View citations (19)
   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

8. CURRENCY UNION, FREE-TRADE AREAS, AND BUSINESS CYCLE SYNCHRONIZATION
   Macroeconomic Dynamics, 2013, 17, (3), 646-680 View citations (19)
9. 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)
10. High yield spreads, real economic activity, and the financial accelerator
    Economics Letters, 2013, 121, (3), 346-355 View citations (12)
11. 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

12. (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)
13. 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

14. 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

1. 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