Details about Pierangelo De Pace

Access statistics for papers by Pierangelo De Pace.

Last updated 2022-02-10. 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
2. Mildly Explosive Dynamics in U.S. Fixed Income Markets
   Economics Department, Working Paper Series, Economics Department, Pomona College View citations (1)
   Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2017) View citations (1)
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2020) View citations (1)
   See also Journal Article in European Journal of Operational Research (2020)
3. The International Spread of COVID-19 Stock Market Collapses
   Economics Department, Working Paper Series, Economics Department, Pomona College View citations (1)
   See also Journal Article in Finance Research Letters (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 in Journal of Empirical Finance (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 (2)
   See also Journal Article in Pacific Economic Review (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 in Economics Letters (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 in Journal of International Money and Finance (2013)

2008

9. Do European capital flows comove?
   Working Papers, Federal Reserve Bank of St. Louis
   See also Journal Article in The North American Journal of Economics and Finance (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

2021

1. The international spread of COVID-19 stock market collapses
   Finance Research Letters, 2021, 42, (C) View citations (7)
   See also Working Paper (2020)

2020

2. 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 (2020)

2016

3. Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment
   Energy Economics, 2016, 57, (C), 28-41 View citations (59)
4. 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

5. An international perspective on the recent behavior of inflation
   Review, 2014, 96, (3), 267-294 View citations (4)
6. How did the financial crisis alter the correlations of U.S. yield spreads?
   Journal of Empirical Finance, 2014, 28, (C), 362-385 View citations (15)
   See also Working Paper (2013)

2013

7. CURRENCY UNION, FREE-TRADE AREAS, AND BUSINESS CYCLE SYNCHRONIZATION
   Macroeconomic Dynamics, 2013, 17, (3), 646-680 View citations (19)
8. 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)
9. High yield spreads, real economic activity, and the financial accelerator
   Economics Letters, 2013, 121, (3), 346-355 View citations (12)
10. The cyclical properties of disaggregated capital flows
    Journal of International Money and Finance, 2013, 32, (C), 528-555 View citations (27)
    See also Working Paper (2009)

2012

11. (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 (3)
    See also Working Paper (2011)
12. Changes in the second-moment properties of disaggregated capital flows
    Economics Letters, 2012, 115, (1), 122-127 View citations (1)
    See also Working Paper (2010)

2009

13. Do European capital flows comove?
    The North American Journal of Economics and Finance, 2009, 20, (2), 145-161 View citations (5)
    See also Working Paper (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