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
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Working Papers
2020
- Comovement and Instability in Cryptocurrency Markets
Economics Department, Working Paper Series, Economics Department, Pomona College
- 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)
- 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
- 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 in Journal of Empirical Finance (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 (2)
See also Journal Article in Pacific Economic Review (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 in Economics Letters (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 in Journal of International Money and Finance (2013)
2008
- 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
- 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
2021
- The international spread of COVID-19 stock market collapses
Finance Research Letters, 2021, 42, (C) View citations (7)
See also Working Paper (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 (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 (59)
- 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 (15)
See also Working Paper (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 (27)
See also Working Paper (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 (3)
See also Working Paper (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 (2010)
2009
- 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
- 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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