Details about Antonio Di Cesare

Access statistics for papers by Antonio Di Cesare.

Last updated 2020-10-30. Update your information in the RePEc Author Service.

Short-id: pdi102

Working Papers

2018

1. A Survey of Systemic Risk Indicators
   Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (3)

2012

2. Recent estimates of sovereign risk premia for euro-area countries
   Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (110)
3. The Mathematics of the Relationship between the Default Risk and Yield-to-Maturity of Coupon Bonds
   Papers, arXiv.org View citations (1)

2011

4. Risk Measures for Autocorrelated Hedge Fund Returns
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2011)
   See also Journal Article Risk Measures for Autocorrelated Hedge Fund Returns, Journal of Financial Econometrics, Oxford University Press (2015) View citations (1) (2015)
5. The impact of sovereign credit risk on bank funding conditions
   MPRA Paper, University Library of Munich, Germany View citations (33)

2010

6. An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (21)

2009

7. Financial sector pro-cyclicality: lessons from the crisis
   Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (68)
8. Securitization and Bank Stability
   MPRA Paper, University Library of Munich, Germany View citations (2)

2006

9. Do market-based indicators anticipate rating agencies? Evidence for international banks
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (14)
   See also Journal Article Do Market‐based Indicators Anticipate Rating Agencies? Evidence for International Banks, Economic Notes, Banca Monte dei Paschi di Siena SpA (2006) View citations (15) (2006)

2004

10. Estimating expectations of shocks using option prices
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area

Journal Articles

2015

1. Risk Measures for Autocorrelated Hedge Fund Returns
   Journal of Financial Econometrics, 2015, 13, (4), 868-895 View citations (1)
   See also Working Paper Risk Measures for Autocorrelated Hedge Fund Returns, Tinbergen Institute Discussion Papers (2011) (2011)

2006

2. Do Market‐based Indicators Anticipate Rating Agencies? Evidence for International Banks
   Economic Notes, 2006, 35, (1), 121-150 View citations (15)
   See also Working Paper Do market-based indicators anticipate rating agencies? Evidence for international banks, Temi di discussione (Economic working papers) (2006) View citations (14) (2006)

2001

3. A simulation environment for discontinuous portfolio value processes
   Applied Stochastic Models in Business and Industry, 2001, 17, (1), 41-55 View citations (1)