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Details about Simone Manganelli

Homepage:http://www.simonemanganelli.org
Postal address:European Central Bank, DG-Research, Sonnemannstrasse 29, 60314, Frankfurt am Main GERMANY
Workplace:European Central Bank, (more information at EDIRC)

Access statistics for papers by Simone Manganelli.

Last updated 2023-05-08. Update your information in the RePEc Author Service.

Short-id: pma142


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Working Papers

2023

  1. Double conditioning: the hidden connection between Bayesian and classical statistics
    Working Paper Series, European Central Bank Downloads
  2. Estimating systemic risk for non-listed euro-area banks
    Working Paper Series, European Central Bank Downloads

2021

  1. A risk management perspective on macroprudential policy
    Working Paper Series, European Central Bank Downloads View citations (2)
  2. Statistical decision functions with judgment
    Working Paper Series, European Central Bank Downloads View citations (1)
  3. The risk management approach to macro-prudential policy
    Working Paper Series, European Central Bank Downloads View citations (12)

2020

  1. Covid-19 and rural landscape: the case of Italy
    Working Paper Series, European Central Bank Downloads View citations (14)
  2. Financial conditions, business cycle fluctuations and growth at risk
    Working Paper Series, European Central Bank Downloads View citations (4)
  3. Monetary Policy with Judgment
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (1)
    Also in Working Paper Series, European Central Bank (2020) Downloads View citations (1)

2019

  1. Deciding with Judgment
    Papers, arXiv.org Downloads
    Also in Working Paper Series, European Central Bank (2016) Downloads
  2. Forecasting and stress testing with quantile vector autoregression
    Working Paper Series, European Central Bank Downloads View citations (37)
    See also Journal Article Forecasting and stress testing with quantile vector autoregression, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2024) Downloads (2024)

2018

  1. Selecting models with judgment
    Working Paper Series, European Central Bank Downloads

2017

  1. The portfolio of euro area fund investors and ECB monetary policy announcements
    Working Paper Series, European Central Bank Downloads View citations (6)
    See also Journal Article The portfolio of euro area fund investors and ECB monetary policy announcements, Journal of International Money and Finance, Elsevier (2018) Downloads View citations (13) (2018)

2016

  1. Lending-of-last-resort is as lending-of-last-resort does: central bank liquidity provision and interbank market functioning in the euro area
    Working Paper Series, European Central Bank Downloads View citations (88)
    See also Journal Article Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area, Journal of Financial Intermediation, Elsevier (2016) Downloads View citations (80) (2016)
  2. Measuring Financial Fragmentation in the Euro Area Corporate Bond Market
    Working papers, Banque de France Downloads View citations (15)
    See also Journal Article Measuring Financial Fragmentation in the Euro Area Corporate Bond Market, JRFM, MDPI (2018) Downloads View citations (14) (2018)

2015

  1. Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
  2. Realized Bank Risk during the Great Recession
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)
    See also Journal Article Realized bank risk during the great recession, Journal of Financial Intermediation, Elsevier (2017) Downloads View citations (33) (2017)
  3. VAR for VaR: measuring tail dependence using multivariate regression quantiles
    Working Paper Series, European Central Bank Downloads View citations (164)
    Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2012) Downloads View citations (13)

    See also Journal Article VAR for VaR: Measuring tail dependence using multivariate regression quantiles, Journal of Econometrics, Elsevier (2015) Downloads View citations (149) (2015)

2014

  1. A high frequency assessment of the ECB securities markets programme
    Working Paper Series, European Central Bank Downloads View citations (63)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (9)

    See also Journal Article A High-Frequency assessment of the ECB Securities Markets Programme, Journal of the European Economic Association, European Economic Association (2017) Downloads View citations (54) (2017)
  2. Fragmentation in the euro overnight unsecured money market
    Working Paper Series, European Central Bank Downloads View citations (34)
    See also Journal Article Fragmentation in the Euro overnight unsecured money market, Economics Letters, Elsevier (2014) Downloads View citations (32) (2014)

2012

  1. Bank Risk during the Financial Crisis: Do business models matter?
    Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales) Downloads View citations (11)
    Also in Working Paper Series, European Central Bank (2011) Downloads View citations (149)

2011

  1. The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets
    Occasional Paper Series, European Central Bank Downloads View citations (78)

2010

  1. Finance and diversification
    Working Paper Series, European Central Bank Downloads
  2. Quantifying the Risk of Deflation
    EcoMod2004, EcoMod Downloads
    See also Journal Article Quantifying the Risk of Deflation, Journal of Money, Credit and Banking, Blackwell Publishing (2007) View citations (29) (2007)
  3. VAR for VaR: measuring systemic risk using multivariate regression quantiles
    MPRA Paper, University Library of Munich, Germany Downloads View citations (16)

2008

  1. Measuring financial integration in new EU Member States
    Occasional Paper Series, European Central Bank Downloads View citations (66)
  2. Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
    Working Paper Series, European Central Bank Downloads View citations (32)
  3. The impact of the euro on equity markets: a country and sector decomposition
    Working Paper Series, European Central Bank Downloads View citations (8)

2007

  1. Asset allocation by penalized least squares
    Working Paper Series, European Central Bank Downloads View citations (3)
  2. Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?
    Working Paper Series, European Central Bank Downloads View citations (42)
  3. The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    See also Journal Article The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan, Journal of Money, Credit and Banking, Blackwell Publishing (2008) Downloads View citations (21) (2008)

2006

  1. A new theory of forecasting
    Working Paper Series, European Central Bank Downloads View citations (3)
  2. Financial integration of new EU Member States
    Working Paper Series, European Central Bank Downloads View citations (71)
  3. The impact of the euro on financial markets
    Working Paper Series, European Central Bank Downloads View citations (37)

2005

  1. Measuring comovements by regression quantiles
    Working Paper Series, European Central Bank Downloads View citations (33)
    See also Journal Article Measuring Comovements by Regression Quantiles, Journal of Financial Econometrics, Oxford University Press (2014) Downloads View citations (20) (2014)

2004

  1. The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles
    Econometric Society 2004 Latin American Meetings, Econometric Society Downloads View citations (1)

2003

  1. The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (8)
    Also in Working Paper Series, European Central Bank (2003) Downloads View citations (13)
  2. The euro area financial system: structure, integration and policy initiatives
    Working Paper Series, European Central Bank Downloads View citations (142)
    See also Journal Article The Euro-area Financial System: Structure, Integration, and Policy Initiatives, Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited (2003) View citations (133) (2003)

2002

  1. Duration, volume and volatility impact of trades
    Working Paper Series, European Central Bank Downloads View citations (14)
    See also Journal Article Duration, volume and volatility impact of trades, Journal of Financial Markets, Elsevier (2005) Downloads View citations (89) (2005)
  2. Sensitivity Analysis of GARCH Models
    Computing in Economics and Finance 2002, Society for Computational Economics
  3. Sensitivity analysis of volatility: a new tool for risk management
    Working Paper Series, European Central Bank Downloads View citations (3)

2001

  1. Value at risk models in finance
    Working Paper Series, European Central Bank Downloads View citations (96)

2000

  1. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (47)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) Downloads View citations (52)

    See also Journal Article CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles, Journal of Business & Economic Statistics, American Statistical Association (2004) Downloads View citations (994) (2004)

1999

  1. CAViaR: Conditional Value at Risk by Quantile Regression
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (30)
  2. Modeling a Time-Varying Order Statistic
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads

Journal Articles

2024

  1. Forecasting and stress testing with quantile vector autoregression
    Journal of Applied Econometrics, 2024, 39, (1), 66-85 Downloads
    See also Working Paper Forecasting and stress testing with quantile vector autoregression, Working Paper Series (2019) Downloads View citations (37) (2019)

2021

  1. A novel risk management perspective for macroprudential policy
    Research Bulletin, 2021, 87.1 Downloads View citations (1)

2018

  1. Measuring Financial Fragmentation in the Euro Area Corporate Bond Market
    JRFM, 2018, 11, (4), 1-19 Downloads View citations (14)
    See also Working Paper Measuring Financial Fragmentation in the Euro Area Corporate Bond Market, Working papers (2016) Downloads View citations (15) (2016)
  2. The portfolio of euro area fund investors and ECB monetary policy announcements
    Journal of International Money and Finance, 2018, 89, (C), 103-126 Downloads View citations (13)
    See also Working Paper The portfolio of euro area fund investors and ECB monetary policy announcements, Working Paper Series (2017) Downloads View citations (6) (2017)

2017

  1. A High-Frequency assessment of the ECB Securities Markets Programme
    Journal of the European Economic Association, 2017, 15, (1), 218-243 Downloads View citations (54)
    See also Working Paper A high frequency assessment of the ECB securities markets programme, Working Paper Series (2014) Downloads View citations (63) (2014)
  2. Realized bank risk during the great recession
    Journal of Financial Intermediation, 2017, 32, (C), 29-44 Downloads View citations (33)
    See also Working Paper Realized Bank Risk during the Great Recession, International Finance Discussion Papers (2015) Downloads View citations (3) (2015)

2016

  1. Changes in financial fragmentation in the euro area since 2008
    Rue de la Banque, 2016, (28) Downloads
  2. Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area
    Journal of Financial Intermediation, 2016, 28, (C), 32-47 Downloads View citations (80)
    See also Working Paper Lending-of-last-resort is as lending-of-last-resort does: central bank liquidity provision and interbank market functioning in the euro area, Working Paper Series (2016) Downloads View citations (88) (2016)

2015

  1. Financial development, sectoral reallocation, and volatility: International evidence
    Journal of International Economics, 2015, 96, (2), 323-337 Downloads View citations (18)
  2. VAR for VaR: Measuring tail dependence using multivariate regression quantiles
    Journal of Econometrics, 2015, 187, (1), 169-188 Downloads View citations (149)
    See also Working Paper VAR for VaR: measuring tail dependence using multivariate regression quantiles, Working Paper Series (2015) Downloads View citations (164) (2015)

2014

  1. Comment
    Journal of Business & Economic Statistics, 2014, 32, (4), 506-509 Downloads
  2. Fragmentation in the Euro overnight unsecured money market
    Economics Letters, 2014, 125, (2), 298-302 Downloads View citations (32)
    See also Working Paper Fragmentation in the euro overnight unsecured money market, Working Paper Series (2014) Downloads View citations (34) (2014)
  3. Measuring Comovements by Regression Quantiles
    Journal of Financial Econometrics, 2014, 12, (4), 645-678 Downloads View citations (20)
    See also Working Paper Measuring comovements by regression quantiles, Working Paper Series (2005) Downloads View citations (33) (2005)

2013

  1. Financial dependence, global growth opportunities, and growth revisited
    Economics Letters, 2013, 120, (1), 123-125 Downloads View citations (21)

2012

  1. The impact of the Securities Markets Programme
    Research Bulletin, 2012, 17, 2-5 Downloads View citations (9)

2011

  1. New methodologies for systemic risk measurement
    Research Bulletin, 2011, 12, 2-6 Downloads

2010

  1. The Impact of the Euro on Equity Markets
    Journal of Financial and Quantitative Analysis, 2010, 45, (2), 473-502 Downloads View citations (26)

2009

  1. Forecasting With Judgment
    Journal of Business & Economic Statistics, 2009, 27, (4), 553-563 Downloads View citations (16)
  2. What drives spreads in the euro area government bond market?
    (What “hides” behind sovereign debt ratings?)
    Economic Policy, 2009, 24, (58), 191-240 Downloads View citations (217)

2008

  1. The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan
    Journal of Money, Credit and Banking, 2008, 40, (6), 1103-1129 Downloads View citations (21)
    Also in Journal of Money, Credit and Banking, 2008, 40, (6), 1103-1129 (2008) View citations (62)

    See also Working Paper The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan, CEPR Discussion Papers (2007) Downloads View citations (2) (2007)

2007

  1. Financial integration and capital flows in the new EU Member States
    Research Bulletin, 2007, 6, 5-7 Downloads
  2. Quantifying the Risk of Deflation
    Journal of Money, Credit and Banking, 2007, 39, (2-3), 561-590 View citations (29)
    Also in Journal of Money, Credit and Banking, 2007, 39, (2‐3), 561-590 (2007) Downloads View citations (4)

    See also Working Paper Quantifying the Risk of Deflation, EcoMod2004 (2010) Downloads (2010)

2005

  1. Duration, volume and volatility impact of trades
    Journal of Financial Markets, 2005, 8, (4), 377-399 Downloads View citations (89)
    See also Working Paper Duration, volume and volatility impact of trades, Working Paper Series (2002) Downloads View citations (14) (2002)

2004

  1. Asset Allocation by Variance Sensitivity Analysis
    Journal of Financial Econometrics, 2004, 2, (3), 370-389 Downloads View citations (12)
  2. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
    Journal of Business & Economic Statistics, 2004, 22, 367-381 Downloads View citations (994)
    See also Working Paper CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles, Econometric Society World Congress 2000 Contributed Papers (2000) Downloads View citations (47) (2000)

2003

  1. The Euro-area Financial System: Structure, Integration, and Policy Initiatives
    Oxford Review of Economic Policy, 2003, 19, (1), 180-213 View citations (133)
    See also Working Paper The euro area financial system: structure, integration and policy initiatives, Working Paper Series (2003) Downloads View citations (142) (2003)

Edited books

2017

  1. Achieving Financial Stability:Challenges to Prudential Regulation
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads

Chapters

2006

  1. Equity Market Integration of New EU Member States
    Chapter 25 in Financial Development, Integration and Stability, 2006 Downloads View citations (1)
 
Page updated 2024-06-16