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Details about Simone Manganelli

E-mail:
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 2019-03-24. Update your information in the RePEc Author Service.

Short-id: pma142


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Working Papers

2019

  1. Deciding with Judgment
    Papers, arXiv.org Downloads
    Also in Working Paper Series, European Central Bank (2016) Downloads

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 (3)
    See also Journal Article in Journal of International Money and Finance (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 (41)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (1)

    See also Journal Article in Journal of Financial Intermediation (2016)
  2. Measuring Financial Fragmentation in the Euro Area Corporate Bond Market
    Working papers, Banque de France Downloads View citations (12)
    See also Journal Article in Journal of Risk and Financial Management (2018)

2015

  1. Realized Bank Risk during the Great Recession
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)
    See also Journal Article in Journal of Financial Intermediation (2017)
  2. VAR for VaR: measuring tail dependence using multivariate regression quantiles
    Working Paper Series, European Central Bank Downloads View citations (43)
    Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2012) Downloads View citations (11)

    See also Journal Article in Journal of Econometrics (2015)

2014

  1. A high frequency assessment of the ECB securities markets programme
    Working Paper Series, European Central Bank Downloads View citations (56)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (4)

    See also Journal Article in Journal of the European Economic Association (2017)
  2. Fragmentation in the euro overnight unsecured money market
    Working Paper Series, European Central Bank Downloads View citations (25)
    See also Journal Article in Economics Letters (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 (4)
    Also in Working Paper Series, European Central Bank (2011) Downloads View citations (72)

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 (57)

2010

  1. Finance and diversification
    Working Paper Series, European Central Bank Downloads
  2. VAR for VaR: measuring systemic risk using multivariate regression quantiles
    MPRA Paper, University Library of Munich, Germany Downloads View citations (9)

2008

  1. Measuring financial integration in new EU Member States
    Occasional Paper Series, European Central Bank Downloads View citations (50)
  2. Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
    Working Paper Series, European Central Bank Downloads View citations (19)
  3. The impact of the euro on equity markets: a country and sector decomposition
    Working Paper Series, European Central Bank Downloads View citations (5)

2007

  1. Asset allocation by penalized least squares
    Working Paper Series, European Central Bank Downloads View citations (2)
  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 (23)
  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 in Journal of Money, Credit and Banking (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 (58)
  3. The impact of the euro on financial markets
    Working Paper Series, European Central Bank Downloads View citations (35)

2005

  1. Measuring comovements by regression quantiles
    Working Paper Series, European Central Bank Downloads View citations (30)
    See also Journal Article in Journal of Financial Econometrics (2014)

2004

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

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 (4)
    Also in Working Paper Series, European Central Bank (2003) Downloads View citations (8)
  2. The euro area financial system: structure, integration and policy initiatives
    Working Paper Series, European Central Bank Downloads View citations (86)
    See also Journal Article in Oxford Review of Economic Policy (2003)

2002

  1. Duration, volume and volatility impact of trades
    Working Paper Series, European Central Bank Downloads View citations (10)
    See also Journal Article in Journal of Financial Markets (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 (58)

2000

  1. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (46)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) Downloads View citations (41)

    See also Journal Article in Journal of Business & Economic Statistics (2004)

1999

  1. CAViaR: Conditional Value at Risk by Quantile Regression
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (26)
  2. Modeling a Time-Varying Order Statistic
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads

Undated

  1. Quantifying the Risk of Deflation
    EcoMod2004, EcoMod Downloads
    See also Journal Article in Journal of Money, Credit and Banking (2007)

Journal Articles

2018

  1. Measuring Financial Fragmentation in the Euro Area Corporate Bond Market
    Journal of Risk and Financial Management, 2018, 11, (4), 1-19 Downloads View citations (1)
    See also Working Paper (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
    See also Working Paper (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 (15)
    See also Working Paper (2014)
  2. Realized bank risk during the great recession
    Journal of Financial Intermediation, 2017, 32, (C), 29-44 Downloads View citations (9)
    See also Working Paper (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 (42)
    See also Working Paper (2016)

2015

  1. Financial development, sectoral reallocation, and volatility: International evidence
    Journal of International Economics, 2015, 96, (2), 323-337 Downloads View citations (8)
  2. VAR for VaR: Measuring tail dependence using multivariate regression quantiles
    Journal of Econometrics, 2015, 187, (1), 169-188 Downloads View citations (43)
    See also Working Paper (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 (23)
    See also Working Paper (2014)
  3. Measuring Comovements by Regression Quantiles
    Journal of Financial Econometrics, 2014, 12, (4), 645-678 Downloads View citations (8)
    See also Working Paper (2005)

2013

  1. Financial dependence, global growth opportunities, and growth revisited
    Economics Letters, 2013, 120, (1), 123-125 Downloads View citations (12)

2012

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

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 (20)

2009

  1. Forecasting With Judgment
    Journal of Business & Economic Statistics, 2009, 27, (4), 553-563 Downloads View citations (12)
  2. What drives spreads in the euro area government bond market?
    Economic Policy, 2009, 24, 191-240 Downloads View citations (183)

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 View citations (37)
    See also Working Paper (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 (20)
    See also Working Paper

2005

  1. Duration, volume and volatility impact of trades
    Journal of Financial Markets, 2005, 8, (4), 377-399 Downloads View citations (65)
    See also Working Paper (2002)

2004

  1. Asset Allocation by Variance Sensitivity Analysis
    Journal of Financial Econometrics, 2004, 2, (3), 370-389 Downloads View citations (11)
  2. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
    Journal of Business & Economic Statistics, 2004, 22, 367-381 Downloads View citations (579)
    See also Working Paper (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 (111)
    See also Working Paper (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 2020-02-27