Details about Simone Manganelli

Access statistics for papers by Simone Manganelli.

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

Short-id: pma142

Working Papers

2023

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

2021

3. A risk management perspective on macroprudential policy
   Working Paper Series, European Central Bank View citations (4)
4. Statistical decision functions with judgment
   Working Paper Series, European Central Bank View citations (1)
5. The risk management approach to macro-prudential policy
   Working Paper Series, European Central Bank View citations (13)

2020

6. Covid-19 and rural landscape: the case of Italy
   Working Paper Series, European Central Bank View citations (15)
7. Financial conditions, business cycle fluctuations and growth at risk
   Working Paper Series, European Central Bank View citations (5)
8. Monetary Policy with Judgment
   Working Papers, Federal Reserve Bank of Cleveland View citations (1)
   Also in Working Paper Series, European Central Bank (2020) View citations (1)

2019

9. Deciding with Judgment
   Papers, arXiv.org
   Also in Working Paper Series, European Central Bank (2016)
10. Forecasting and stress testing with quantile vector autoregression
    Working Paper Series, European Central Bank View citations (41)
    See also Journal Article Forecasting and stress testing with quantile vector autoregression, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2024) View citations (4) (2024)

2018

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

2017

12. The portfolio of euro area fund investors and ECB monetary policy announcements
    Working Paper Series, European Central Bank 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) View citations (14) (2018)

2016

13. 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 View citations (90)
    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) View citations (79) (2016)
14. Measuring Financial Fragmentation in the Euro Area Corporate Bond Market
    Working papers, Banque de France View citations (15)
    See also Journal Article Measuring Financial Fragmentation in the Euro Area Corporate Bond Market, JRFM, MDPI (2018) View citations (17) (2018)

2015

15. 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 View citations (2)
16. Realized Bank Risk during the Great Recession
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
    See also Journal Article Realized bank risk during the great recession, Journal of Financial Intermediation, Elsevier (2017) View citations (37) (2017)
17. VAR for VaR: measuring tail dependence using multivariate regression quantiles
    Working Paper Series, European Central Bank View citations (188)
    Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2012) View citations (13)
    See also Journal Article VAR for VaR: Measuring tail dependence using multivariate regression quantiles, Journal of Econometrics, Elsevier (2015) View citations (182) (2015)

2014

18. A high frequency assessment of the ECB securities markets programme
    Working Paper Series, European Central Bank View citations (64)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) 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) View citations (57) (2017)
19. Fragmentation in the euro overnight unsecured money market
    Working Paper Series, European Central Bank View citations (35)
    See also Journal Article Fragmentation in the Euro overnight unsecured money market, Economics Letters, Elsevier (2014) View citations (33) (2014)

2012

20. Bank Risk during the Financial Crisis: Do business models matter?
    Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales) View citations (11)
    Also in Working Paper Series, European Central Bank (2011) View citations (151)

2011

21. The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets
    Occasional Paper Series, European Central Bank View citations (79)

2010

22. Finance and diversification
    Working Paper Series, European Central Bank
23. Quantifying the Risk of Deflation
    EcoMod2004, EcoMod
    See also Journal Article Quantifying the Risk of Deflation, Journal of Money, Credit and Banking, Blackwell Publishing (2007) View citations (35) (2007)
24. VAR for VaR: measuring systemic risk using multivariate regression quantiles
    MPRA Paper, University Library of Munich, Germany View citations (19)

2008

25. Measuring financial integration in new EU Member States
    Occasional Paper Series, European Central Bank View citations (66)
26. Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
    Working Paper Series, European Central Bank View citations (33)
27. The impact of the euro on equity markets: a country and sector decomposition
    Working Paper Series, European Central Bank View citations (8)

2007

28. Asset allocation by penalized least squares
    Working Paper Series, European Central Bank View citations (3)
29. Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?
    Working Paper Series, European Central Bank View citations (43)
30. The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan
    CEPR Discussion Papers, C.E.P.R. Discussion Papers 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) View citations (66) (2008)

2006

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

2005

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

2004

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

2003

36. The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
    Also in Working Paper Series, European Central Bank (2003) View citations (13)
37. The euro area financial system: structure, integration and policy initiatives
    Working Paper Series, European Central Bank View citations (141)
    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

38. Duration, volume and volatility impact of trades
    Working Paper Series, European Central Bank View citations (14)
    See also Journal Article Duration, volume and volatility impact of trades, Journal of Financial Markets, Elsevier (2005) View citations (95) (2005)
39. Sensitivity Analysis of GARCH Models
    Computing in Economics and Finance 2002, Society for Computational Economics
40. Sensitivity analysis of volatility: a new tool for risk management
    Working Paper Series, European Central Bank View citations (3)

2001

41. Value at risk models in finance
    Working Paper Series, European Central Bank View citations (102)

2000

42. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (47)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) View citations (53)
    See also Journal Article CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles, Journal of Business & Economic Statistics, American Statistical Association (2004) View citations (1063) (2004)

1999

43. CAViaR: Conditional Value at Risk by Quantile Regression
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (29)
44. Modeling a Time-Varying Order Statistic
    Computing in Economics and Finance 1999, Society for Computational Economics

Journal Articles

2024

1. Forecasting and stress testing with quantile vector autoregression
   Journal of Applied Econometrics, 2024, 39, (1), 66-85 View citations (4)
   See also Working Paper Forecasting and stress testing with quantile vector autoregression, Working Paper Series (2019) View citations (41) (2019)

2021

2. A novel risk management perspective for macroprudential policy
   Research Bulletin, 2021, 87.1 View citations (3)

2018

3. Measuring Financial Fragmentation in the Euro Area Corporate Bond Market
   JRFM, 2018, 11, (4), 1-19 View citations (17)
   See also Working Paper Measuring Financial Fragmentation in the Euro Area Corporate Bond Market, Working papers (2016) View citations (15) (2016)
4. The portfolio of euro area fund investors and ECB monetary policy announcements
   Journal of International Money and Finance, 2018, 89, (C), 103-126 View citations (14)
   See also Working Paper The portfolio of euro area fund investors and ECB monetary policy announcements, Working Paper Series (2017) View citations (6) (2017)

2017

5. A High-Frequency assessment of the ECB Securities Markets Programme
   Journal of the European Economic Association, 2017, 15, (1), 218-243 View citations (57)
   See also Working Paper A high frequency assessment of the ECB securities markets programme, Working Paper Series (2014) View citations (64) (2014)
6. Realized bank risk during the great recession
   Journal of Financial Intermediation, 2017, 32, (C), 29-44 View citations (37)
   See also Working Paper Realized Bank Risk during the Great Recession, International Finance Discussion Papers (2015) View citations (3) (2015)

2016

7. Changes in financial fragmentation in the euro area since 2008
   Rue de la Banque, 2016, (28)
8. 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 View citations (79)
   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) View citations (90) (2016)

2015

9. Financial development, sectoral reallocation, and volatility: International evidence
   Journal of International Economics, 2015, 96, (2), 323-337 View citations (22)
10. VAR for VaR: Measuring tail dependence using multivariate regression quantiles
    Journal of Econometrics, 2015, 187, (1), 169-188 View citations (182)
    See also Working Paper VAR for VaR: measuring tail dependence using multivariate regression quantiles, Working Paper Series (2015) View citations (188) (2015)

2014

11. Comment
    Journal of Business & Economic Statistics, 2014, 32, (4), 506-509
12. Fragmentation in the Euro overnight unsecured money market
    Economics Letters, 2014, 125, (2), 298-302 View citations (33)
    See also Working Paper Fragmentation in the euro overnight unsecured money market, Working Paper Series (2014) View citations (35) (2014)
13. Measuring Comovements by Regression Quantiles
    Journal of Financial Econometrics, 2014, 12, (4), 645-678 View citations (20)
    See also Working Paper Measuring comovements by regression quantiles, Working Paper Series (2005) View citations (33) (2005)

2013

14. Financial dependence, global growth opportunities, and growth revisited
    Economics Letters, 2013, 120, (1), 123-125 View citations (23)

2012

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

2011

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

2010

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

2009

18. Forecasting With Judgment
    Journal of Business & Economic Statistics, 2009, 27, (4), 553-563 View citations (17)
19. What drives spreads in the euro area government bond market?
    (What “hides” behind sovereign debt ratings?)
    Economic Policy, 2009, 24, (58), 191-240 View citations (221)

2008

20. 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 (66)
    Also in Journal of Money, Credit and Banking, 2008, 40, (6), 1103-1129 (2008) View citations (25)
    See also Working Paper The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan, CEPR Discussion Papers (2007) View citations (2) (2007)

2007

21. Financial integration and capital flows in the new EU Member States
    Research Bulletin, 2007, 6, 5-7
22. Quantifying the Risk of Deflation
    Journal of Money, Credit and Banking, 2007, 39, (2-3), 561-590 View citations (35)
    Also in Journal of Money, Credit and Banking, 2007, 39, (2‐3), 561-590 (2007) View citations (10)
    See also Working Paper Quantifying the Risk of Deflation, EcoMod2004 (2010) (2010)

2005

23. Duration, volume and volatility impact of trades
    Journal of Financial Markets, 2005, 8, (4), 377-399 View citations (95)
    See also Working Paper Duration, volume and volatility impact of trades, Working Paper Series (2002) View citations (14) (2002)

2004

24. Asset Allocation by Variance Sensitivity Analysis
    Journal of Financial Econometrics, 2004, 2, (3), 370-389 View citations (12)
25. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
    Journal of Business & Economic Statistics, 2004, 22, 367-381 View citations (1063)
    See also Working Paper CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (47) (2000)

2003

26. 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) View citations (141) (2003)

Edited books

2017

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

Chapters

2006

1. Equity Market Integration of New EU Member States
   Chapter 25 in Financial Development, Integration and Stability, 2006 View citations (1)