Details about Loriana Pelizzon

Access statistics for papers by Loriana Pelizzon.

Last updated 2023-01-24. Update your information in the RePEc Author Service.

Short-id: ppe207

Working Papers

2022

1. Creditworthiness and buildings' energy efficiency in the Italian mortgage market
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (2)
2. Designing a rational sanctioning strategy
   SAFE Policy Letters, Leibniz Institute for Financial Research SAFE View citations (1)
3. Do designated market makers provide liquidity during a flash crash?
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (6)
4. Is there a "retail challenge" to banks' resolvability? What do we know about the holders of bail-inable securities in the Banking Union?
   SAFE White Paper Series, Leibniz Institute for Financial Research SAFE
5. Price and liquidity discovery in European sovereign bonds and futures
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (1)
6. Sustainable finance: A journey toward ESG and climate risk
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (3)
7. The Carrot and the Stick: Bank Bailouts and the Disciplining Role of Board Appointments
   VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association
   Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2021) View citations (4)
8. The demand for central clearing: To clear or not to clear, that is the question
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (10)
   Also in ESRB Working Paper Series, European Systemic Risk Board (2017) View citations (11)
9. Will video kill the radio star? Digitalisation and the future of banking
   Report of the Advisory Scientific Committee, European Systemic Risk Board View citations (4)

2021

10. A meta-measure of performance related to both investors and investments characteristics
    Post-Print, HAL
    Also in Post-Print, HAL (2021)
    See also Journal Article A meta-measure of performance related to both investors and investments characteristics, Annals of Operations Research, Springer (2022) (2022)
11. Corona and banking: A financial crisis in slow motion? An evaluation of the policy options
    SAFE White Paper Series, Leibniz Institute for Financial Research SAFE View citations (2)
12. Global realignment in financial market dynamics: Evidence from ETF networks
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (1)
13. Impact of public news sentiment on stock market index return and volatility
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
14. Lighting up the dark: Liquidity in the German corporate bond market
    Discussion Papers, Deutsche Bundesbank View citations (1)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2018) View citations (6)
15. Loss Sharing in Central Clearinghouses: Winners and Losers
    ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany View citations (3)
16. Market impact of government communication: The case of presidential tweets
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
17. Non-Standard Errors
    Working Papers, Faculty of Economics and Statistics, Universität Innsbruck View citations (6)
18. Non-performing loans - new risks and policies? NPL resolution after COVID-19: Main differences to previous crises
    SAFE White Paper Series, Leibniz Institute for Financial Research SAFE View citations (2)
19. OTC discount
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
    Also in Discussion Papers, Deutsche Bundesbank (2019)
20. P2P lenders versus banks: Cream skimming or bottom fishing?
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (25)
    See also Journal Article P2P Lenders versus Banks: Cream Skimming or Bottom Fishing?, The Review of Corporate Finance Studies, Society for Financial Studies (2022) View citations (16) (2022)
21. Recovery from fast crashes: Role of mutual funds
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (1)
    See also Journal Article Recovery from fast crashes: Role of mutual funds, Journal of Financial Markets, Elsevier (2022) (2022)
22. The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2021) View citations (4)
23. The Salience of ESG Ratings for Stock Pricing: Evidence From (Potentially) Confused Investors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2021) View citations (6)

2020

24. Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2019)
    See also Journal Article Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case, The Journal of Real Estate Finance and Economics, Springer (2022) View citations (4) (2022)
25. Collateral eligibility of corporate debt in the Eurosystem
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (11)
26. Coming early to the party
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2017) View citations (5)
27. Corona and financial stability 2.0: Act jointly now, but also think about tomorrow
    SAFE Policy Letters, Leibniz Institute for Financial Research SAFE View citations (1)
28. Corona and financial stability 3.0: Try equity - risk sharing for companies, large and small
    SAFE Policy Letters, Leibniz Institute for Financial Research SAFE View citations (8)
29. Corona and financial stability 4.0: Implementing a european pandemic equity fund
    SAFE Policy Letters, Leibniz Institute for Financial Research SAFE View citations (2)
    See also Chapter Corona and Financial Stability 4.0: Implementing a European Pandemic Equity Fund, Vox eBook Chapters, Centre for Economic Policy Research (2020) View citations (4) (2020)
30. Designated Market Makers: Competition and Incentives
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (1)
31. Does monetary policy impact international market co-movements?
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (3)
32. Inside the ESG Ratings: (Dis)agreement and performance
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (10)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2020) View citations (10)
    See also Journal Article Inside the ESG ratings: (Dis)agreement and performance, Corporate Social Responsibility and Environmental Management, John Wiley & Sons (2021) View citations (71) (2021)
33. Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (6)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2017) View citations (10)
34. Machine learning sentiment analysis, Covid-19 news and stock market reactions
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (3)
35. Networks in risk spillovers: A multivariate GARCH perspective
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2018) View citations (4)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2016) View citations (7)
36. Portfolio Similarity and Asset Liquidation in the Insurance Industry
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (11)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2018) View citations (17)
    See also Journal Article Portfolio similarity and asset liquidation in the insurance industry, Journal of Financial Economics, Elsevier (2021) View citations (26) (2021)
37. Priorities for the CMU agenda
    SAFE Policy Letters, Leibniz Institute for Financial Research SAFE
38. Resiliency: Cross-venue dynamics with Hawkes processes
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
39. Risk pooling, leverage, and the business cycle
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
    Also in CESifo Working Paper Series, CESifo (2019) View citations (1)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2019) View citations (2)
40. The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy View citations (73)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (68)
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2020) View citations (71)
    Working Papers, University of Milano-Bicocca, Department of Economics (2020) View citations (69)
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2020) View citations (69)
    See also Journal Article The COVID-19 Shock and Equity Shortfall: Firm-Level Evidence from Italy, The Review of Corporate Finance Studies, Society for Financial Studies (2020) View citations (69) (2020)
41. The Coronavirus and financial stability
    SAFE Policy Letters, Leibniz Institute for Financial Research SAFE View citations (39)
42. What are the wider supervisory implications of the Wirecard case?
    SAFE White Paper Series, Leibniz Institute for Financial Research SAFE View citations (3)

2019

43. Credit scoring in SME asset-backed securities: An Italian case study
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (7)
    See also Journal Article Credit Scoring in SME Asset-Backed Securities: An Italian Case Study, JRFM, MDPI (2019) View citations (7) (2019)
44. Pitfalls of central clearing in the presence of systematic risk
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
    Also in ICIR Working Paper Series, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR) (2018)
45. The anatomy of the euro area interest rate swap market
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (11)
    Also in Working Paper Series, European Central Bank (2019) View citations (11)
46. What are the main factors for the subdued profitability of significant banks in the Banking Union, and is the ECB's supervisory response conclusive and exhaustive? A critical assessment of the 2018 SSM report on bank profitability and business models
    SAFE White Paper Series, Leibniz Institute for Financial Research SAFE

2018

47. Central bank-driven mispricing
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (4)
48. Financial stability in the EU: A case for micro data transparency
    SAFE Policy Letters, Leibniz Institute for Financial Research SAFE
49. Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan View citations (10)
50. The impact of monetary policy iInterventions on the insurance industry
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
    Also in EIOPA Financial Stability Report - Thematic Articles, EIOPA, Risks and Financial Stability Department (2016) View citations (2)

2017

51. Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
52. Stock Price Crashes: Role of Slow-Moving Capital
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
53. The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (7)

2016

54. "Predatory" margins and the regulation and supervision of central counterparty clearing houses (CCPs)
    SAFE White Paper Series, Leibniz Institute for Financial Research SAFE View citations (6)
55. Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
56. How does P2P lending fit into the consumer credit market?
    Discussion Papers, Deutsche Bundesbank View citations (36)
57. How has sovereign bond market liquidity changed? An illiquidity spillover analysis
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (6)

2015

58. Measuring sovereign contagion in Europe
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (17)
    Also in Working Paper, Norges Bank (2012) View citations (27)
    NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (88)
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2012) View citations (40)
    See also Journal Article Measuring sovereign contagion in Europe, Journal of Financial Stability, Elsevier (2018) View citations (99) (2018)
59. Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (16)
60. Stock Market Returns, Corporate Governance and Capital Market Equilibrium
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in CESifo Working Paper Series, CESifo (2013)

2014

61. Liquidity coinsurance and bank capital
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (13)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (1)
    See also Journal Article Liquidity Coinsurance and Bank Capital, Journal of Money, Credit and Banking, Blackwell Publishing (2014) View citations (12) (2014)
62. Mutual excitation in eurozone sovereign CDS
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (63)
    See also Journal Article Mutual excitation in Eurozone sovereign CDS, Journal of Econometrics, Elsevier (2014) View citations (60) (2014)

2013

63. Deciphering the Libor and Euribor Spreads during the subprime crisis
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (6)
    See also Journal Article Deciphering the Libor and Euribor Spreads during the subprime crisis, The North American Journal of Economics and Finance, Elsevier (2013) View citations (6) (2013)
64. Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (6)

2012

65. CDS Industrial Sector Indices, credit and liquidity risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
66. Market volatility, optimal portfolios and naive asset allocations
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"

2011

67. Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (18)
    See also Chapter Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, NBER Chapters, National Bureau of Economic Research, Inc (2010) View citations (53) (2010)
    Journal Article Econometric measures of connectedness and systemic risk in the finance and insurance sectors, Journal of Financial Economics, Elsevier (2012) View citations (1188) (2012)

2010

68. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (83)

2009

69. Crises and Hedge Fund Risk
    Yale School of Management Working Papers, Yale School of Management
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2008) View citations (1)

2008

70. Italian Equity Funds: Efficiency and Performance Persistence
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (5)
    Also in Working Papers, University of Brescia, Department of Economics (2008) View citations (13)
    See also Journal Article Italian Equity Funds: Efficiency and Performance Persistence, The IUP Journal of Financial Economics, IUP Publications (2008) View citations (4) (2008)
71. Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"

2007

72. Diversification and Ownership Concentration
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (3)
    Also in CESifo Working Paper Series, CESifo (2005)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2005)
    See also Journal Article Diversification and ownership concentration, Journal of Banking & Finance, Elsevier (2008) View citations (3) (2008)
73. Dynamic Risk Exposure in Hedge Funds
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (6)
    See also Journal Article Dynamic risk exposures in hedge funds, Computational Statistics & Data Analysis, Elsevier (2012) View citations (32) (2012)
74. Efficient Portfolios when Housing Needs Change over the Life-Cycle
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2007) View citations (6)
    See also Journal Article Efficient portfolios when housing needs change over the life cycle, Journal of Banking & Finance, Elsevier (2009) View citations (25) (2009)

2006

75. Are Household Portfolios Efficient? An Analysis Conditional on Housing
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations (11)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2006) View citations (2)
    See also Journal Article Are Household Portfolios Efficient? an Analysis Conditional on Housing, Journal of Financial and Quantitative Analysis, Cambridge University Press (2008) View citations (23) (2008)
76. Credit Derivatives, Capital Requirements and Opaque OTC Markets
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
    See also Journal Article Credit derivatives, capital requirements and opaque OTC markets, Journal of Financial Intermediation, Elsevier (2008) View citations (23) (2008)
77. Phase-Locking and Switching Volatility in Hedge Funds
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)

2005

78. Credit Derivatives: Capital Requirements and Strategic Contracting
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (7)
79. Pillar 1 vs. Pillar 2 Under Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

Journal Articles

2022

1. A meta-measure of performance related to both investors and investments characteristics
   Annals of Operations Research, 2022, 313, (2), 1405-1447
   See also Working Paper A meta-measure of performance related to both investors and investments characteristics, Post-Print (2021) (2021)
2. Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case
   The Journal of Real Estate Finance and Economics, 2022, 65, (3), 419-450 View citations (4)
   See also Working Paper Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case, Working Papers (2020) View citations (1) (2020)
3. P2P Lenders versus Banks: Cream Skimming or Bottom Fishing?
   (Loan officer incentives, internal rating models and default rates)
   The Review of Corporate Finance Studies, 2022, 11, (2), 213-262 View citations (16)
   See also Working Paper P2P lenders versus banks: Cream skimming or bottom fishing?, SAFE Working Paper Series (2021) View citations (25) (2021)
4. Recovery from fast crashes: Role of mutual funds
   Journal of Financial Markets, 2022, 59, (PB)
   See also Working Paper Recovery from fast crashes: Role of mutual funds, SAFE Working Paper Series (2021) View citations (1) (2021)
5. Risk pooling, intermediation efficiency, and the business cycle
   Journal of Economic Dynamics and Control, 2022, 144, (C) View citations (2)

2021

6. Inside the ESG ratings: (Dis)agreement and performance
   Corporate Social Responsibility and Environmental Management, 2021, 28, (5), 1426-1445 View citations (71)
   See also Working Paper Inside the ESG Ratings: (Dis)agreement and performance, Working Papers (2020) View citations (10) (2020)
7. Portfolio similarity and asset liquidation in the insurance industry
   Journal of Financial Economics, 2021, 142, (1), 69-96 View citations (26)
   See also Working Paper Portfolio Similarity and Asset Liquidation in the Insurance Industry, Working Papers (2020) View citations (11) (2020)
8. Short Selling – On Ethics, Politics, and Culture
   Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), 2021, 33, (5), 301-312

2020

9. The COVID-19 Shock and Equity Shortfall: Firm-Level Evidence from Italy
   The Review of Corporate Finance Studies, 2020, 9, (3), 534-568 View citations (69)
   See also Working Paper The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy, CSEF Working Papers (2020) View citations (73) (2020)

2019

10. Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
    JRFM, 2019, 12, (2), 1-28 View citations (7)
    See also Working Paper Credit scoring in SME asset-backed securities: An Italian case study, SAFE Working Paper Series (2019) View citations (7) (2019)

2018

11. Measuring sovereign contagion in Europe
    Journal of Financial Stability, 2018, 34, (C), 150-181 View citations (99)
    See also Working Paper Measuring sovereign contagion in Europe, SAFE Working Paper Series (2015) View citations (17) (2015)
12. Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
    Quantitative Finance, 2018, 18, (2), 283-293 View citations (8)

2016

13. Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?
    Journal of Financial Economics, 2016, 122, (1), 86-115 View citations (66)

2014

14. A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation
    Bankers, Markets & Investors, 2014, (129), 40-58 View citations (2)
15. Interconnectedness and systemic risk: hedge funds, banks, insurance companies
    BANCARIA, 2014, 6, 81-91 View citations (1)
16. Liquidity Coinsurance and Bank Capital
    Journal of Money, Credit and Banking, 2014, 46, (2-3), 409-443 View citations (12)
    See also Working Paper Liquidity coinsurance and bank capital, SAFE Working Paper Series (2014) View citations (13) (2014)
17. Mutual excitation in Eurozone sovereign CDS
    Journal of Econometrics, 2014, 183, (2), 151-167 View citations (60)
    See also Working Paper Mutual excitation in eurozone sovereign CDS, SAFE Working Paper Series (2014) View citations (63) (2014)

2013

18. Deciphering the Libor and Euribor Spreads during the subprime crisis
    The North American Journal of Economics and Finance, 2013, 26, (C), 565-585 View citations (6)
    See also Working Paper Deciphering the Libor and Euribor Spreads during the subprime crisis, Working Papers (2013) View citations (6) (2013)

2012

19. Dynamic risk exposures in hedge funds
    Computational Statistics & Data Analysis, 2012, 56, (11), 3517-3532 View citations (32)
    See also Working Paper Dynamic Risk Exposure in Hedge Funds, Working Papers (2007) View citations (6) (2007)
20. Econometric measures of connectedness and systemic risk in the finance and insurance sectors
    Journal of Financial Economics, 2012, 104, (3), 535-559 View citations (1188)
    See also Chapter Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, NBER Chapters, 2010 (2010) View citations (53) (2010)
    Working Paper Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, Working Papers (2011) View citations (18) (2011)

2011

21. Bank credit to medium-sized enterprises in Italy: the trends before and during the crisis
    BANCARIA, 2011, 02, 20-32

2009

22. Efficient portfolios when housing needs change over the life cycle
    Journal of Banking & Finance, 2009, 33, (11), 2110-2121 View citations (25)
    See also Working Paper Efficient Portfolios when Housing Needs Change over the Life-Cycle, Working Papers (2007) View citations (1) (2007)

2008

23. Are Household Portfolios Efficient? an Analysis Conditional on Housing
    Journal of Financial and Quantitative Analysis, 2008, 43, (2), 401-431 View citations (23)
    See also Working Paper Are Household Portfolios Efficient? An Analysis Conditional on Housing, Working Papers (2006) View citations (2) (2006)
24. Credit derivatives, capital requirements and opaque OTC markets
    Journal of Financial Intermediation, 2008, 17, (4), 444-463 View citations (23)
    See also Working Paper Credit Derivatives, Capital Requirements and Opaque OTC Markets, Working Papers (2006) (2006)
25. Diversification and ownership concentration
    Journal of Banking & Finance, 2008, 32, (9), 1743-1753 View citations (3)
    See also Working Paper Diversification and Ownership Concentration, Working Papers (2007) View citations (3) (2007)
26. Italian Equity Funds: Efficiency and Performance Persistence
    The IUP Journal of Financial Economics, 2008, VI, (1), 7-28 View citations (4)
    See also Working Paper Italian Equity Funds: Efficiency and Performance Persistence, Working Papers (2008) View citations (5) (2008)

2005

27. Relative benchmark rating and persistence analysis: Evidence from Italian equity funds
    The European Journal of Finance, 2005, 11, (4), 297-308 View citations (10)

2003

28. Contagion and interdependence in stock markets: Have they been misdiagnosed?
    Journal of Economics and Business, 2003, 55, (5-6), 405-426 View citations (73)
29. Volatility and shocks spillover before and after EMU in European stock markets
    Journal of Multinational Financial Management, 2003, 13, (4-5), 323-340 View citations (59)

2002

30. La copertura dei rischi finanziari nelle imprese non finanziarie italiane attraverso gli strumenti derivati
    Moneta e Credito, 2002, 55, (217), 55-75 View citations (1)

2000

31. La Style Analysis nel mercato azionario italiano
    Rivista italiana degli economisti, 2000, (3), 387-412
32. Value-at-Risk: a multivariate switching regime approach
    Journal of Empirical Finance, 2000, 7, (5), 531-554 View citations (72)

Chapters

2020

1. Corona and Financial Stability 4.0: Implementing a European Pandemic Equity Fund
   Chapter 1 in Europe in the Time of Covid-19, 2020, vol. 1, pp 48-56 View citations (4)
   See also Working Paper Corona and financial stability 4.0: Implementing a european pandemic equity fund, Leibniz Institute for Financial Research SAFE (2020) View citations (2) (2020)
2. Coronavirus and financial stability 3.0: Try equity – risk sharing for companies, large and small
   Chapter 1 in Europe in the Time of Covid-19, 2020, vol. 1, pp 41-47 View citations (12)

2010

3. Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
   A chapter in Market Institutions and Financial Market Risk, 2010 View citations (53)
   See also Working Paper Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, Department of Economics, University of Venice "Ca' Foscari" (2011) View citations (18) (2011)
   Journal Article Econometric measures of connectedness and systemic risk in the finance and insurance sectors, Elsevier (2012) View citations (1188) (2012)

2007

4. Pillar 1 versus Pillar 2 under Risk Management
   A chapter in The Risks of Financial Institutions, 2007, pp 377-409 View citations (2)