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Details about Loriana Pelizzon

E-mail:
Homepage:http://www.wiwi.uni-frankfurt.de/en/departments/finance/lehrstuhl/prof-loriana-pelizzon/home-profess
Postal address:House of Finance | Goethe University Theodor- W.- Adorno Platz 3
Workplace:Research Center SAFE (Sustainable Architecture for Finance in Europe), House of Finance, Goethe Universität Frankfurt am Main (Goethe University Frankfurt), (more information at EDIRC)
Dipartimento di Economia (Department of Economics), Università Ca' Foscari Venezia (University Ca' Foscari Venice), (more information at EDIRC)

Access statistics for papers by Loriana Pelizzon.

Last updated 2018-09-09. Update your information in the RePEc Author Service.

Short-id: ppe207


Jump to Journal Articles Chapters

Working Papers

2018

  1. Central bank-driven mispricing
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads
  2. Financial stability in the EU: A case for micro data transparency
    SAFE Policy Letters, Goethe University Frankfurt, Research Center SAFE - Sustainable Architecture for Finance in Europe Downloads
  3. Networks in risk spillovers: A multivariate GARCH perspective
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads View citations (1)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2016) Downloads View citations (4)
  4. P2P lenders versus banks: Cream skimming or bottom fishing?
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads
  5. Portfolio similarity and asset liquidation in the insurance industry
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads View citations (5)
  6. Stock price crashes: Role of slow-moving capital
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) Downloads
  7. The demand for central clearing: To clear or not to clear, that is the question
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads View citations (3)
    Also in ESRB Working Paper Series, European Systemic Risk Board (2017) Downloads View citations (4)
  8. The impact of monetary policy iInterventions on the insurance industry
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads

2017

  1. Coming early to the party
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads
  2. Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  3. The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads

2016

  1. "Predatory" margins and the regulation and supervision of central counterparty clearing houses (CCPs)
    SAFE White Paper Series, Goethe University Frankfurt, Research Center SAFE - Sustainable Architecture for Finance in Europe Downloads View citations (4)
  2. Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  3. How does P2P lending fit into the consumer credit market?
    Discussion Papers, Deutsche Bundesbank Downloads View citations (7)
  4. How has sovereign bond market liquidity changed? An illiquidity spillover analysis
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads
  5. Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads View citations (5)
  6. The Impact of the Monetary Policy Interventions on the Insurance Industry
    EIOPA Financial Stability Report - Thematic Articles, EIOPA, Risks and Financial Stability Department Downloads View citations (1)

2015

  1. Measuring sovereign contagion in Europe
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads View citations (6)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2012) Downloads View citations (24)
    NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (57)
    Working Paper, Norges Bank (2012) Downloads View citations (12)

    See also Journal Article in Journal of Financial Stability (2018)
  2. Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads View citations (7)
  3. Stock Market Returns, Corporate Governance and Capital Market Equilibrium
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2013) Downloads

2014

  1. Liquidity coinsurance and bank capital
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (1)
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt (2014) Downloads View citations (4)

    See also Journal Article in Journal of Money, Credit and Banking (2014)
  2. Mutual excitation in eurozone sovereign CDS
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads View citations (26)
    See also Journal Article in Journal of Econometrics (2014)

2013

  1. Deciphering the Libor and Euribor Spreads during the subprime crisis
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (4)
    See also Journal Article in The North American Journal of Economics and Finance (2013)
  2. Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)

2012

  1. CDS Industrial Sector Indices, credit and liquidity risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  2. Market volatility, optimal portfolios and naive asset allocations
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads

2011

  1. Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (6)
    See also Journal Article in Journal of Financial Economics (2012)

2010

  1. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (54)
    See also Chapter (2010)

2009

  1. Crises and Hedge Fund Risk
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (8)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2008) Downloads View citations (1)

2008

  1. Italian Equity Funds: Efficiency and Performance Persistence
    Working Papers, University of Brescia, Department of Economics Downloads View citations (12)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2008) Downloads View citations (4)

    See also Journal Article in The IUP Journal of Financial Economics (2008)
  2. Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads

2007

  1. Diversification and Ownership Concentration
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (3)
    Also in CESifo Working Paper Series, CESifo Group Munich (2005) Downloads
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2005) Downloads

    See also Journal Article in Journal of Banking & Finance (2008)
  2. Dynamic Risk Exposure in Hedge Funds
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (4)
    See also Journal Article in Computational Statistics & Data Analysis (2012)
  3. Efficient Portfolios when Housing Needs Change over the Life-Cycle
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2007) Downloads View citations (6)

    See also Journal Article in Journal of Banking & Finance (2009)

2006

  1. Are Household Portfolios Efficient? An Analysis Conditional on Housing
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (11)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2006) Downloads View citations (1)

    See also Journal Article in Journal of Financial and Quantitative Analysis (2008)
  2. Credit Derivatives, Capital Requirements and Opaque OTC Markets
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    See also Journal Article in Journal of Financial Intermediation (2008)
  3. Phase-Locking and Switching Volatility in Hedge Funds
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)

2005

  1. Credit Derivatives: Capital Requirements and Strategic Contracting
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (6)
  2. Pillar 1 vs. Pillar 2 Under Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

Journal Articles

2018

  1. Measuring sovereign contagion in Europe
    Journal of Financial Stability, 2018, 34, (C), 150-181 Downloads View citations (7)
    See also Working Paper (2015)
  2. Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
    Quantitative Finance, 2018, 18, (2), 283-293 Downloads

2016

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

2014

  1. A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation
    Bankers, Markets & Investors, 2014, (129), 40-58 Downloads
  2. Interconnectedness and systemic risk: hedge funds, banks, insurance companies
    BANCARIA, 2014, 6, 81-91 Downloads
  3. Liquidity Coinsurance and Bank Capital
    Journal of Money, Credit and Banking, 2014, 46, (2-3), 409-443 Downloads View citations (4)
    See also Working Paper (2014)
  4. Mutual excitation in Eurozone sovereign CDS
    Journal of Econometrics, 2014, 183, (2), 151-167 Downloads View citations (27)
    See also Working Paper (2014)

2013

  1. Deciphering the Libor and Euribor Spreads during the subprime crisis
    The North American Journal of Economics and Finance, 2013, 26, (C), 565-585 Downloads View citations (3)
    See also Working Paper (2013)

2012

  1. Dynamic risk exposures in hedge funds
    Computational Statistics & Data Analysis, 2012, 56, (11), 3517-3532 Downloads View citations (17)
    See also Working Paper (2007)
  2. Econometric measures of connectedness and systemic risk in the finance and insurance sectors
    Journal of Financial Economics, 2012, 104, (3), 535-559 Downloads View citations (405)
    See also Working Paper (2011)

2011

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

2009

  1. Efficient portfolios when housing needs change over the life cycle
    Journal of Banking & Finance, 2009, 33, (11), 2110-2121 Downloads View citations (15)
    See also Working Paper (2007)

2008

  1. Are Household Portfolios Efficient? an Analysis Conditional on Housing
    Journal of Financial and Quantitative Analysis, 2008, 43, (02), 401-431 Downloads View citations (13)
    See also Working Paper (2006)
  2. Credit derivatives, capital requirements and opaque OTC markets
    Journal of Financial Intermediation, 2008, 17, (4), 444-463 Downloads View citations (20)
    See also Working Paper (2006)
  3. Diversification and ownership concentration
    Journal of Banking & Finance, 2008, 32, (9), 1743-1753 Downloads View citations (2)
    See also Working Paper (2007)
  4. Italian Equity Funds: Efficiency and Performance Persistence
    The IUP Journal of Financial Economics, 2008, VI, (1), 7-28 View citations (3)
    See also Working Paper (2008)

2005

  1. Relative benchmark rating and persistence analysis: Evidence from Italian equity funds
    The European Journal of Finance, 2005, 11, (4), 297-308 Downloads View citations (6)

2003

  1. Contagion and interdependence in stock markets: Have they been misdiagnosed?
    Journal of Economics and Business, 2003, 55, (5-6), 405-426 Downloads View citations (56)
  2. Volatility and shocks spillover before and after EMU in European stock markets
    Journal of Multinational Financial Management, 2003, 13, (4-5), 323-340 Downloads View citations (43)

2002

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

2000

  1. La Style Analysis nel mercato azionario italiano
    Rivista italiana degli economisti, 2000, (3), 387-412 Downloads
  2. Value-at-Risk: a multivariate switching regime approach
    Journal of Empirical Finance, 2000, 7, (5), 531-554 Downloads View citations (50)

Chapters

2010

  1. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
    A chapter in Market Institutions and Financial Market Risk, 2010 View citations (37)
    See also Working Paper (2010)

2007

  1. Pillar 1 versus Pillar 2 under Risk Management
    A chapter in The Risks of Financial Institutions, 2007, pp 377-416 Downloads
 
Page updated 2019-04-19