Details about Luca Riccetti

Access statistics for papers by Luca Riccetti.

Last updated 2020-10-20. Update your information in the RePEc Author Service.

Short-id: pri191

Working Papers

2020

1. Firm-bank credit network, business cycle and macroprudential policy
   Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain)
   Also in MPRA Paper, University Library of Munich, Germany (2020)

2016

2. Monetary Policy and Large Crises in a Financial Accelerator Agent-Based Model
   MPRA Paper, University Library of Munich, Germany View citations (6)
   Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2016) View citations (6)
   See also Journal Article in Journal of Economic Behavior & Organization (2019)
3. Network Calibration and Metamodeling of a Financial Accelerator Agent Based Model
   Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa View citations (23)
   See also Journal Article in Journal of Economic Interaction and Coordination (2020)

2015

4. Stock Market Dynamics, Leveraged Network-Based Financial Accelerator and Monetary Policy
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article in International Review of Economics & Finance (2016)

2013

5. Financial Regulation in an Agent Based Macroeconomic Model
   MPRA Paper, University Library of Munich, Germany View citations (7)
6. Financialisation and Crisis in an Agent Based Macroeconomomic Model
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article in Economic Modelling (2016)
7. Increasing Inequality and Financial Fragility in an An Agent Based Macroeconomic Model
   MPRA Paper, University Library of Munich, Germany View citations (1)
8. Unemployment benefits and financial factors in an agent-based macroeconomic model
   Economics Discussion Papers, Kiel Institute for the World Economy (IfW) View citations (9)

2012

9. An Agent Based Decentralized Matching Macroeconomic Model
   MPRA Paper, University Library of Munich, Germany View citations (23)
   See also Journal Article in Journal of Economic Interaction and Coordination (2015)

2011

10. A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali View citations (8)
11. Leveraged Network-Based Financial Accelerator
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali View citations (17)
    See also Journal Article in Journal of Economic Dynamics and Control (2013)
12. Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali
    See also Journal Article in Journal of Banking & Finance (2012)

2010

13. From Moments, Co-Moments and Mean-Variance weights to Copula Portfolio Allocation
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali View citations (7)
14. Minimum Tracking Error Volatility
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali View citations (10)

Journal Articles

2020

1. Network calibration and metamodeling of a financial accelerator agent based model
   Journal of Economic Interaction and Coordination, 2020, 15, (2), 413-440 View citations (2)
   See also Working Paper (2016)
2. Risk aversion, prudence and temperance: It is a matter of gap between moments
   Journal of Behavioral and Experimental Finance, 2020, 25, (C)

2019

3. Asset management with TEV and VaR constraints: the constrained efficient frontiers
   Studies in Economics and Finance, 2019, 36, (4), 492-516
4. Macro Asset Allocation with Social Impact Investments
   Sustainability, 2019, 11, (11), 1-19 View citations (3)
5. Monetary policy and large crises in a financial accelerator agent-based model
   Journal of Economic Behavior & Organization, 2019, 157, (C), 42-58 View citations (3)
   See also Working Paper (2016)

2018

6. FINANCIAL REGULATION AND ENDOGENOUS MACROECONOMIC CRISES
   Macroeconomic Dynamics, 2018, 22, (4), 896-930 View citations (15)

2016

7. Financialisation and crisis in an agent based macroeconomic model
   Economic Modelling, 2016, 52, (PA), 162-172 View citations (16)
   See also Working Paper (2013)
8. Increasing inequality, consumer credit and financial fragility in an agent based macroeconomic model
   Journal of Evolutionary Economics, 2016, 26, (1), 25-47 View citations (47)
9. Stock market dynamics, leveraged network-based financial accelerator and monetary policy
   International Review of Economics & Finance, 2016, 43, (C), 509-524 View citations (8)
   See also Working Paper (2015)

2015

10. An agent based decentralized matching macroeconomic model
    Journal of Economic Interaction and Coordination, 2015, 10, (2), 305-332 View citations (96)
    See also Working Paper (2012)

2014

11. Network analysis and calibration of the “leveraged network-based financial accelerator”
    Journal of Economic Behavior & Organization, 2014, 99, (C), 109-125 View citations (13)

2013

12. A copula–GARCH model for macro asset allocation of a portfolio with commodities
    Empirical Economics, 2013, 44, (3), 1315-1336 View citations (6)
13. Leveraged network-based financial accelerator
    Journal of Economic Dynamics and Control, 2013, 37, (8), 1626-1640 View citations (79)
    See also Working Paper (2011)

2012

14. Portfolio frontiers with restrictions to tracking error volatility and value at risk
    Journal of Banking & Finance, 2012, 36, (9), 2604-2615 View citations (11)
    See also Working Paper (2011)
15. Using tracking error volatility to check active management and fee level of investment funds
    Global Business and Economics Review, 2012, 14, (3), 139-158 View citations (1)