Details about Luca Riccetti

Access statistics for papers by Luca Riccetti.

Last updated 2019-07-21. Update your information in the RePEc Author Service.

Short-id: pri191

Working Papers

2016

1. Monetary Policy and Large Crises in a Financial Accelerator Agent-Based Model
   MPRA Paper, University Library of Munich, Germany View citations (4)
   Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2016) View citations (4)
   See also Journal Article in Journal of Economic Behavior & Organization (2019)
2. 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 (18)

2015

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

2013

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

2012

8. An Agent Based Decentralized Matching Macroeconomic Model
   MPRA Paper, University Library of Munich, Germany View citations (22)
   See also Journal Article in Journal of Economic Interaction and Coordination (2015)

2011

9. 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)
10. 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)
11. 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

12. 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)
13. Minimum Tracking Error Volatility
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali View citations (10)

Journal Articles

2019

1. Macro Asset Allocation with Social Impact Investments
   Sustainability, 2019, 11, (11), 1-19
2. Monetary policy and large crises in a financial accelerator agent-based model
   Journal of Economic Behavior & Organization, 2019, 157, (C), 42-58
   See also Working Paper (2016)

2018

3. FINANCIAL REGULATION AND ENDOGENOUS MACROECONOMIC CRISES
   Macroeconomic Dynamics, 2018, 22, (4), 896-930 View citations (8)

2016

4. Financialisation and crisis in an agent based macroeconomic model
   Economic Modelling, 2016, 52, (PA), 162-172 View citations (13)
   See also Working Paper (2013)
5. Increasing inequality, consumer credit and financial fragility in an agent based macroeconomic model
   Journal of Evolutionary Economics, 2016, 26, (1), 25-47 View citations (57)
6. Stock market dynamics, leveraged network-based financial accelerator and monetary policy
   International Review of Economics & Finance, 2016, 43, (C), 509-524 View citations (2)
   See also Working Paper (2015)

2015

7. An agent based decentralized matching macroeconomic model
   Journal of Economic Interaction and Coordination, 2015, 10, (2), 305-332 View citations (70)
   See also Working Paper (2012)

2014

8. Network analysis and calibration of the “leveraged network-based financial accelerator”
   Journal of Economic Behavior & Organization, 2014, 99, (C), 109-125 View citations (10)

2013

9. A copula–GARCH model for macro asset allocation of a portfolio with commodities
   Empirical Economics, 2013, 44, (3), 1315-1336 View citations (6)
10. Leveraged network-based financial accelerator
    Journal of Economic Dynamics and Control, 2013, 37, (8), 1626-1640 View citations (66)
    See also Working Paper (2011)

2012

11. Portfolio frontiers with restrictions to tracking error volatility and value at risk
    Journal of Banking & Finance, 2012, 36, (9), 2604-2615 View citations (4)
    See also Working Paper (2011)
12. 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)