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
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Working Papers
2020
- 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
- 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)
- 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
- 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
- Financial Regulation in an Agent Based Macroeconomic Model
MPRA Paper, University Library of Munich, Germany View citations (7)
- Financialisation and Crisis in an Agent Based Macroeconomomic Model
MPRA Paper, University Library of Munich, Germany 
See also Journal Article in Economic Modelling (2016)
- Increasing Inequality and Financial Fragility in an An Agent Based Macroeconomic Model
MPRA Paper, University Library of Munich, Germany View citations (1)
- 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
- 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
- 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)
- 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)
- 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
- 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)
- Minimum Tracking Error Volatility
Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali View citations (10)
Journal Articles
2020
- 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)
- Risk aversion, prudence and temperance: It is a matter of gap between moments
Journal of Behavioral and Experimental Finance, 2020, 25, (C)
2019
- Asset management with TEV and VaR constraints: the constrained efficient frontiers
Studies in Economics and Finance, 2019, 36, (4), 492-516
- Macro Asset Allocation with Social Impact Investments
Sustainability, 2019, 11, (11), 1-19 View citations (3)
- 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
- FINANCIAL REGULATION AND ENDOGENOUS MACROECONOMIC CRISES
Macroeconomic Dynamics, 2018, 22, (4), 896-930 View citations (15)
2016
- Financialisation and crisis in an agent based macroeconomic model
Economic Modelling, 2016, 52, (PA), 162-172 View citations (16)
See also Working Paper (2013)
- 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)
- 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
- 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
- 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
- A copula–GARCH model for macro asset allocation of a portfolio with commodities
Empirical Economics, 2013, 44, (3), 1315-1336 View citations (6)
- 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
- 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)
- 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)
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