Details about Luca Riccetti

Access statistics for papers by Luca Riccetti.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pri191

Working Papers

2022

1. A note on the role of social impact investments in minimum variance portfolios
   Post-Print, HAL View citations (1)
2. Clusters of social impact firms. A complex network approach
   Post-Print, HAL
   See also Journal Article Clusters of social impact firms: A complex network approach, Global Finance Journal, Elsevier (2022) (2022)
3. Reconciling TEV and VaR in Active Portfolio Management: A New Frontier
   Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali
4. The Financial Network Channel of Monetary Policy Transmission: An Agent-Based Model
   Working Papers, Department of Economics, University of São Paulo (FEA-USP)
   Also in Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) (2022)
   See also Journal Article The financial network channel of monetary policy transmission: an agent-based model, Journal of Economic Interaction and Coordination, Springer (2023) View citations (2) (2023)

2020

5. 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)
   See also Journal Article Firm–bank credit network, business cycle and macroprudential policy, Journal of Economic Interaction and Coordination, Springer (2022) View citations (2) (2022)

2016

6. 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 Monetary policy and large crises in a financial accelerator agent-based model, Journal of Economic Behavior & Organization, Elsevier (2019) View citations (18) (2019)
7. 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 (28)
   See also Journal Article Network calibration and metamodeling of a financial accelerator agent based model, Journal of Economic Interaction and Coordination, Springer (2020) View citations (14) (2020)

2015

8. Stock Market Dynamics, Leveraged Network-Based Financial Accelerator and Monetary Policy
   MPRA Paper, University Library of Munich, Germany View citations (3)
   See also Journal Article Stock market dynamics, leveraged network-based financial accelerator and monetary policy, International Review of Economics & Finance, Elsevier (2016) View citations (14) (2016)

2013

9. Financial Regulation in an Agent Based Macroeconomic Model
   MPRA Paper, University Library of Munich, Germany View citations (9)
10. Financialisation and Crisis in an Agent Based Macroeconomomic Model
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Financialisation and crisis in an agent based macroeconomic model, Economic Modelling, Elsevier (2016) View citations (24) (2016)
11. Increasing Inequality and Financial Fragility in an An Agent Based Macroeconomic Model
    MPRA Paper, University Library of Munich, Germany View citations (1)
12. Unemployment benefits and financial factors in an agent-based macroeconomic model
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (10)

2012

13. An Agent Based Decentralized Matching Macroeconomic Model
    MPRA Paper, University Library of Munich, Germany View citations (27)
    See also Journal Article An agent based decentralized matching macroeconomic model, Journal of Economic Interaction and Coordination, Springer (2015) View citations (148) (2015)

2011

14. 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)
15. Leveraged Network-Based Financial Accelerator
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali View citations (19)
    See also Journal Article Leveraged network-based financial accelerator, Journal of Economic Dynamics and Control, Elsevier (2013) View citations (102) (2013)
16. 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 View citations (6)
    See also Journal Article Portfolio frontiers with restrictions to tracking error volatility and value at risk, Journal of Banking & Finance, Elsevier (2012) View citations (16) (2012)

2010

17. 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)
18. Minimum Tracking Error Volatility
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali View citations (12)

Journal Articles

2024

1. New transmission channels of ECB's unconventional monetary policies
   International Journal of Computational Economics and Econometrics, 2024, 14, (3), 284-305
2. Simulating the industrial revolution: a history-friendly model
   Journal of Economic Interaction and Coordination, 2024, 19, (4), 831-862

2023

3. The financial network channel of monetary policy transmission: an agent-based model
   Journal of Economic Interaction and Coordination, 2023, 18, (3), 533-571 View citations (2)
   See also Working Paper The Financial Network Channel of Monetary Policy Transmission: An Agent-Based Model, Working Papers, Department of Economics (2022) (2022)
4. The impact at stake: Risk and return in publicly listed social impact firms
   Business Ethics, the Environment & Responsibility, 2023, 32, (2), 713-741

2022

5. Agent-based Multi-layer Network Simulations for Financial Systemic Risk Measurement: a Proposal for Future Developments
   International Journal of Microsimulation, 2022, 15, (2), 44-61 View citations (1)
6. Clusters of social impact firms: A complex network approach
   Global Finance Journal, 2022, 52, (C)
   See also Working Paper Clusters of social impact firms. A complex network approach, Post-Print (2022) (2022)
7. Diffusion delay centrality: decelerating diffusion processes across networks
   Industrial and Corporate Change, 2022, 31, (4), 980-1003 View citations (1)
8. Firm–bank credit network, business cycle and macroprudential policy
   Journal of Economic Interaction and Coordination, 2022, 17, (2), 475-499 View citations (2)
   See also Working Paper Firm-bank credit network, business cycle and macroprudential policy, Working Papers (2020) (2020)
9. On the consistency of the individual behavior when facing higher-order risk attitudes
   Finance Research Letters, 2022, 50, (C) View citations (1)
10. Systemic risk analysis and SIFI detection: Mechanisms and measurement
    Journal of Risk Management in Financial Institutions, 2022, 15, (3), 245-259 View citations (1)

2021

11. European Significant Bank Stock Market Volatility: Is there a Bail-In Effect?
    International Journal of Business and Management, 2021, 14, (5), 32
12. Financial and non-financial risk attitudes: What does it matter?
    Journal of Behavioral and Experimental Finance, 2021, 30, (C) View citations (2)
13. Systemic risk measurement: bucketing global systemically important banks
    Annals of Finance, 2021, 17, (3), 319-351 View citations (5)

2020

14. Network calibration and metamodeling of a financial accelerator agent based model
    Journal of Economic Interaction and Coordination, 2020, 15, (2), 413-440 View citations (14)
    See also Working Paper Network Calibration and Metamodeling of a Financial Accelerator Agent Based Model, Working Papers - Economics (2016) View citations (28) (2016)
15. Risk aversion, prudence and temperance: It is a matter of gap between moments
    Journal of Behavioral and Experimental Finance, 2020, 25, (C) View citations (5)

2019

16. Asset management with TEV and VaR constraints: the constrained efficient frontiers
    Studies in Economics and Finance, 2019, 36, (4), 492-516 View citations (2)
17. Macro Asset Allocation with Social Impact Investments
    Sustainability, 2019, 11, (11), 1-19 View citations (9)
18. Monetary policy and large crises in a financial accelerator agent-based model
    Journal of Economic Behavior & Organization, 2019, 157, (C), 42-58 View citations (18)
    See also Working Paper Monetary Policy and Large Crises in a Financial Accelerator Agent-Based Model, MPRA Paper (2016) View citations (6) (2016)

2018

19. FINANCIAL REGULATION AND ENDOGENOUS MACROECONOMIC CRISES
    Macroeconomic Dynamics, 2018, 22, (4), 896-930 View citations (28)

2016

20. Financialisation and crisis in an agent based macroeconomic model
    Economic Modelling, 2016, 52, (PA), 162-172 View citations (24)
    See also Working Paper Financialisation and Crisis in an Agent Based Macroeconomomic Model, MPRA Paper (2013) (2013)
21. Increasing inequality, consumer credit and financial fragility in an agent based macroeconomic model
    Journal of Evolutionary Economics, 2016, 26, (1), 25-47 View citations (113)
22. Stock market dynamics, leveraged network-based financial accelerator and monetary policy
    International Review of Economics & Finance, 2016, 43, (C), 509-524 View citations (14)
    See also Working Paper Stock Market Dynamics, Leveraged Network-Based Financial Accelerator and Monetary Policy, MPRA Paper (2015) View citations (3) (2015)

2015

23. An agent based decentralized matching macroeconomic model
    Journal of Economic Interaction and Coordination, 2015, 10, (2), 305-332 View citations (148)
    See also Working Paper An Agent Based Decentralized Matching Macroeconomic Model, MPRA Paper (2012) View citations (27) (2012)

2014

24. Network analysis and calibration of the “leveraged network-based financial accelerator”
    Journal of Economic Behavior & Organization, 2014, 99, (C), 109-125 View citations (15)

2013

25. A copula–GARCH model for macro asset allocation of a portfolio with commodities
    Empirical Economics, 2013, 44, (3), 1315-1336 View citations (9)
26. Leveraged network-based financial accelerator
    Journal of Economic Dynamics and Control, 2013, 37, (8), 1626-1640 View citations (102)
    See also Working Paper Leveraged Network-Based Financial Accelerator, Working Papers (2011) View citations (19) (2011)

2012

27. Portfolio frontiers with restrictions to tracking error volatility and value at risk
    Journal of Banking & Finance, 2012, 36, (9), 2604-2615 View citations (16)
    See also Working Paper Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk, Working Papers (2011) View citations (6) (2011)
28. 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 (2)

Undated

29. How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
    Journal of Risk

Chapters

2017

1. The Determinants of Lending to Customers: Evidence from Italy Between 2008 and 2012
   Springer View citations (4)

2014

2. Intermediation Model, Bank Size and Lending to Customers: Is There a Significant Relationship? Evidence from Italy: 2008–2011
   Palgrave Macmillan