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Details about Marco Taboga

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Homepage:http://www.statlect.com
Workplace:Banca d'Italia (Bank of Italy), (more information at EDIRC)

Access statistics for papers by Marco Taboga.

Last updated 2019-07-03. Update your information in the RePEc Author Service.

Short-id: pta33


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Working Papers

2018

  1. Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (1)

2017

  1. Assessing the risks of asset overvaluation: models and challenges
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (1)

2016

  1. Easier said than done? Reforming the prudential treatment of banks’ sovereign exposures
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (7)

2015

  1. Decomposing euro area sovereign spreads: credit, liquidity and convenience
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (1)
  2. Sectoral differences in managers’ compensation: insights from a matching model
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (1)
  3. Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (3)

2013

  1. What is a prime bank? A Euribor � OIS spread perspective
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (4)
    See also Journal Article in International Finance (2014)

2012

  1. Recent estimates of sovereign risk premia for euro-area countries
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (71)

2011

  1. Bayesian analysis of coefficient instability in dynamic regressions
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads
    See also Journal Article in Econometrics (2019)

2010

  1. Under/over-valuation of the stock market and cyclically adjusted earnings
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (1)
    See also Journal Article in International Finance (2011)

2009

  1. An assessment of financial sector rescue programmes
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (98)
    See also Book (2009)
  2. Bond risk premia, macroeconomic fundamentals and the exchange rate
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2008) Downloads

    See also Journal Article in International Review of Economics & Finance (2012)
  3. The riskiness of corporate bonds
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads
    See also Journal Article in Journal of Money, Credit and Banking (2014)

2008

  1. Macro-finance VARs and bond risk premia: a caveat
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Review of Financial Economics (2009)
  2. Portfolio Selection with Monotone Mean-Variance Preferences
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (1)
    Also in Carlo Alberto Notebooks, Collegio Carlo Alberto (2007) Downloads
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research (2004) Downloads View citations (3)
    Finance, University Library of Munich, Germany (2005) Downloads View citations (3)

    See also Journal Article in Mathematical Finance (2009)

2007

  1. A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Structural change and the bond yield conundrum
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2006

  1. Canonical term-structure models with observable factors and the dynamics of bond risk premiums
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (5)
    See also Journal Article in Journal of Money, Credit and Banking (2008)

2005

  1. Maxmin Portfolio Choice
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads
  2. Portfolio Selection with Two-Stage Preferences
    Finance, University Library of Munich, Germany Downloads View citations (19)
    See also Journal Article in Finance Research Letters (2005)

2004

  1. A Simple Model of Robust Portfolio Selection
    MPRA Paper, University Library of Munich, Germany Downloads

2002

  1. The Realized Equity Premium has been Higher than Expected: Further Evidence
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
    Also in Finance, University Library of Munich, Germany (2002) Downloads

Journal Articles

2019

  1. Bayesian Analysis of Coefficient Instability in Dynamic Regressions
    Econometrics, 2019, 7, (3), 1-32 Downloads
    See also Working Paper (2011)

2016

  1. Option-implied probability distributions: How reliable? How jagged?
    International Review of Economics & Finance, 2016, 45, (C), 453-469 Downloads View citations (3)

2014

  1. The Riskiness of Corporate Bonds
    Journal of Money, Credit and Banking, 2014, 46, (4), 693-713 Downloads
    See also Working Paper (2009)
  2. What Is a Prime Bank? A Euribor–OIS Spread Perspective
    International Finance, 2014, 17, (1), 51-75 Downloads View citations (5)
    See also Working Paper (2013)

2012

  1. Bond risk premia, macroeconomic fundamentals and the exchange rate
    International Review of Economics & Finance, 2012, 22, (1), 42-65 Downloads View citations (9)
    See also Working Paper (2009)

2011

  1. Under‐/Over‐Valuation of the Stock Market and Cyclically Adjusted Earnings
    International Finance, 2011, 14, (1), 135-164 Downloads
    See also Working Paper (2010)

2009

  1. Macro-finance VARs and bond risk premia: A caveat
    Review of Financial Economics, 2009, 18, (4), 163-171 Downloads View citations (1)
    See also Working Paper (2008)
  2. PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES
    Mathematical Finance, 2009, 19, (3), 487-521 Downloads View citations (27)
    See also Working Paper (2008)

2008

  1. Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia
    Journal of Money, Credit and Banking, 2008, 40, (7), 1471-1488 Downloads View citations (24)
    See also Working Paper (2006)

2006

  1. Robust Portfolio Selection with and without Relative Entropy
    The B.E. Journal of Theoretical Economics, 2006, 6, (1), 1-26 Downloads

2005

  1. Portfolio selection with two-stage preferences
    Finance Research Letters, 2005, 2, (3), 152-164 Downloads View citations (20)
    See also Working Paper (2005)

2004

  1. The equity premium in the long-run
    Applied Financial Economics, 2004, 14, (9), 645-650 Downloads View citations (2)

Books

2009

  1. An assessment of financial sector rescue programmes
    BIS Papers, Bank for International Settlements Downloads View citations (26)
    See also Working Paper (2009)
 
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