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Details about Costanza Torricelli

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Homepage:http://www.economia.unimore.it/torricelli_costanza/index.htm
Workplace:Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Dipartimento di Economia "Marco Biagi" (Department of Economics), Università degli Studi di Modena e Reggio Emilia (University of Modena and Reggio Emilia), (more information at EDIRC)
Centre for Research on Pensions and Welfare Policies (CeRP), Collegio Carlo Alberto (Carlo Alberto College), Università degli Studi di Torino (University of Turin), (more information at EDIRC)

Access statistics for papers by Costanza Torricelli.

Last updated 2019-07-28. Update your information in the RePEc Author Service.

Short-id: pto78


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Working Papers

2019

  1. The impact of the Fundamental Review of the Trading Book: A preliminary assessment on a stylized portfolio
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads

2018

  1. Household Preferences for Socially Responsible Investments
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) Downloads View citations (2)
    Also in Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2018) Downloads View citations (2)

    See also Journal Article in Journal of Banking & Finance (2019)

2017

  1. Individual Heterogeneity and Pension Choices: How to Communicate an Effective Message?
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads View citations (4)
    Also in Center for the Analysis of Public Policies (CAPP), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2016) Downloads
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2017) Downloads View citations (2)
  2. Past Income Scarcity and Current Perception of Financial Fragility
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads View citations (2)

2015

  1. Second homes: households' life dream or (wrong) investment?
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads
    Also in CEIS Research Paper, Tor Vergata University, CEIS (2012) Downloads View citations (1)
  2. Systemic risk measures and macroprudential stress tests. An assessment over the 2014 EBA exercise
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads
    See also Journal Article in Annals of Finance (2017)

2014

  1. Does homeownership partly explain low participation in supplementary pension schemes?
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads View citations (9)
    See also Journal Article in Economic Notes (2016)
  2. Family ties: occupational responses to cope with a household income shock
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads View citations (9)
    Also in Center for the Analysis of Public Policies (CAPP), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2014) Downloads View citations (16)
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2014) Downloads View citations (14)
  3. The impact of skill and management structure on Serie A Clubs’ performance
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads

2013

  1. A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads View citations (11)
    See also Journal Article in Applied Economics (2015)
  2. Do women prefer pink? The effect of a gender stereotypical stock portfolio on investing decisions
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (1)
    See also Journal Article in Politica economica (2015)
  3. Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads View citations (1)
    See also Journal Article in Applied Financial Economics (2013)

2012

  1. Is Financial Fragility a Matter of Illiquidity? An Appraisal for Italian Households
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (30)
    Also in Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2012) Downloads View citations (5)

    See also Journal Article in Review of Income and Wealth (2016)
  2. Is It Money or Brains? The Determinants of Intra-Family Decision Power
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads View citations (16)
    Also in CHILD Working Papers Series, Centre for Household, Income, Labour and Demographic Economics (CHILD) - CCA (2012) Downloads View citations (17)
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2012) Downloads View citations (24)
    CEIS Research Paper, Tor Vergata University, CEIS (2012) Downloads View citations (15)
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" (2012) Downloads View citations (17)
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2012) Downloads View citations (5)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (30)

2011

  1. Modelling credit risk for innovative firms: the role of innovation measures
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads View citations (13)

2010

  1. A parsimonious default prediction model for Italian SMEs
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads View citations (13)

2009

  1. MODELS FOR HOUSEHOLD PORTFOLIOS AND LIFE-CYCLE ALLOCATIONS IN THE PRESENCE OF LABOUR INCOME AND LONGEVITY RISK
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads
  2. Marriage and Other Risky Assets: A Portfolio Approach
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" Downloads
    Also in Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" (2008) Downloads
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2009) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (3)
    CHILD Working Papers, CHILD - Centre for Household, Income, Labour and Demographic economics - ITALY (2009) Downloads

    See also Journal Article in Journal of Banking & Finance (2011)

2008

  1. Indebtedness, macroeconomic conditions and banks’ loan losses: evidence from Italy
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads
  2. Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (3)
    See also Journal Article in Annals of Finance (2010)

2007

  1. Model risk and techniques for controlling market parameters. The experience in Banco Popolare
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads
  2. The Effect of Population Ageing on Household Portfolio Choices in Italy
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" Downloads
    Also in Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica (2007) Downloads View citations (1)
  3. The role of demographic variables in explaining financial returns in Italy
    Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica Downloads View citations (1)

2006

  1. Economic activity and Recession Probabilities: spread predictive power in Italy
    Computing in Economics and Finance 2006, Society for Computational Economics
  2. Optimal banks behaviour and procyclicality
    Computing in Economics and Finance 2006, Society for Computational Economics

2005

  1. Forward-looking estimation of default probabilities with Italian data
    Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica Downloads View citations (6)
  2. The aim of the present work is to test the predictive power of the term spread in forecasting real economic growth rates and recession probabilities in Italy. According to the most recent literature, the relationship between the term spread and economic growth rates is modelled as a nonlinear one and specifically the Logistic Smooth Transition model is used, while a probit model is implemented to forecast recession probabilities. In both applications evidence supports a relevant informative content of the spread in Italy
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" Downloads
  3. The internal efficiency of Index Option Markets
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads
  4. The no arbitrage condition in option implied trees: evidence from the Italian index options market
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" Downloads

2004

  1. A forward-looking model for time-varying capital requirements and the New Basel Capital Accord
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" Downloads
  2. The internal efficiency of Index Option Markets:Tests on the Italian Market
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" Downloads

2003

  1. Call and put implied volatilities and the derivation of option implied trees
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" Downloads
    See also Journal Article in Frontiers in Finance and Economics (2007)
  2. The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market
    Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" Downloads

2001

  1. Estimation and arbitrage opportunities for exchange rate baskets
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
    See also Journal Article in Applied Economics (2003)

1999

  1. The Information in the Term of Structure: further Results for Germany
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia Downloads View citations (5)

1998

  1. Tests of the Expectations Hypothesis and Policy Reaction to the Term Spread: Some Comparative Evidence
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (2)
    Also in Economic Research Papers, University of Warwick - Department of Economics (1998) Downloads View citations (1)

1997

  1. The expectations hypothesis of the term structure: Evidence for Germany
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia Downloads View citations (9)

Journal Articles

2019

  1. Household preferences for socially responsible investments
    Journal of Banking & Finance, 2019, 105, (C), 107-120 Downloads
    See also Working Paper (2018)

2018

  1. Family ties: Labor supply responses to cope with a household employment shock
    Review of Economics of the Household, 2018, 16, (3), 809-832 Downloads View citations (2)
  2. Individual heterogeneity and pension choices: Evidence from Italy
    Journal of Economic Behavior & Organization, 2018, 148, (C), 260-281 Downloads

2017

  1. Second homes in Italy: every household’s dream or (un)profitable investments?
    Housing Studies, 2017, 32, (2), 168-185 Downloads
  2. Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise
    Annals of Finance, 2017, 13, (3), 237-251 Downloads View citations (1)
    See also Working Paper (2015)

2016

  1. Does Homeownership Partly Explain Low Participation in Supplementary Pension Schemes?
    Economic Notes, 2016, 45, (2), 179-203 Downloads View citations (5)
    See also Working Paper (2014)
  2. Is Financial Fragility a Matter of Illiquidity? An Appraisal for Italian Households
    Review of Income and Wealth, 2016, 62, (4), 628-649 Downloads View citations (12)
    See also Working Paper (2012)

2015

  1. A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises
    Applied Economics, 2015, 47, (2), 129-147 Downloads View citations (7)
    See also Working Paper (2013)
  2. Do Women Prefer Pink? The Effect of a Gender Stereotypical Stock Portfolio on Investing Decisions
    Politica economica, 2015, (3), 377-420 Downloads View citations (3)
    See also Working Paper (2013)

2014

  1. Who holds the purse strings within the household? The determinants of intra-family decision making
    Journal of Economic Behavior & Organization, 2014, 101, (C), 65-86 Downloads View citations (14)

2013

  1. Efficiency and unbiasedness of corn futures markets: new evidence across the financial crisis
    Applied Financial Economics, 2013, 23, (24), 1853-1863 Downloads View citations (2)
    See also Working Paper (2013)
  2. Modelling Credit Risk for Innovative SMEs: the Role of Innovation Measures
    Journal of Financial Services Research, 2013, 44, (1), 111-129 Downloads View citations (4)

2011

  1. Marriage and other risky assets: A portfolio approach
    Journal of Banking & Finance, 2011, 35, (11), 2902-2915 Downloads View citations (31)
    See also Working Paper (2009)

2010

  1. Demographics and asset returns: does the dynamics of population ageing matter?
    Annals of Finance, 2010, 6, (2), 193-219 Downloads View citations (2)
  2. Population age structure and household portfolio choices in Italy
    The European Journal of Finance, 2010, 16, (6), 481-502 Downloads View citations (6)
  3. Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework
    Annals of Finance, 2010, 6, (1), 33-49 Downloads View citations (2)
    See also Working Paper (2008)
  4. The Interaction of Financial Fragility and the Business Cycle in Determining Banks’ Loan Losses: An Investigation of the Italian Case
    Economic Notes, 2010, 39, (3), 129-146 Downloads View citations (1)

2009

  1. Economic activity and recession probabilities: information content and predictive power of the term spread in Italy
    Applied Economics, 2009, 41, (18), 2309-2322 Downloads View citations (2)
  2. On the no-arbitrage condition in option implied trees
    European Journal of Operational Research, 2009, 193, (1), 212-221 Downloads View citations (10)

2008

  1. Portfolio Choices, Gender and Marital Status
    Rivista di Politica Economica, 2008, 98, (5), 119-154 Downloads View citations (1)

2007

  1. Call an Put Implied Volatilities and the Derivation of Option Implied Trees
    Frontiers in Finance and Economics, 2007, 4, (1), 35-64 Downloads
    See also Working Paper (2003)
  2. The internal and cross market efficiency in index option markets: an investigation of the Italian market
    Applied Financial Economics, 2007, 17, (1), 25-33 Downloads View citations (6)

2005

  1. Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities
    Journal of Banking & Finance, 2005, 29, (12), 3121-3140 Downloads View citations (29)
  2. Put-call parity and cross-markets efficiency in the index options markets: evidence from the Italian market
    International Review of Financial Analysis, 2005, 14, (5), 508-532 Downloads View citations (5)
  3. The pricing of options on an interval binomial tree. An application to the DAX-index option market
    European Journal of Operational Research, 2005, 163, (1), 192-200 Downloads View citations (3)

2004

  1. A multiperiod binomial model for pricing options in a vague world
    Journal of Economic Dynamics and Control, 2004, 28, (5), 861-887 Downloads View citations (7)

2003

  1. Estimation and arbitrage opportunities for exchange rate baskets
    Applied Economics, 2003, 35, (15), 1689-1698 Downloads View citations (1)
    See also Working Paper (2001)

2002

  1. The information in the term structure of German interest rates
    The European Journal of Finance, 2002, 8, (1), 21-45 Downloads View citations (7)

2001

  1. A MODEL FOR PRICING AN OPTION WITH A FUZZY PAYOFF
    Fuzzy Economic Review, 2001, VI, (1), 49-87 View citations (4)
  2. The rational expectation dynamics of a model for the term structure and monetary policy
    Decisions in Economics and Finance, 2001, 24, (2), 137-152 Downloads

1996

  1. A comparative evaluation of alternative models of the term structure of interest rates
    European Journal of Operational Research, 1996, 93, (1), 205-223 Downloads View citations (8)

1994

  1. Futures market and spot price volatility: A model for a storable commodity
    European Journal of Political Economy, 1994, 10, (2), 339-355 Downloads View citations (1)

Books

2007

  1. Money, Finance and Demography: The Consequences of Ageing
    SUERF Colloquium Volumes, SUERF - The European Money and Finance Forum Downloads View citations (8)
 
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