Details about Costanza Torricelli
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Last updated 2025-01-09. Update your information in the RePEc Author Service.
Short-id: pto78
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Working Papers
2022
- Climate Stress Test: bad (or good) news for the market? An Event Study Analysis on Euro Zone Banks
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"
- ESG compliant optimal portfolios: The impact of ESG constraints on portfolio optimization in a sample of European stocks
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"
- ESG screening strategies and portfolio performance: how do they fare in periods of financial distress?
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" View citations (4)
- Social Bonds and the “Social Premiumâ€
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"
2021
- The market price of greenness A factor pricing approach for Green Bonds
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" View citations (5)
2020
- Financial Fragility across Europe and the US: The Role of Portfolio Choices, Household Features and Economic-institutional Setup
CEIS Research Paper, Tor Vergata University, CEIS View citations (6)
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" (2020) View citations (7)
2019
- 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" View citations (7)
2018
- Household Preferences for Socially Responsible Investments
CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) View citations (8)
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) View citations (8)
See also Journal Article Household preferences for socially responsible investments, Journal of Banking & Finance, Elsevier (2019) View citations (34) (2019)
2017
- 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" View citations (12)
Also in CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2017) View citations (10) Center for the Analysis of Public Policies (CAPP), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2016)
- 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" View citations (9)
2015
- 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" 
Also in CEIS Research Paper, Tor Vergata University, CEIS (2012) View citations (1)
- 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" View citations (11)
See also Journal Article Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise, Annals of Finance, Springer (2017) View citations (4) (2017)
2014
- Do Women Prefer Pink?: The Effect of a Gender Stereotypical Stock Portfolio on Investing Decisions
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (7)
Also in Carlo Alberto Notebooks, Collegio Carlo Alberto (2013) View citations (2)
See also Journal Article Do Women Prefer Pink? The Effect of a Gender Stereotypical Stock Portfolio on Investing Decisions, Politica economica, Società editrice il Mulino (2015) View citations (7) (2015)
- 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" View citations (22)
See also Journal Article Does Homeownership Partly Explain Low Participation in Supplementary Pension Schemes?, Economic Notes, Banca Monte dei Paschi di Siena SpA (2016) View citations (5) (2016)
- Family ties: occupational responses to cope with a household income shock
CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) View citations (20)
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" (2014) View citations (22) Center for the Analysis of Public Policies (CAPP), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2014) View citations (22)
- 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" View citations (18)
2013
- 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" View citations (28)
See also Journal Article A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises, Applied Economics, Taylor & Francis Journals (2015) View citations (14) (2015)
- 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" View citations (24)
See also Journal Article Efficiency and unbiasedness of corn futures markets: new evidence across the financial crisis, Applied Financial Economics, Taylor & Francis Journals (2013) View citations (24) (2013)
2012
- Is Financial Fragility a Matter of Illiquidity? An Appraisal for Italian Households
CEIS Research Paper, Tor Vergata University, CEIS View citations (38)
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) View citations (31)
See also Journal Article Is Financial Fragility a Matter of Illiquidity? An Appraisal for Italian Households, Review of Income and Wealth, International Association for Research in Income and Wealth (2016) View citations (34) (2016)
- Is It Money or Brains? The Determinants of Intra-Family Decision Power
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (43)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (47) Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2012) View citations (31) 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) View citations (41) CHILD Working Papers Series, Centre for Household, Income, Labour and Demographic Economics (CHILD) - CCA (2012) View citations (44) Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" (2012) View citations (26) CEIS Research Paper, Tor Vergata University, CEIS (2012) View citations (41)
2011
- 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" View citations (29)
2010
- 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" View citations (32)
2009
- 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" View citations (29)
- Marriage and Other Risky Assets: A Portfolio Approach
Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" View citations (1)
Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2009) View citations (1) Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" (2008)  CHILD Working Papers, CHILD - Centre for Household, Income, Labour and Demographic economics - ITALY (2009) View citations (1) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (3)
See also Journal Article Marriage and other risky assets: A portfolio approach, Journal of Banking & Finance, Elsevier (2011) View citations (57) (2011)
2008
- 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"
- Rating systems, procyclicalilty and Basel II: an evaluation in a general equilibrium framework
Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations (4)
See also Journal Article Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework, Annals of Finance, Springer (2010) View citations (6) (2010)
2007
- 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"
- The Effect of Population Ageing on Household Portfolio Choices in Italy
Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica View citations (1)
Also in Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" (2007)
- 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 View citations (1)
2006
- Economic activity and Recession Probabilities: spread predictive power in Italy
Computing in Economics and Finance 2006, Society for Computational Economics
- Optimal banks behaviour and procyclicality
Computing in Economics and Finance 2006, Society for Computational Economics
2005
- Forward-looking estimation of default probabilities with Italian data
Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica View citations (6)
- 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"
- The internal efficiency of Index Option Markets
Computing in Economics and Finance 2005, Society for Computational Economics
- 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"
2004
- 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"
- 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"
2003
- 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" 
See also Journal Article Call an Put Implied Volatilities and the Derivation of Option Implied Trees, Frontiers in Finance and Economics, SKEMA Business School (2007) (2007)
- 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" View citations (1)
2001
- 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 View citations (1)
See also Journal Article Estimation and arbitrage opportunities for exchange rate baskets, Applied Economics, Taylor & Francis Journals (2003) View citations (1) (2003)
1999
- 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 View citations (6)
1998
- 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 View citations (2)
Also in Economic Research Papers, University of Warwick - Department of Economics (1998) View citations (1)
1997
- 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 View citations (11)
Journal Articles
2024
- The trade-off between ESG screening and portfolio diversification in the short and in the long run
Journal of Economics and Finance, 2024, 48, (2), 298-322 View citations (1)
2023
- Social bonds and the “social premium”
Journal of Economics and Finance, 2023, 47, (3), 600-619
2021
- An assessment of the Fundamental Review of the Trading Book: the capital requirement impact on a stylised financial portfolio
International Journal of Banking, Accounting and Finance, 2021, 12, (4), 389-403
2020
- Collected Works of Marida Bertocchi
Quantitative Finance, 2020, 20, (5), 721-722
- Saving with a Social Impact: Evidence from Trento Province
Sustainability, 2020, 12, (20), 1-15 View citations (1)
- The scars of scarcity in the short run: an empirical investigation across Europe
Economia Politica: Journal of Analytical and Institutional Economics, 2020, 37, (3), 1033-1069 View citations (2)
2019
- Household preferences for socially responsible investments
Journal of Banking & Finance, 2019, 105, (C), 107-120 View citations (34)
See also Working Paper Household Preferences for Socially Responsible Investments, CeRP Working Papers (2018) View citations (8) (2018)
2018
- Family ties: Labor supply responses to cope with a household employment shock
Review of Economics of the Household, 2018, 16, (3), 809-832 View citations (8)
- Individual heterogeneity and pension choices: Evidence from Italy
Journal of Economic Behavior & Organization, 2018, 148, (C), 260-281 View citations (7)
2017
- Second homes in Italy: every household’s dream or (un)profitable investments?
Housing Studies, 2017, 32, (2), 168-185 View citations (1)
- Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise
Annals of Finance, 2017, 13, (3), 237-251 View citations (4)
See also Working Paper 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) (2015) View citations (11) (2015)
2016
- Does Homeownership Partly Explain Low Participation in Supplementary Pension Schemes?
Economic Notes, 2016, 45, (2), 179-203 View citations (5)
See also Working Paper Does homeownership partly explain low participation in supplementary pension schemes?, Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) (2014) View citations (22) (2014)
- Is Financial Fragility a Matter of Illiquidity? An Appraisal for Italian Households
Review of Income and Wealth, 2016, 62, (4), 628-649 View citations (34)
See also Working Paper Is Financial Fragility a Matter of Illiquidity? An Appraisal for Italian Households, CEIS Research Paper (2012) View citations (38) (2012)
2015
- 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 View citations (14)
See also Working Paper 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) (2013) View citations (28) (2013)
- Do Women Prefer Pink? The Effect of a Gender Stereotypical Stock Portfolio on Investing Decisions
Politica economica, 2015, (3), 377-420 View citations (7)
See also Working Paper Do Women Prefer Pink?: The Effect of a Gender Stereotypical Stock Portfolio on Investing Decisions, Other publications TiSEM (2014) View citations (7) (2014)
2014
- 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 View citations (47)
2013
- Efficiency and unbiasedness of corn futures markets: new evidence across the financial crisis
Applied Financial Economics, 2013, 23, (24), 1853-1863 View citations (24)
See also Working Paper 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) (2013) View citations (24) (2013)
- Modelling Credit Risk for Innovative SMEs: the Role of Innovation Measures
Journal of Financial Services Research, 2013, 44, (1), 111-129 View citations (17)
2011
- Marriage and other risky assets: A portfolio approach
Journal of Banking & Finance, 2011, 35, (11), 2902-2915 View citations (57)
See also Working Paper Marriage and Other Risky Assets: A Portfolio Approach, Center for Economic Research (RECent) (2009) View citations (1) (2009)
2010
- Demographics and asset returns: does the dynamics of population ageing matter?
Annals of Finance, 2010, 6, (2), 193-219 View citations (6)
- Population age structure and household portfolio choices in Italy
The European Journal of Finance, 2010, 16, (6), 481-502 View citations (15)
- Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework
Annals of Finance, 2010, 6, (1), 33-49 View citations (6)
See also Working Paper Rating systems, procyclicalilty and Basel II: an evaluation in a general equilibrium framework, Economics Series Working Papers (2008) View citations (1) (2008)
- 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 View citations (1)
2009
- Economic activity and recession probabilities: information content and predictive power of the term spread in Italy
Applied Economics, 2009, 41, (18), 2309-2322 View citations (5)
- On the no-arbitrage condition in option implied trees
European Journal of Operational Research, 2009, 193, (1), 212-221 View citations (13)
2008
- Portfolio Choices, Gender and Marital Status
Rivista di Politica Economica, 2008, 98, (5), 119-154 View citations (2)
2007
- Call an Put Implied Volatilities and the Derivation of Option Implied Trees
Frontiers in Finance and Economics, 2007, 4, (1), 35-64 
See also Working Paper Call and put implied volatilities and the derivation of option implied trees, Department of Economics (2003) (2003)
- The internal and cross market efficiency in index option markets: an investigation of the Italian market
Applied Financial Economics, 2007, 17, (1), 25-33 View citations (6)
2005
- Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities
Journal of Banking & Finance, 2005, 29, (12), 3121-3140 View citations (35)
- 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 View citations (7)
- 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 View citations (4)
2004
- A multiperiod binomial model for pricing options in a vague world
Journal of Economic Dynamics and Control, 2004, 28, (5), 861-887 View citations (11)
2003
- Estimation and arbitrage opportunities for exchange rate baskets
Applied Economics, 2003, 35, (15), 1689-1698 View citations (1)
See also Working Paper Estimation and arbitrage opportunities for exchange rate baskets, SFB 373 Discussion Papers (2001) View citations (1) (2001)
2002
- The information in the term structure of German interest rates
The European Journal of Finance, 2002, 8, (1), 21-45 View citations (8)
2001
- A MODEL FOR PRICING AN OPTION WITH A FUZZY PAYOFF
Fuzzy Economic Review, 2001, VI, (1), 49-87 View citations (4)
- The rational expectation dynamics of a model for the term structure and monetary policy
Decisions in Economics and Finance, 2001, 24, (2), 137-152
1996
- A comparative evaluation of alternative models of the term structure of interest rates
European Journal of Operational Research, 1996, 93, (1), 205-223 View citations (11)
1994
- Futures market and spot price volatility: A model for a storable commodity
European Journal of Political Economy, 1994, 10, (2), 339-355 View citations (4)
Books
2007
- Money, Finance and Demography: The Consequences of Ageing
SUERF Colloquium Volumes, SUERF - The European Money and Finance Forum View citations (8)
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