Working Paper series

From Rimini Centre for Economic Analysis
Contact information at EDIRC.
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19-06: What is the Investment Loss due to Uncertainty?

Theodore Panagiotidis and Panagiotis Printzis

19-05: Shooting down the price: evidence from mafia homicides and housing market volatility

Michele Battisti, Giovanni Bernardo, Andrea Lavezzi and Giuseppe Maggio

19-04: Explaining and measuring tolerant behavior

Caterina Liberati, Riccarda Longaretti and Alessandra Michelangeli

19-03: Commodity Price Uncertainty as a Leading Indicator of Economic Activity

Athanasios Triantafyllou, Dimitrios Bakas and Marilou Ioakimidis

19-02: Not all price endings are created equal: Price points and asymmetric price rigidity

Daniel Levy, Avichai Snir, Alex Gotler and Haipeng (Allan) Chen

19-01: New testing approaches for mean-variance predictability

Gabriele Fiorentini and Enrique Sentana

18-42: Twitter versus Traditional News Media: Evidence for the Sovereign Bond Markets

Costas Milas, Theodore Panagiotidis and Theologos Dergiades

18-41: Decomposing global bank productivity growth: the role of non-performing loans, equity and technology

Emmanuel Mamatzakis and Mike Tsionas

18-40: Does Corporate Governance add value to Islamic banks? A quantitative analysis of cost efficiency and financial stability

Christos Alexakis, Khamis Al-Yahyaee, Emmanuel Mamatzakis, Asma Mobarek, Sabur Mollah and Vasileios Pappas

18-39: The effects of markets, uncertainty and search intensity on bitcoin returns

Theodore Panagiotidis, Thanasis Stengos and Orestis Vravosinos

18-38: Multivariate Stochastic Volatility with Co-Heteroscedasticity

Joshua Chan, Arnaud Doucet, Roberto Leon-Gonzalez and Rodney Strachan

18-37: Reducing Dimensions in a Large TVP-VAR

Eric Eisenstat, Joshua Chan and Rodney Strachan

18-36: Public Debt Frontier. A toolkit for analyzing fiscal policy and debt sustainability

Gonzalo F. de-Córdoba, Benedetto Molinari and Jose Torres

18-35: Property Heterogeneity and Convergence Club Formation among Local House Prices

Mark Holmes, Jesus Otero and Theodore Panagiotidis

18-34: Simulating financial contagion dynamics in random interbank networks

John Leventides, Kalliopi Loukaki and Vassilios Papavassiliou

18-33: Are China’s “Leftover Women” really leftover? An investigation of marriage market penalties in modern-day China

Loren Brandt, Hongbin Li, Laura Turner and Jiaqi Zou

18-32: Caught in the Cycle: Economic Conditions at Enrollment and Labor Market Outcomes of College Graduates

Alena Bičáková, Guido Matias Cortes and Jacopo Mazza

18-31: Variational Bayes inference in high-dimensional time-varying parameter models

Gary Koop and Dimitris Korobilis

18-30: Machine Learning Macroeconometrics: A Primer

Dimitris Korobilis

18-29: The Rise and Fall of the Natural Interest Rate

Gabriele Fiorentini, Alessandro Galesi, Gabriel Pérez-Quirós and Enrique Sentana

18-28: Economic Policy Uncertainty Spillovers in Booms and Busts

Giovanni Caggiano, Efrem Castelnuovo and Juan Manuel Figueres

18-27: The monetary dimension of arbitrage. A brief note

Andrea Mantovi

18-26: Modeling Euro STOXX 50 Volatility with Common and Market–specific Components

Fabrizio Cipollini and Giampiero Gallo

18-25: Mildly explosive autoregression under stationary conditional heteroskedasticity

Stelios Arvanitis and Tassos Magdalinos

18-24: Least Squares and IVX Limit Theory in Systems of Predictive Regressions with GARCH innovations

Tassos Magdalinos

18-23: A Bayesian dynamic model to test persistence in funds' performance

Emmanuel Mamatzakis and Mike Tsionas

18-22: Specification tests for non-Gaussian maximum likelihood estimators

Gabriele Fiorentini and Enrique Sentana

18-21: Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions

Dimitris Korobilis and Davide Pettenuzzo

18-20: Forecasting with High-Dimensional Panel VARs

Gary Koop and Dimitris Korobilis

18-19: The Effect of News Shocks and Monetary Policy

Luca Gambetti, Dimitris Korobilis, John Tsoukalas and Francesco Zanetti

18-18: Governance and efficiency with and without Government

Francesco Angelini, Guido Candela and Massimiliano Castellani

18-17: Identification of Common Factors in Panel Data Growth Model

Pinar Deniz, Thanasis Stengos and Ege Yazgan

18-16: Here Lives a Wealthy Man: Price Rigidity and Predictability in Luxury Housing Markets

Daniel Levy and Avichai Snir

18-15: Tat will tell: Tattoos and time preferences

Bradley Ruffle and Anne Wilson

18_14: International portfolio allocation with European fixed-income funds: What scope for Italian funds?

Paolo Zagaglia

18-14: On the determinants of bitcoin returns: a LASSO approach

Theodore Panagiotidis, Thanasis Stengos and Orestis Vravosinos

18_13: Business Cycle Synchronization in the European Union: The Effect of the Common Currency

Periklis Gogas

18-13: Volatility persistence and asymmetry under the microscope: The role of information demand for gold and oil

Georgios Bampinas, Theodore Panagiotidis and Christina Rouska

18_12: Secrecy Versus Patents: Process Innovations and the Role of Uncertainty

Tapan Biswas and Jolian McHardy

18-12: Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors

Mark Fisher and Mark Jensen

18-11: A Class of Model Averaging Estimators

Shangwei Zhao, Aman Ullah and Xinyu Zhang

18_11: Heterogeneous Convergence

Andrew Young, Matthew Higgins and Daniel Levy

18-10: Has Monetary Policy Changed? How the Crisis Shifted the Ground Under Central Banks

Pierre Siklos

18_10: An I(d) Model with Trend and Cycles

Karim M. Abadir, Walter Distaso and Liudas Giraitis

18_09: OPTION PRICING UNDER LÉVY PROCESSES: A UNIFYING FORMULA

Rossella Agliardi

18-09: Some financial implications of global warming: An empirical assessment

Claudio Morana and Giacomo Sbrana

18_08: Nelson-Plosser revisited: the ACF approach

Karim M. Abadir, Gabriel Talmain and Giovanni Caggiano

18-08: Economic Growth and the Public Sector: A Comparison of Canada and Italy, 1870-2013

Livio Di Matteo and T. Barbiero

18-07: On the evolution of individual preferences and family rules

Alessandro Cigno and Annalisa Luporini

18_07: Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model

Gianni Amisano and Oreste Tristani