Search Results

Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis,
Andrea Cipollini and Giuseppe Missaglia, from University Library of Munich, Germany (2005)
Keywords: Risk management default correlation Dynamic Factor

A Dynamic Factor Analysis of Financial Contagion in Asia,
Andrea Cipollini and George Kapetanios, from Queen Mary University of London, School of Economics and Finance (2003)
Keywords: Financial contagion, Dynamic factor model

Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis,
Andrea Cipollini and George Kapetanios, from Queen Mary University of London, School of Economics and Finance (2005)
Keywords: Financial contagion, Dynamic factor model

A stochastic variance factor model for large datasets and an application to S&P data,
Andrea Cipollini and George Kapetanios, in Economics Letters (2008)

Forecasting financial crises and contagion in Asia using dynamic factor analysis,
Andrea Cipollini and George Kapetanios, in Journal of Empirical Finance (2009)
Keywords: Financial contagion Dynamic Factor model

A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data,
Andrea Cipollini and George Kapetanios, from Queen Mary University of London, School of Economics and Finance (2004)
Keywords: Stochastic volatility, Factor models, Principal components

Measuring bank capital requirements through Dynamic Factor analysis,
Andrea Cipollini and Giuseppe Missaglia, from University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2008)
Keywords: Dynamic Factor Model, Forecasting, Stochastic Simulation, Risk Management, Banking

Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis,
Andrea Cipollini and George Kapetanios, from University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2008)
Keywords: Financial Contagion, Dynamic Factor Model

Leading indicator properties of US high-yield credit spreads,
Andrea Cipollini and Nektarios Aslanidis, from University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2007)
Keywords: Credit spreads, principal components, forecasting

Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling,
Andrea Cipollini and Giuseppe Missaglia, from University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2007)
Keywords: Dynamic Factor Model, Forecasting, Stochastic Simulation, Risk Management, Banking

Housing Market Shocks in Italy: a GVAR approach,
Andrea Cipollini and Fabio Parla, from Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2018)
Keywords: Ripple effect; housing market prices and volumes; Global VAR; sign restrictions

Climate risk and investment in equities in Europe: a Panel SVAR approach,
Andrea Cipollini and Fabio Parla, from Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2023)
Keywords: Climate risk, green and brown portfolios, portfolio shocks, Panel VAR

The impact of bank concentration on financial distress: the case of the European banking system,
Andrea Cipollini and Franco Fiordelisi, from Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2009)
Keywords: EVA; Banking; Panel Probit; GMM

Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis,
Andrea Cipollini and George Kapetanios, from Society for Computational Economics (2006)
Keywords: Financial Contagion, Dynamic Factor Model, Stochastic Simulation

Predicting Bond Betas using Macro-Finance Variables,
Nektarios Aslanidis, Charlotte Christiansen and Andrea Cipollini, from Department of Economics and Business Economics, Aarhus University (2017)
Keywords: bond betas, complete subset regressions, corporate bonds, macro-?finance variables, model confi?dence set, risk-return trade-off.

Predicting bond betas using macro-finance variables,
Nektarios Aslanidis, Charlotte Christiansen and Andrea Cipollini, in Finance Research Letters (2019)
Keywords: Bond betas; Complete subset regressions; Corporate bonds; Government bonds; Macro-finance variables; Model confidence set;

The European sovereign debt market: from integration to segmentation,
Andrea Cipollini, Jerry Coakley and Hyunchul Lee, in The European Journal of Finance (2015)

Macro-uncertainty and financial stress spillovers in the Eurozone,
Andrea Cipollini and Ieva Mikaliunaite-Jouvanceau, in Economic Modelling (2020)
Keywords: Connectedness; Global VAR; Mixed frequency data; Financial stress; Macro-uncertainty;

FISCAL READJUSTMENTS IN THE UNITED STATES: A NONLINEAR TIME‐SERIES ANALYSIS,
Andrea Cipollini, Bassam Fattouh and Kostas Mouratidis, in Economic Inquiry (2009)

Can an unglamorous non-event affect prices? The role of newspapers,
Riccardo Ferretti, Andrea Cipollini and Francesco Pattarin, in Cogent Economics & Finance (2016)

Threshold Effects in the U.S. Budget Deficit,
Philip Arestis, Andrea Cipollini and Bassam Fattouh, in Economic Inquiry (2004)

Financial distress and real economic activity in Lithuania: a Granger causality test based on mixed-frequency VAR,
Andrea Cipollini and Ieva Mikaliunaite-Jouvanceau, in Empirical Economics (2021)
Keywords: Granger causality, Financial stress index, Mixed frequency data

Evaluating currency crises: the case of the European monetary system,
Andrea Cipollini, Kostas Mouratidis and Nicola Spagnolo, in Empirical Economics (2008)
Keywords: Currency crises, Multiple equilibria, Markov-switching, C22, D84, F31,

The Euro and Monetary Policy Transparency,
Guglielmo Maria Caporale and Andrea Cipollini, in Eastern Economic Journal (2002)
Keywords: Exchange Rates; Interest Rates; Interest; Monetary Policy; Monetary; Policy

Testing for Contagion: a Time-Scale Decomposition,
Andrea Cipollini and Iolanda Lo Cascio, from University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2010)
Keywords: wavelets; simultaneous equations model; financial contagion

Threshold Effects in the US Budget Deficit,
Philip Arestis, Andrea Cipollini and Bassam Fattouh, from Tor Vergata University, CEIS (2003)
Keywords: Government Deficit, Threshold, Unit Root

Median Response to Shocks: A Model for VaR Spillovers in East Asia,
Fabrizio Cipollini, Giampiero Gallo and Andrea Ugolini, from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2016)
Keywords: Value at Risk, Volatility, copula functions, Spillover, turbulence, financial crisis

Threshold Effects in the U.S. Budget Deficit,
Philip Arestis, Andrea Cipollini and Bassam Fattouh, from Levy Economics Institute (2002)

Volatility co-movements: A time-scale decomposition analysis,
Andrea Cipollini, Iolanda Lo Cascio and Silvia Muzzioli, in Journal of Empirical Finance (2015)
Keywords: Implied volatility; Realized volatility; Volatility risk premium; Contagion; Heteroskedasticity bias; Wavelets;

Asymmetric semi-volatility spillover effects in EMU stock markets,
Francesco Giuseppe Caloia, Andrea Cipollini and Silvia Muzzioli, in International Review of Financial Analysis (2018)
Keywords: Semi-volatility; Asymmetry; Forecast error variance decomposition; Spillover; VHAR;

Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region,
Mohamed Abdelaziz Eissa, Georgios Chortareas and Andrea Cipollini, in Journal of Emerging Market Finance (2010)
Keywords: JEL Classification: C22; JEL Classification: F31; JEL Classification: G12; JEL Classification: G15; Stock returns; exchange rates; volatility spillovers; multivariate GARCH models; MENA region

Switching to floating exchange rates, devaluations, and stock returns in MENA countries,
Georgios Chortareas, Andrea Cipollini and Mohamed Abdelaziz Eissa, in International Review of Financial Analysis (2012)
Keywords: Exchange rate; Stock returns; Returns volatility; MENA region; Event study; Financial crisis;

Risk aversion connectedness in five European countries,
Andrea Cipollini, Iolanda Lo Cascio and Silvia Muzzioli, in Economic Modelling (2018)
Keywords: Variance risk premium; Systemic risk aversion; Long memory; Diebold and Yilmaz (2012); International spillovers; FIVAR;

How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study,
Francesco Giuseppe Caloia, Andrea Cipollini and Silvia Muzzioli, in Energy Economics (2019)
Keywords: Causality; Normalization schemes; Generalized forecast error variance decomposition; Spillover; Simulation; Vector autoregression models;

Exchange Rates and Stock Prices in the MENA Countries: What Role for Oil?,
Georgios Chortareas, Andrea Cipollini and Mohamed Abdelaziz Eissa, in Review of Development Economics (2011)

Monetary Policy and the Exchange Rate During the Asian Crisis Identification Through Heteroscedasticity,
Guglielmo Maria Caporale, Andrea Cipollini and Panicos Demetriades, from Division of Economics, School of Business, University of Leicester (2002)
Keywords: Monetary Policy; Financial Crisis; Identification

Testing for contagion: a conditional correlation analysis,
Guglielmo Maria Caporale, Andrea Cipollini and Nicola Spagnolo, in Journal of Empirical Finance (2005)

Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity,
Guglielmo Maria Caporale, Andrea Cipollini and Panicos Demetriades, in Journal of International Money and Finance (2005)

Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis,
Philip Arestis, Guglielmo Maria Caporale, Andrea Cipollini and Nicola Spagnolo, in International Journal of Finance & Economics (2005)

Does Inflation Targeting Affect the Trade–off Between Output Gap and Inflation Variability?,
Philip Arestis, Guglielmo Maria Caporale and Andrea Cipollini, in Manchester School (2002)

TESTING FOR FINANCIAL CONTAGION BETWEEN DEVELOPED AND EMERGING MARKETS DURING THE 1997 EAST ASIAN CRISIS,
Philip Arestis, Guglielmo Maria Caporale, Andrea Cipollini and Nicola Spagnolo, from Economics and Finance Section, School of Social Sciences, Brunel University (2005)

Volatility risk premia and financial connectedness,
Andrea Cipollini, Iolanda Lo Cascio and Silvia Muzzioli, from University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2014)
Keywords: volatility risk premium, long memory, FIVAR, financial connectedness

Volatility co-movements: a time scale decomposition analysis,
Andrea Cipollini, Iolanda Lo Cascio and Silvia Muzzioli, from Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2013)
Keywords: Implied volatility, Realized Volatility, Co-movements, Long Memory, Wavelets

Financial connectedness among European volatility risk premia,
Andrea Cipollini, Iolanda Lo Cascio and Silvia Muzzioli, from Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" (2015)
Keywords: volatility risk premium, long memory, FIVAR, financial connectedness

Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity,
Guglielmo Maria Caporale, Andrea Cipollini and Panicos Demetriades, from Tor Vergata University, CEIS (2003)
Keywords: Monetary Policy, Financial Crisis, Identification

Predicting Bond Betas using Macro-Finance Variables,
Aslanidis, Nektarios,, Charlotte Christiansen, Andrea Cipollini and Bons -- Models Matemàtics, from Universitat Rovira i Virgili, Department of Economics (2018)
Keywords: Bons -- Models matemàtics, 336 - Finances. Banca. Moneda. Borsa,

Testing for Financial Contagion between Developed and Emerging Markets during the 1997 East Asian Crisis,
Philip Arestis, Guglielmo Maria Caporale and Andrea Cipollini, from Levy Economics Institute (2003)

Condition-based maintenance of naval propulsion systems: Data analysis with minimal feedback,
Francesca Cipollini, Luca Oneto, Andrea Coraddu, Alan John Murphy and Davide Anguita, in Reliability Engineering and System Safety (2018)
Keywords: Data analysis; Naval propulsion systems; Condition-based maintenance; Supervised learning; Unsupervised learning; Novelty detection; Minimal feedback.;

Registered author: Fabrizio Cipollini

Inflation breakeven in the Jarrow and Yildirim model and resulting pricing formulas,
Alessandro Cipollini and Paul Canty, in Quantitative Finance (2013)

Modeling Euro STOXX 50 Volatility with Common and Market–specific Components,
Fabrizio Cipollini and Giampiero Gallo, from Rimini Centre for Economic Analysis (2018)
Keywords: Realized Volatility, (vector) Multiplicative Error Models, GMM, HAR, Common Component, Euro area

Multiplicative Error Models: 20 years on,
Fabrizio Cipollini and Giampiero Gallo, from arXiv.org (2021)

Automated variable selection in vector multiplicative error models,
Fabrizio Cipollini and Giampiero Gallo, in Computational Statistics & Data Analysis (2010)

Modeling Euro STOXX 50 volatility with common and market-specific components,
Fabrizio Cipollini and Giampiero Gallo, in Econometrics and Statistics (2019)
Keywords: Realized volatility; (vector) Multiplicative Error Models; GMM; HAR; Common component; Euro area;

Automated Variable Selection in Vector Multiplicative Error Models,
Fabrizio Cipollini and Giampiero Gallo, from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2009)
Keywords: Multiplicative Error Model, GMM, Simultaneous Equations, Volatility, Market Activity

Asset encumbrance in banks: Is systemic risk affected?,
Fabrizio Cipollini, Federica Ielasi and Francesca Querci, in Research in International Business and Finance (2024)
Keywords: Asset encumbrance; Systemic risk; Bank stability; European banks;

Parents’ Use of Subsidiaries to “Push Down” Earnings Management: Evidence from Italy,
Massimiliano Bonacchi, Fabrizio Cipollini and Paul Zarowin, in Contemporary Accounting Research (2018)

Estimating the causal effect of an intervention in a time series setting: the C-ARIMA approach,
Fiammetta Menchetti, Fabrizio Cipollini and Fabrizia Mealli, from arXiv.org (2021)

Causal effect of regulated Bitcoin futures on volatility and volume,
Fiammetta Menchetti, Fabrizio Cipollini and Fabrizia Mealli, from arXiv.org (2021)

Determinants of SME credit worthiness under Basel rules: the value of credit history information,
Francesco Dainelli, Francesco Giunta and Fabrizio Cipollini, in PSL Quarterly Review (2013)
Keywords: Basel accord; Small business financing; credit historical data; rating

A dynamic conditional approach to portfolio weights forecasting,
Fabrizio Cipollini, Giampiero Gallo and Alessandro Palandri, from arXiv.org (2020)

Modeling and evaluating conditional quantile dynamics in VaR forecasts,
Fabrizio Cipollini, Giampiero Gallo and Alessandro Palandri, from arXiv.org (2023)

Realized Variance Modeling: Decoupling Forecasting from Estimation*,
Fabrizio Cipollini, Giampiero Gallo and Alessandro Palandri, in Journal of Financial Econometrics
Keywords: forecast evaluation, Heterogeneous Autoregressive (HAR) model, realized variance, variance forecasting, variance modeling

Realized Variance Modeling: Decoupling Forecasting from Estimation*,
Fabrizio Cipollini, Giampiero Gallo and Alessandro Palandri, in Journal of Financial Econometrics (2020)
Keywords: forecast evaluation, Heterogeneous Autoregressive (HAR) model, realized variance, variance forecasting, variance modeling

Combining counterfactual outcomes and ARIMA models for policy evaluation,
Fiammetta Menchetti, Fabrizio Cipollini and Fabrizia Mealli, in The Econometrics Journal (2023)
Keywords: ARIMA, causal inference, intervention analysis, potential outcomes

Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity,
Fabrizio Cipollini, Robert Engle and Giampiero Gallo, in Econometrics (2017)
Keywords: GARCH; MEM; realized volatility; trading volume; trading activity; trades; copula; volatility forecasting

Copula--based Specification of vector MEMs,
Fabrizio Cipollini, Robert Engle and Giampiero Gallo, from arXiv.org (2016)

SEMIPARAMETRIC VECTOR MEM,
Fabrizio Cipollini, Robert Engle and Giampiero Gallo, in Journal of Applied Econometrics (2013)

Realized volatility forecasting: Robustness to measurement errors,
Fabrizio Cipollini, Giampiero Gallo and Edoardo Otranto, in International Journal of Forecasting (2021)
Keywords: Realized volatility; Forecasting; Measurement errors; HAR; AMEM; Markov switching; Volatility of volatility; MCS;

A dynamic conditional approach to forecasting portfolio weights,
Fabrizio Cipollini, Giampiero Gallo and Alessandro Palandri, in International Journal of Forecasting (2021)
Keywords: Portfolio allocation; Realized volatility; Realized correlations; Dynamic conditional modeling; Portfolio weights modeling;

Intra-daily Volume Modeling and Prediction for Algorithmic Trading,
Christian Brownlees, Fabrizio Cipollini and Giampiero Gallo, in Journal of Financial Econometrics (2011)

Vector Multiplicative Error Models: Representation and Inference,
Fabrizio Cipollini, Robert Engle and Giampiero Gallo, from National Bureau of Economic Research, Inc (2006)

Vector Multiplicative Error Models: Representation and Inference,
Fabrizio Cipollini, Robert Engle and Giampiero Gallo, from National Bureau of Economic Research, Inc (2006)

Modeling and evaluating conditional quantile dynamics in VaR forecasts,
F. Cipollini, Giampiero Gallo and A. Palandri, from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2023)
Keywords: Risk management;Value at Risk;dynamic quantile;asymmetric loss function;forecast evaluation

Vector Multiplicative Error Models: Representation and Inference,
Fabrizio Cipollini, Robert Engle and Giampiero Gallo, from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2006)

A Model for Multivariate Non-negative Valued Processes in Financial Econometrics,
Fabrizio Cipollini, Robert Engle and Giampiero Gallo, from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2007)
Keywords: Volatility, Copula functions, Forecasting, GARCH, MEM.

Intra-daily Volume Modeling and Prediction for Algorithmic Trading,
Christian Brownlees, Fabrizio Cipollini and Giampiero Gallo, from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2009)
Keywords: Traded volume, VWAP, MEM, High Frequency Data, Forecasting

Semiparametric vector MEM,
Fabrizio Cipollini, Robert Engle and Giampiero Gallo, from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2009)
Keywords: Multiplicative Error Model, GMM, Simultaneous Equations, Volatility, Market Activity

Multiplicative Error Models,
Christian Brownlees, Fabrizio Cipollini and Giampiero Gallo, from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2011)
Keywords: Multiplicative Error Models, Realized Volatility, Financial Time Series, Composite MEM

Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares,
Francesco Calvori, Fabrizio Cipollini and Giampiero Gallo, from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2014)
Keywords: High Frequency Financial Data, Prediction, Trading Volumes, Volume Shares, VWAP, GAS, Dirichlet Distribution

Copula--based Specification of vector MEMs,
Fabrizio Cipollini, Robert Engle and Giampiero Gallo, from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2016)
Keywords: GARCH; MEM; Realized Volatility; Trading Volume; Trading Activity; Copula; Volatility Forecasting.

Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity,
Fabrizio Cipollini, Robert Engle and Giampiero Gallo, from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2017)
Keywords: GARCH; MEM; Realized Volatility; Trading Volume; Trading Activity; Trades; Copula; Volatility Forecasting

Realized Volatility Forecasting: Robustness to Measurement Errors,
Fabrizio Cipollini, Giampiero Gallo and Edoardo Otranto, from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2019)
Keywords: Realized volatility, Forecasting, Measurement errors, HAR, AMEM, Markov switching, Volatility of volatility

Realized variance modeling: decoupling forecasting from estimation,
Fabrizio Cipollini, Giampiero Gallo and Alessandro Palandri, from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2019)
Keywords: Variance modeling; Variance forecasting; Heterogeneous Autoregressive (HAR) model; Multiplicative Error Model (MEM); Realized variance space

A Dynamic Conditional Approach to Portfolio Weights Forecasting,
Fabrizio Cipollini, Giampiero Gallo and Alessandro Palandri, from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2020)
Keywords: Portfolio Allocation, Realized Volatility, Realized Correlations, Dynamic Conditional Modeling, Portfolio Weights Modeling

Financial Companies’ Failures: Early Warning Information from Systematic and Systemic Risk Measures,
Fabrizio Cipollini, Alessandro Giannozzi, Fiammetta Menchetti and Oliviero Roggi, in Quarterly Journal of Finance (QJF) (2018)
Keywords: Systemic risk, regression beta, dynamic conditional beta, value-at-risk, expected shortfall, marginal expected shortfall, systemic expected shortfall, SRISK, CoVaR, Cox proportional hazard model

The beauty contest between systemic and systematic risk measures: Assessing the empirical performance,
Fabrizio Cipollini, Alessandro Giannozzi, Fiammetta Menchetti and Oliviero Roggi, in Journal of Empirical Finance (2020)
Keywords: Systemic and systematic risk; Cox model; Lasso penalization;

Doubly Multiplicative Error Models with Long- and Short-run Components,
Alessandra Amendola, Vincenzo Candila, Fabrizio Cipollini and Giampiero Gallo, from arXiv.org (2020)

Doubly multiplicative error models with long- and short-run components,
Alessandra Amendola, V. Candila, F. Cipollini and Giampiero Gallo, in Socio-Economic Planning Sciences (2024)
Keywords: Financial markets; Realized volatility; Multiplicative error model; MIDAS; GARCH; HAR;

Using remotely sensed data to modify wind forcing in operational storm surge forecasting,
David Byrne, Kevin Horsburgh, Brian Zachry and Paolo Cipollini, in Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards (2017)
Keywords: Storm surge, Forecasting, Remote sensing, Parametric wind field, Tropical cyclone, Coastal flooding, Sea level