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Cappiello, Lorenzo's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
8,447 |
Total
Citations
234 |
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1.
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Enria, Andrea
EBS Cappiello, Lorenzo
European Central Bank (ECB) Dierick, Frank
European Central Bank (ECB) Grittini, Sergio
European Central Bank (ECB) Haralambous, Andrew
European Central Bank (ECB) Maddaloni, Angela
European Central Bank (ECB) Molitor, Philippe A.M.
European Central Bank (ECB) Pires, Fatima
European Central Bank (ECB) Poloni, Paolo
European Central Bank (ECB)
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3,133
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19
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Accounting, banks, fair value, financial regulation, financial reporting, financial stability, risk management
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2.
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Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
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Cappiello, Lorenzo
European Central Bank (ECB) Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Sheppard, Kevin
University of Oxford - Department of Economics
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Posted:
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04 Feb 03
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Last Revised:
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29 Jul 10
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1,114
(7,748)
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144
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Cappiello, Lorenzo
European Central Bank (ECB) Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Sheppard, Kevin
University of Oxford - Department of Economics
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dynamic conditional correlation' international stock and bond correlation' multivariate GARCH' variance targeting
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Cappiello, Lorenzo
European Central Bank (ECB) Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Sheppard, Kevin
University of Oxford - Department of Economics
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1,114
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144
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International Finance, Correlation, Variance Targeting, Multivariate GARCH, International Stock and Bond correlation
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3.
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Cappiello, Lorenzo
European Central Bank (ECB) Castren, Olli
European Central Bank (ECB) Jääskelä, Jarkko P.
Bank of England - Monetary Assessment and Strategy Division
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875
(11,410)
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5
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exchange rate and equity risk premium, international asset pricing, multivariate GARCH
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4.
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Cappiello, Lorenzo
European Central Bank (ECB)
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525
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2
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Intertemporal CAPM, GARCH-in-mean, regime shifts
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5.
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Cappiello, Lorenzo
European Central Bank (ECB) Manganelli , Simone
European Central Bank (ECB) Gerard, Bruno
Norwegian School of Management BI - Department of Financial Economics
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456
(28,788)
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10
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codependence, semi-parametric, conditional quantiles
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6.
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Cappiello, Lorenzo
European Central Bank (ECB) Ferrucci, Gianluigi
European Central Bank (ECB)
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376
(36,762)
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3
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China, exchange rate policy, international investment position, capital account liberalisation, institutions
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7.
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Cappiello, Lorenzo
European Central Bank (ECB) Hördahl, Peter
Bank for International Settlements (BIS) Kadareja, Arjan
European Central Bank (ECB) Manganelli , Simone
European Central Bank (ECB)
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371
(37,389)
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14
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Financial markets, euro, financial integration, volatility, conditional correlation, term structure, fundamentals, risk premia
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8.
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Cappiello, Lorenzo
European Central Bank (ECB) De Santis, Roberto A.
European Central Bank (ECB) - Directorate General Economics
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286
(50,958)
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3
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foreign exchange markets, asset pricing, random walk, UIP, GMM
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9.
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Cappiello, Lorenzo
European Central Bank (ECB) Kadareja, Arjan
European Central Bank (ECB) Gerard, Bruno
Norwegian School of Management BI - Department of Financial Economics Manganelli , Simone
European Central Bank (ECB)
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273
(53,669)
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10
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Integration, new EU member states, regression quantile
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10.
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Cappiello, Lorenzo
European Central Bank (ECB)
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215
(69,463)
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1
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Intertemporal CAPM, business cycle, assymetric multivariate GARCH-in-Mean, regime shifts
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11.
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Baltzer, Markus
Deutsche Bundesbank Cappiello, Lorenzo
European Central Bank (ECB) De Santis, Roberto A.
European Central Bank (ECB) - Directorate General Economics Manganelli , Simone
European Central Bank (ECB)
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195
(76,657)
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13
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12.
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Cappiello, Lorenzo
European Central Bank (ECB) Lo Duca, Marco
European Central Bank (ECB) Maddaloni, Angela
European Central Bank (ECB)
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| Posted: |
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24 Mar 08
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Last Revised:
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02 Jul 08
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130
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1
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conditional asset pricing, intertemporal risk, financial integration, multivariate GARCH, Kalman filter
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13.
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Cappiello, Lorenzo
European Central Bank (ECB) Guene, Stephane
European Central Bank (ECB)
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117
(120,370)
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2
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Intertemporal CAPM, business cycles, GARCH-in-Mean
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14.
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Mehl, Arnaud
European Central Bank (ECB) Cappiello, Lorenzo
European Central Bank (ECB)
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105
(130,615)
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2
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Uncovered interest parity, distant horizon, emerging economies, nonlinearities
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15.
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Cappiello, Lorenzo
European Central Bank (ECB) De Santis, Roberto A.
European Central Bank (ECB) - Directorate General Economics
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98
(137,067)
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Uncovered Interest Parity, Uncovered Return Parity, stochastic discount factor, GMM
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16.
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Cappiello, Lorenzo
European Central Bank (ECB) Kadareja, Arjan
European Central Bank (ECB) Kok Sorensen, Christoffer
European Central Bank (ECB) Protopapa, Marco
European Central Bank (ECB)
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94
(140,994)
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2
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bank credit, bank lending channel, euro area, panel data
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17.
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Cappiello, Lorenzo
European Central Bank (ECB) Kadareja, Arjan
European Central Bank (ECB) Manganelli , Simone
European Central Bank (ECB)
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83
(152,784)
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1
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National and industry equity returns, euro, conditional comovements, regression quantiles
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18.
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Mehl, Arnaud
European Central Bank (ECB) Cappiello, Lorenzo
European Central Bank (ECB)
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1
(343,238)
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2
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