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Pericoli, Marcello's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,059 |
Total
Citations
193 |
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1.
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Corsetti, Giancarlo
European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS) Pericoli, Marcello
Bank of Italy Sbracia, Massimo
Bank of Italy
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717
(15,466)
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11
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Contagion, financial crisis, correlation analysis
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2.
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Pericoli, Marcello
Bank of Italy Sbracia, Massimo
Bank of Italy
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267
(55,116)
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8
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CAPM, risk aversion
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3.
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Pericoli, Marcello
Bank of Italy Sbracia, Massimo
Bank of Italy
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16 Apr 09
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Last Revised:
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14 May 09
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210
(71,200)
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7
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risk aversion, asset pricing, financial crisis
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4.
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Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate
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Versions (2)
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Pericoli, Marcello
Bank of Italy Taboga, Marco
Bank of Italy
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Posted:
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19 Feb 09
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Last Revised:
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11 Mar 09
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187
(79,980)
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1
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Pericoli, Marcello
Bank of Italy Taboga, Marco
Bank of Italy
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112
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1
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exchange rate, term structure, UIP
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Pericoli, Marcello
Bank of Italy Taboga, Marco
Bank of Italy
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75
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1
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bond risk premium, exchamge rate, affine model
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5.
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Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Corsetti, Giancarlo
European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS) Pericoli, Marcello
Bank of Italy Sbracia, Massimo
Bank of Italy
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Posted:
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09 May 02
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Last Revised:
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05 Sep 08
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183
(81,627)
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65
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Corsetti, Giancarlo
European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS) Pericoli, Marcello
Bank of Italy Sbracia, Massimo
Bank of Italy
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147
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61
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Contagion; Financial crisis; Factor model; Correlation analysis
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Corsetti, Giancarlo
European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS) Pericoli, Marcello
Bank of Italy Sbracia, Massimo
Bank of Italy
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36
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65
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Contagion, financial crisis, factor model, correlation analysis
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6.
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Giordano, Raffaela
Bank of Italy Pericoli, Marcello
Bank of Italy Tommasino, Pietro
Bank of Italy
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139
(104,715)
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contagion. EMU debt crisis, panel cointegration
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7.
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Pericoli, Marcello
Bank of Italy Taboga, Marco
Bank of Italy
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109
(127,295)
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26
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term structure models, yield curve, risk premium
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8.
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Pericoli, Marcello
Bank of Italy
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61
(182,454)
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real and nominal term structure, inflation risk premium, affine term structure, Kalman filter
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9.
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Pericoli, Marcello
Bank of Italy Taboga, Marco
Bank of Italy
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50
(200,669)
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22
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term structure models, yield curve, risk premium
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10.
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Pericoli, Marcello
Bank of Italy
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32
(238,293)
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1
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index-linked bond, real term structure, inflation compensation, inflation risk premium, smoothing spline
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11.
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Pericoli, Marcello
Bank of Italy
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29
(246,292)
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12.
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Pericoli, Marcello
Bank of Italy Sbracia, Massimo
Bank of Italy
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29
(246,292)
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50
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13.
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Giordano, Raffaela
Bank of Italy Pericoli, Marcello
Bank of Italy Tommasino, Pietro
Bank of Italy
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23
(265,204)
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sovereign bond spread, contagion, non-stationary panels
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14.
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Pericoli, Marcello
Bank of Italy
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23
(265,204)
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inflation risk premium, affine term structure, Kalman filter, macroeconomic and monetary surprises
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