SCHOLARLY PAPERS

8

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in Total Papers Downloads

1,361

SSRN CITATIONS
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Top 16,068

in Total Papers Citations

44

CROSSREF CITATIONS

20

Scholarly Papers (8)

1.
Downloads 454 ( 70,574)

Can Hedge Funds Time the Market?

Number of pages: 11 Posted: 19 Jun 2017 Last Revised: 19 Oct 2017
Michael W. Brandt, Federico Nucera and Giorgio Valente
Duke University - Fuqua School of Business, Bank of Italy and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 454 (69,910)

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nowcasting, business cycle, hedge funds, market timing

Can Hedge Funds Time the Market?

International Review of Finance, Vol. 19, Issue 2, pp. 459-469, 2019
Number of pages: 11 Posted: 26 May 2020
Michael W. Brandt, Federico Nucera and Giorgio Valente
Duke University - Fuqua School of Business, Bank of Italy and Hong Kong Institute for Monetary and Financial Research (HKIMR)
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2.

Risk-Managed Momentum: The Effect of Leverage Constraints

Number of pages: 9 Posted: 28 Jul 2017
Federico Nucera
Bank of Italy
Downloads 219 (155,885)

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Momentum, Variance Decomposition, Performance

3.

Carry Trades and the Performance of Currency Hedge Funds

HKIMR Working Paper No.03/2013
Number of pages: 35 Posted: 18 Jan 2013 Last Revised: 19 Feb 2013
Federico Nucera and Giorgio Valente
Bank of Italy and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 185 (182,214)
Citation 1

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Hedge Funds, Foreign Exchange, Asset Allocation, Funds Performance Evaluation

4.
Downloads 150 (218,105)

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fi nancial stability, sovereign sector credit risk, banking sector credit risk, nth-to-default CDS, portfolio credit risk management

5.

Unemployment Fluctuations and the Predictability of Currency Returns

Number of pages: 53 Posted: 13 Aug 2015 Last Revised: 26 Jul 2017
Federico Nucera
Bank of Italy
Downloads 137 (234,568)

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currency portfolio returns, unemployment fluctuations, predictability, risk-premia, asset pricing

6.
Downloads 128 (247,315)
Citation 20

Do Negative Interest Rates Make Banks Less Safe?

Tinbergen Institute Discussion Papers, 2017
Number of pages: 9 Posted: 26 Apr 2017
Bank of Italy, Vrije Universiteit Amsterdam - School of Business and Economics, Tinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 92 (313,622)
Citation 19

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negative interest rates, bank business model, systemic risk, unconventional monetary policy measures

Do Negative Interest Rates Make Banks Less Safe?

ECB Working Paper No. 2098
Number of pages: 17 Posted: 14 Sep 2017
Bank of Italy, Vrije Universiteit Amsterdam - School of Business and Economics, Tinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 36 (499,674)
Citation 2

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negative interest rates, bank business model, systemic risk, unconventional monetary policy measures

7.
Downloads 88 (319,943)
Citation 14

The Information in Systemic Risk Rankings

Tinbergen Institute Discussion Paper 15-070/III/94
Number of pages: 24 Posted: 03 Jun 2015
Bank of Italy, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 48 (445,860)
Citation 4

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systemic risk contribution, risk rankings, forecast combination, financial regulation, banking supervision

The Information in Systemic Risk Rankings

ECB Working Paper No. 1875
Number of pages: 34 Posted: 21 Jan 2016
Bank of Italy, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 40 (480,622)
Citation 4

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systemic risk contribution, risk rankings, forecast combination, financial regulation, banking supervision

8.

How Much Does the Stock Market Risk Decline with the Investment Horizon? A Cross‐Country Comparison

Economic Notes, Vol. 43, Issue 1, pp. 1-19, 2014
Number of pages: 19 Posted: 17 Jan 2014
Carlo A. Favero and Federico Nucera
Bocconi University - Department of Finance and Bank of Italy
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