Federico Nucera

Bank of Italy

Economist

http://sites.google.com/site/ecofinucera/

SCHOLARLY PAPERS

7

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Top 43,306

in Total Papers Downloads

1,986

SSRN CITATIONS
Rank 14,403

SSRN RANKINGS

Top 14,403

in Total Papers Citations

86

CROSSREF CITATIONS

9

Scholarly Papers (7)

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1.

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 529 (91,918)

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nowcasting, business cycle, hedge funds, market timing

2.

Currency Risk Premiums Redux

Number of pages: 146 Posted: 12 Mar 2021 Last Revised: 04 May 2023
Federico Nucera, Lucio Sarno and Gabriele Zinna
Bank of Italy, University of Cambridge - Judge Business School and Bank of Italy
Downloads 506 (97,042)
Citation 5

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Currency risk premia, asset pricing, omitted factors, measurement error

3.

Risk-Managed Momentum: The Effect of Leverage Constraints

Number of pages: 9 Posted: 28 Jul 2017
Federico Nucera
Bank of Italy
Downloads 288 (182,660)

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Momentum, Variance Decomposition, Performance

4.

Do Negative Interest Rates Make Banks Less Safe?

Downloads 189 (273,539)
Citation 32

Do Negative Interest Rates Make Banks Less Safe?

Tinbergen Institute Discussion Papers, 2017
Number of pages: 9 Posted: 26 Apr 2017
Federico Nucera, Andre Lucas, Julia Schaumburg, Julia Schaumburg and Bernd Schwaab
Bank of Italy, Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 120 (397,625)
Citation 25

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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
Federico Nucera, Andre Lucas, Julia Schaumburg, Julia Schaumburg and Bernd Schwaab
Bank of Italy, Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 69 (571,928)
Citation 8

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

5.

The Comovement between Sovereign and Bank Credit Risk During the Financial Crisis: The Case of the Euro Area

Number of pages: 31 Posted: 31 Mar 2012
Federico Nucera
Bank of Italy
Downloads 172 (297,087)

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

6.

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 170 (301,486)
Citation 2

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

7.

The Information in Systemic Risk Rankings

Downloads 132 (368,554)
Citation 11

The Information in Systemic Risk Rankings

Tinbergen Institute Discussion Paper 15-070/III/94
Number of pages: 24 Posted: 03 Jun 2015
Federico Nucera, Bernd Schwaab, Siem Jan Koopman and Andre Lucas
Bank of Italy, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 69 (571,928)
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
Federico Nucera, Bernd Schwaab, Siem Jan Koopman and Andre Lucas
Bank of Italy, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 63 (600,653)
Citation 9

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