SCHOLARLY PAPERS

8

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Top 40,651

in Total Papers Downloads

1,707

SSRN CITATIONS
Rank 15,184

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Top 15,184

in Total Papers Citations

66

CROSSREF CITATIONS

8

Scholarly Papers (8)

1.
Downloads 484 ( 84,621)
Citation 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 483 (84,019)

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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)
Downloads 1 (951,704)
Citation 1

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2.

Currency Risk Premia Redux

Number of pages: 146 Posted: 12 Mar 2021 Last Revised: 23 May 2022
Federico Nucera, Lucio Sarno and Gabriele Zinna
Bank of Italy, University of Cambridge - Judge Business School and Bank of Italy
Downloads 416 (101,876)

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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 259 (167,977)

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Momentum, Variance Decomposition, Performance

4.
Downloads 155 (266,692)

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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 151 (272,389)
Citation 2

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

6.
Downloads 148 (276,841)
Citation 28

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, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 99 (373,029)
Citation 28

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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, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 49 (546,691)
Citation 2

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

7.
Downloads 93 (384,921)
Citation 7

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
Downloads 51 (537,138)
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
Downloads 42 (582,814)
Citation 5

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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
Downloads 1 (910,844)

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