Simone Manganelli

European Central Bank (ECB)

Principal Economist, DG-Research

Kaiserstrasse 29

Frankfurt am Main, 60311

Germany

http://www.simonemanganelli.org

SCHOLARLY PAPERS

31

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CITATIONS
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in Total Papers Citations

294

Scholarly Papers (31)

1.

Value at Risk Models in Finance

ECB Working Paper No. 75
Number of pages: 41 Posted: 25 Feb 2003
Simone Manganelli and Robert F. Engle
European Central Bank (ECB) and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 4,986 (917)
Citation 14

Abstract:

Value at Risk; CAViaR; Extreme Value Theory

2.

The Euro Area Financial System: Structure, Integration and Policy Initiatives

ECB Working Paper No. 230
Number of pages: 55 Posted: 06 Jun 2003
Philipp Hartmann, Angela Maddaloni and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 827 (21,653)
Citation 42

Abstract:

Financial system design, financial structure, financial integration, euro area, financial policy

3.

Sensitivity Analysis of Volatility: A New Tool for Risk Management

ECB Working Paper No. 194
Number of pages: 38 Posted: 10 Dec 2002
Simone Manganelli, Vladimiro Ceci and Walter Vecchiato
European Central Bank (ECB), Cassa Depositi e Prestiti S.p.A. and Veneto Banca
Downloads 564 (36,894)

Abstract:

Risk Management, Sensitivity Analysis, Dynamic Correlations, GARCH

4.

Measuring Comovements by Regression Quantiles

ECB Working Paper No. 501
Number of pages: 50 Posted: 28 Jul 2005
Lorenzo Cappiello, Simone Manganelli and Bruno Gerard
European Central Bank (ECB), European Central Bank (ECB) and Norwegian School of Management (BI) - Department of Financial Economics
Downloads 542 (37,771)
Citation 9

Abstract:

codependence, semi-parametric, conditional quantiles

Bank Risk During the Financial Crisis: Do Business Models Matter?

ECB Working Paper No. 1394
Number of pages: 53 Posted: 05 Nov 2011
Yener Altunbas, Simone Manganelli and David Marques-Ibanez
University of Wales, Bangor, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 518 (41,687)
Citation 9

Abstract:

bank risk, business models, bank regulation, financial crisis, Basle III

Bank Risk During the Financial Crisis: Do Business Models Matter?

Bangor Business School Research Paper No. 12/003
Posted: 03 Feb 2012 Last Revised: 06 Feb 2012
Yener Altunbas, Simone Manganelli and David Marques-Ibanez
University of Wales, Bangor, European Central Bank (ECB) and European Central Bank (ECB)

Abstract:

bank risk, business models, bank regulation, financial crisis, Basle III

6.

Duration, Volume and Volatility Impact of Trades

ECB Working Paper No. 125
Number of pages: 47 Posted: 12 Feb 2002
Simone Manganelli
European Central Bank (ECB)
Downloads 462 (47,154)
Citation 28

Abstract:

Autoregressive Conditional Duration, GARCH, Ultra High Frequency Data, Empirical Market Microstructure

7.

The Impact of the Eurosystem's Covered Bond Purchase Programme on the Primary and Secondary Markets

ECB Occasional Paper No. 122
Number of pages: 36 Posted: 19 Jan 2011
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 424 (34,626)
Citation 1

Abstract:

covered bonds, liquidity, primary market, secondary market

8.

Market Discipline, Financial Integration and Fiscal Rules: What Drives Spreads in the Euro Area Government Bond Market?

ECB Working Paper No. 745
Number of pages: 40 Posted: 25 Apr 2007
Simone Manganelli and Guido Wolswijk
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 406 (52,262)
Citation 7

Abstract:

Bond spreads, credit risk, liquidity risk

9.

The Impact of the Euro on Financial Markets

ECB Working Paper No. 598
Number of pages: 113 Posted: 25 Apr 2006
European Central Bank (ECB), Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 377 (58,580)
Citation 13

Abstract:

Financial markets, euro, financial integration, volatility, conditional correlation, term structure, fundamentals, risk premia

10.

Financial Integration of New EU Member States

ECB Working Paper No. 683
Number of pages: 74 Posted: 09 Nov 2006
European Central Bank (ECB), European Central Bank (ECB), Norwegian School of Management (BI) - Department of Financial Economics and European Central Bank (ECB)
Downloads 308 (73,018)
Citation 8

Abstract:

Integration, new EU member states, regression quantile

11.

A New Theory of Forecasting

ECB Working Paper No. 584, EFA 2006 Zurich Meetings
Number of pages: 43 Posted: 03 Feb 2006
Simone Manganelli
European Central Bank (ECB)
Downloads 306 (76,608)
Citation 1

Abstract:

Decision under uncertainty, estimation, overfitting, asset allocation

12.

Measuring Financial Integration in New EU Member States

ECB Occasional Paper No. 81
Number of pages: 38 Posted: 15 Mar 2008
Deutsche Bundesbank, European Central Bank (ECB), European Central Bank (ECB) - Directorate General Economics and European Central Bank (ECB)
Downloads 239 (89,133)
Citation 11

Abstract:

13.

Asset Allocation By Penalized Least Squares

ECB Working Paper No. 723
Number of pages: 53 Posted: 06 Feb 2007
Simone Manganelli
European Central Bank (ECB)
Downloads 224 (96,642)

Abstract:

Portfolio optimization, mean-risk utility model, stochastic dominance, asymmetric least squares, expectile

14.

The Central Bank as a Risk Manager: Quantifying and Forecasting Inflation Risks

ECB Working Paper No. 226
Number of pages: 57 Posted: 04 Jun 2003
Lutz Kilian and Simone Manganelli
University of Michigan at Ann Arbor - Department of Economics and European Central Bank (ECB)
Downloads 195 (122,098)
Citation 3

Abstract:

Inflation, deflation, risk, forecast, monetary policy

Lending-of-Last-Resort Is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area

Journal of Financial Intermediation, Forthcoming
Number of pages: 58 Posted: 23 Sep 2015 Last Revised: 24 May 2016
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 149 (161,360)

Abstract:

Lender-of-last-resort, Interbank Markets, Financial Crisis, Sovereign Debt Crisis, Central Bank Policy

Lending-of-Last-Resort is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area

ECB Working Paper No. 1886
Number of pages: 62 Posted: 25 Feb 2016
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 37 (370,990)

Abstract:

lender-of-last-resort, interbank markets, financial crisis, sovereign debt

Lending-of-Last-Resort is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area

CEPR Discussion Paper No. DP10901
Number of pages: 62 Posted: 28 Oct 2015
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1 (563,836)
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Abstract:

central bank policy, financial crisis, interbank markets, lender-of-last-resort, sovereign debt crisis

16.

Caviar: Conditional Value at Risk by Quantile Regression

NBER Working Paper No. w7341
Number of pages: 54 Posted: 17 Feb 2000
Simone Manganelli and Robert F. Engle
European Central Bank (ECB) and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 177 (138,606)
Citation 114

Abstract:

17.

Bank Risk and Business Models During the Great Recession

Number of pages: 36 Posted: 21 Mar 2011
David Marques-Ibanez, Simone Manganelli and Yener Altunbas
European Central Bank (ECB), European Central Bank (ECB) and University of Wales, Bangor
Downloads 161 (142,194)
Citation 1

Abstract:

bank risk, business models, quantile regression, great recession

18.

Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR

ECB Working Paper No. 957
Number of pages: 40 Posted: 20 Nov 2008
Halbert L. White, Jr., Tae-Hwan Kim and Simone Manganelli
University of California, San Diego (UCSD) - Department of Economics, University of Nottingham - School of Economics and European Central Bank (ECB)
Downloads 156 (129,828)
Citation 4

Abstract:

Asset returns, CAViaR, Conditional quantiles, Dynamic quantiles, Kurtosis, Skewness

A High Frequency Assessment of the ECB Securities Markets Programme

ECB Working Paper No. 1642
Number of pages: 27 Posted: 15 Mar 2014
Eric Ghysels, Julien Idier, Simone Manganelli and Olivier Vergote
University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 101 (218,128)

Abstract:

unconventional monetary policy; euro area crisis; SMP; component models; high frequency data

A High Frequency Assessment of the ECB Securities Markets Programme

CEPR Discussion Paper No. DP9778
Number of pages: 29 Posted: 10 Dec 2013
Eric Ghysels, Julien Idier, Simone Manganelli and Olivier Vergote
University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 2 (553,785)
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Abstract:

20.

The Impact of the Euro on Equity Markets: A Country and Sector Decomposition

ECB Working Paper No. 906
Number of pages: 54 Posted: 01 Jul 2008
Lorenzo Cappiello, Arjan Kadareja and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 89 (232,528)
Citation 1

Abstract:

National and industry equity returns, euro, conditional comovements, regression quantiles

Fragmentation in the Euro Overnight Unsecured Money Market

Number of pages: 10 Posted: 16 Sep 2014 Last Revised: 28 Jan 2016
Carlos Garcia-de-Andoain, Peter Hoffmann and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB) - Directorate General Research and European Central Bank (ECB)
Downloads 73 (268,711)

Abstract:

Money Markets, Financial Integration, Sovereign Debt Crisis, Monetary Policy Implementation

Fragmentation in the Euro Overnight Unsecured Money Market

ECB Working Paper No. 1755
Number of pages: 13 Posted: 20 Dec 2014
Carlos Garcia-de-Andoain, Peter Hoffmann and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB) - Directorate General Research and European Central Bank (ECB)
Downloads 14 (487,448)

Abstract:

money markets, financial integration, sovereign debt crisis, monetary policy implementation

22.

Finance and Diversification

ECB Working Paper No. 1259
Number of pages: 59 Posted: 22 Oct 2010
Simone Manganelli and Alexander A. Popov
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 71 (261,872)
Citation 1

Abstract:

Financial Development, Growth, Volatility, Diversification, Mean-Variance Efficiency

23.

Financial Markets, Diversification, and Allocative Efficiency: International Evidence

Number of pages: 46 Posted: 17 Mar 2010
Simone Manganelli and Alexander A. Popov
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 52 (266,034)

Abstract:

Financial markets, growth, volatility, diversification, mean-variance efficiency

24.

Realized Bank Risk during the Great Recession

FRB International Finance Discussion Paper No. 1140
Number of pages: 38 Posted: 05 Sep 2015
Yener Altunbas, Simone Manganelli and David Marques-Ibanez
University of Wales, Bangor, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 33 (377,777)

Abstract:

Bank risk, business models, great recession

25.

VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles

ECB Working Paper No. 1814
Number of pages: 50 Posted: 23 Jun 2015
Halbert L. White, Jr., Tae-Hwan Kim and Simone Manganelli
University of California, San Diego (UCSD) - Department of Economics, University of Nottingham - School of Economics and European Central Bank (ECB)
Downloads 22 (316,355)
Citation 1

Abstract:

CAViaR; codependence; quantile impulse-responses; spillover

26.

The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks

CEPR Discussion Paper No. 3918
Number of pages: 47 Posted: 25 Jul 2003
Lutz Kilian and Simone Manganelli
University of Michigan at Ann Arbor - Department of Economics and European Central Bank (ECB)
Downloads 19 (443,079)
Citation 2
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Abstract:

Risk, forecast, monetary policy, price stability, inflation, deflation

27.

The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan

CEPR Discussion Paper No. 6031
Number of pages: 36 Posted: 27 Jun 2007
Lutz Kilian and Simone Manganelli
University of Michigan at Ann Arbor - Department of Economics and European Central Bank (ECB)
Downloads 4 (516,400)
Citation 2
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Abstract:

Greenspan, inflation, monetary policy, output, policy rule, preferences, risk

28.

What Drives Spreads in the Euro Area Government Bond Market?

Economic Policy, Vol. 24, Issue 58, pp. 191-240, April 2009
Number of pages: 50 Posted: 27 Apr 2009
Simone Manganelli and Guido Wolswijk
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 2 (527,223)
Citation 18
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Abstract:

29.

Asset Allocation with Judgment

ECB Working Paper No. 1947
Number of pages: 29 Posted: 29 Aug 2016
Simone Manganelli
European Central Bank (ECB)
Downloads 0 (422,424)

Abstract:

Judgmental estimation, Statistical Risk Propensity, Out-of-sample portfolio selection

30.

Measuring Financial Fragmentation in the Euro Area Corporate Bond Market

Banque de France Working Paper No. 582
Number of pages: 34 Posted: 05 Apr 2016
Guillaume Horny, Simone Manganelli and Benoît Mojon
Banque de France, European Central Bank (ECB) and Banque de France
Downloads 0 (216,885)

Abstract:

financial integration, credit risk, country premia, fragmentation index

31.

Asset Allocation by Variance Sensitivity Analysis

Journal of Financial Econometrics, Vol. 2, No. 3, pp. 370-389, 2004
Posted: 29 Feb 2008
Simone Manganelli
European Central Bank (ECB)

Abstract:

dynamic correlations, multivariate GARCH, risk management