Simone Manganelli

European Central Bank (ECB)

Principal Economist, DG-Research

Kaiserstrasse 29

Frankfurt am Main, 60311

Germany

http://www.simonemanganelli.org

SCHOLARLY PAPERS

33

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14,256

CITATIONS
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Top 7,263

in Total Papers Citations

77

Scholarly Papers (33)

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 6,189 (1,015)
Citation 10

Abstract:

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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 859 (26,566)
Citation 26

Abstract:

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

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 798 (28,972)
Citation 24

Abstract:

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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)

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

4.

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 731 (33,202)
Citation 25

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covered bonds, liquidity, primary market, secondary market

5.

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 BI Norwegian Business School - Department of Finance
Downloads 584 (44,888)
Citation 9

Abstract:

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codependence, semi-parametric, conditional quantiles

6.

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 581 (45,168)

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Risk Management, Sensitivity Analysis, Dynamic Correlations, GARCH

7.

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 483 (57,102)
Citation 32

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

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 476 (58,180)
Citation 63

Abstract:

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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 416 (68,488)
Citation 5

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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), BI Norwegian Business School - Department of Finance and European Central Bank (ECB)
Downloads 343 (85,876)
Citation 3

Abstract:

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Integration, new EU member states, regression quantile

11.

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 335 (88,178)
Citation 6

Abstract:

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12.

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 321 (92,458)

Abstract:

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Decision under uncertainty, estimation, overfitting, asset allocation

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 270 (111,426)

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

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 195 (153,435)
Citation 33

Abstract:

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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 43 (415,902)

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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 (675,498)
Citation 1
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central bank policy, financial crisis, interbank markets, lender-of-last-resort, sovereign debt crisis

15.

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 225 (134,094)
Citation 3

Abstract:

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

16.

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 208 (144,518)

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Inflation, deflation, risk, forecast, monetary policy

17.

Caviar: Conditional Value at Risk by Quantile Regression

NBER Working Paper No. w7341
Number of pages: 54 Posted: 17 Feb 2000 Last Revised: 13 Oct 2010
Simone Manganelli and Robert F. Engle
European Central Bank (ECB) and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 193 (155,023)
Citation 33

Abstract:

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18.

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 182 (163,448)
Citation 1

Abstract:

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bank risk, business models, quantile regression, great recession

19.

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 Bank for International Settlements (BIS)
Downloads 145 (198,530)
Citation 20

Abstract:

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financial integration, credit risk, country premia, fragmentation index

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 108 (249,729)

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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 (660,960)
Citation 24
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A High-Frequency Assessment of the ECB Securities Markets Programme

Journal of the European Economic Association, January 2017, 15(1), 218-243
Posted: 25 May 2018
Olivier Vergote, Eric Ghysels, Julien Idier and Simone Manganelli
European Central Bank (ECB), University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche and European Central Bank (ECB)

Abstract:

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21.

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 101 (260,143)
Citation 16

Abstract:

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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 76 (313,761)

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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 16 (558,354)
Citation 13

Abstract:

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

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 88 (284,285)

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

24.

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 81 (299,130)

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

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 68 (330,334)
Citation 17

Abstract:

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CAViaR; codependence; quantile impulse-responses; spillover

26.

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 54 (370,570)
Citation 1

Abstract:

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Bank risk, business models, great recession

27.

Deciding with Judgment

ECB Working Paper No. 1947
Number of pages: 45 Posted: 29 Aug 2016
Simone Manganelli
European Central Bank (ECB)
Downloads 26 (481,485)

Abstract:

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Statistical Decision Theory, Statistical Risk Aversion, Portfolio Selection

28.

The Portfolio of Euro Area Fund Investors and ECB Monetary Policy Announcements

ECB Working Paper No. 2116, ISBN: 978-92-899-3039-0
Number of pages: 47 Posted: 08 Dec 2017
Johannes Bubeck, Maurizio Michael Habib and Simone Manganelli
Deutsche Bundesbank, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 23 (497,943)

Abstract:

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monetary policy, euro area, European Central Bank, asset allocation, investment funds

29.

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 (520,915)
Citation 4
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Risk, forecast, monetary policy, price stability, inflation, deflation

30.

Selecting Models with Judgment

ECB Working Paper No. 2188
Number of pages: 44 Posted: 29 Oct 2018
Simone Manganelli
European Central Bank (ECB)
Downloads 10 (574,353)

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Statistical Decision Theory, Model Selection Criteria, Inflation Forecasting

31.

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 (612,967)
Citation 16
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Greenspan, inflation, monetary policy, output, policy rule, preferences, risk

32.

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 (630,845)
Citation 1
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33.

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:

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dynamic correlations, multivariate GARCH, risk management

Other Papers (1)

Total Downloads: 3
1.

Financial Integration of New EU Member States

Number of pages: 46 Posted: 15 Mar 2006
European Central Bank (ECB), European Central Bank (ECB), BI Norwegian Business School - Department of Finance and European Central Bank (ECB)
Downloads 3

Abstract:

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Integration, new EU member states, regression quantile, variance decomposition