Laura Sigalotti

Bank of Italy

Via Nazionale 91

Rome, 00184

Italy

SCHOLARLY PAPERS

7

DOWNLOADS

422

SSRN CITATIONS
Rank 4,082

SSRN RANKINGS

Top 4,082

in Total Papers Citations

164

CROSSREF CITATIONS

171

Scholarly Papers (7)

1.

Forward-Looking Robust Portfolio Selection

Bank of Italy Temi di Discussione (Working Paper) No. 913
Number of pages: 36 Posted: 21 Jun 2013
Sara Cecchetti and Laura Sigalotti
Bank of Italy and Bank of Italy
Downloads 200 (190,991)
Citation 23

Abstract:

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portfolio allocation, robust optimization, implied correlation, stock options

2.

Contagion and Fire Sales in Banking Networks

Bank of Italy Temi di Discussione (Working Paper) No. 1050
Number of pages: 72 Posted: 02 Apr 2016
Sara Cecchetti, Marco Rocco and Laura Sigalotti
Bank of Italy, European Central Bank (ECB) and Bank of Italy
Downloads 71 (404,420)
Citation 26

Abstract:

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financial networks, contagion, liquidity, fire sales, systemic risk

3.

Tail Comovement in Option-Implied Inflation Expectations as an Indicator of Anchoring

Bank of Italy Temi di Discussione (Working Paper) No. 1025
Number of pages: 51 Posted: 26 Jan 2016
Sara Cecchetti, Filippo Natoli and Laura Sigalotti
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 49 (483,322)
Citation 84

Abstract:

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disanchoring, inflation swaps, inflation options, option-implied density, tail comovement

4.

Tail Co-Movement in Inflation Expectations as an Indicator of Anchoring

ECB Working Paper No. 1997
Number of pages: 39 Posted: 03 Feb 2017
Filippo Natoli and Laura Sigalotti
Bank of Italy and Bank of Italy
Downloads 45 (500,593)
Citation 104

Abstract:

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inflation expectations; anchoring; inflation swaps; inflation options; optionimplied density; tail co-movement

5.

An Indicator of Inflation Expectations Anchoring

Bank of Italy Temi di Discussione (Working Paper) No. 1103
Number of pages: 36 Posted: 05 Apr 2017
Filippo Natoli and Laura Sigalotti
Bank of Italy and Bank of Italy
Downloads 39 (528,497)
Citation 28

Abstract:

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inflation expectations, anchoring, inflation swaps, inflation options, tail comovement, odds ratio

6.

A Composite Index of Inflation Tendencies in the Euro Area

Bank of Italy Occasional Paper No. 395
Number of pages: 19 Posted: 21 Oct 2017
Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 18 (656,508)

Abstract:

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euro area, determinants of inflation, inflation, statistical aggregation

7.

A New Indicator of Inflation Expectations Anchoring

ECB Working Paper No. 1996
Posted: 03 Feb 2017
Filippo Natoli and Laura Sigalotti
Bank of Italy and Bank of Italy

Abstract:

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inflation expectations; anchoring; inflation swaps; inflation options; optionimplied density; tail co-movement