Lorenzo Cappiello

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 3,627

SSRN RANKINGS

Top 3,627

in Total Papers Downloads

10,490

CITATIONS
Rank 2,575

SSRN RANKINGS

Top 2,575

in Total Papers Citations

304

Scholarly Papers (18)

1.

Fair Value Accounting and Financial Stability

ECB Occasional Paper No. 13
Number of pages: 50 Posted: 18 Nov 2005
EBS, 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 (ECB) and European Central Bank (ECB)
Downloads 3,909 (2,296)

Abstract:

Loading...

Accounting, banks, fair value, financial regulation, financial reporting, financial stability, risk management

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

ECB Working Paper No. 204
Number of pages: 66 Posted: 04 Feb 2003
Lorenzo Cappiello, Robert F. Engle and Kevin Sheppard
European Central Bank (ECB), New York University - Leonard N. Stern School of Business - Department of Economics and University of Oxford - Department of Economics
Downloads 1,256 (14,934)
Citation 5

Abstract:

Loading...

International Finance, Correlation, Variance Targeting, Multivariate GARCH, International Stock and Bond correlation

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

Journal of Financial Econometrics, Vol. 4, Issue 4, pp. 537-572, 2006
Posted: 02 Apr 2008
Lorenzo Cappiello, Robert F. Engle and Kevin Sheppard
European Central Bank (ECB), New York University - Leonard N. Stern School of Business - Department of Economics and University of Oxford - Department of Economics

Abstract:

Loading...

dynamic conditional correlation' international stock and bond correlation' multivariate GARCH' variance targeting

3.

Measuring the Euro Exchange Rate Risk Premium: The Conditional International CAPM Approach

EFMA 2003, Helsinki, Finland
Number of pages: 30 Posted: 02 May 2003
Lorenzo Cappiello, Olli Castren and Jarkko P. Jääskelä
European Central Bank (ECB), European Central Bank (ECB) and Reserve Bank of Australia
Downloads 1,027 (20,637)
Citation 9

Abstract:

Loading...

exchange rate and equity risk premium, international asset pricing, multivariate 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 BI Norwegian Business School - Department of Finance
Downloads 585 (45,130)
Citation 1

Abstract:

Loading...

codependence, semi-parametric, conditional quantiles

5.

A Conditional Multi-Asset Intertemporal CAPM with Switching Prices of Risk

Number of pages: 72 Posted: 21 Nov 2000
Lorenzo Cappiello
European Central Bank (ECB)
Downloads 552 (48,596)
Citation 1

Abstract:

Loading...

Intertemporal CAPM, GARCH-in-mean, regime shifts

6.

The Sustainability of China's Exchange Rate Policy and Capital Account Liberalisation

ECB Occasional Paper No. 82
Number of pages: 64 Posted: 26 Jun 2008
Lorenzo Cappiello and Gianluigi Ferrucci
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 531 (51,012)

Abstract:

Loading...

China, exchange rate policy, international investment position, capital account liberalisation, institutions

7.

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 417 (68,810)
Citation 1

Abstract:

Loading...

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

8.

Explaining Exchange Rate Dynamics: The Uncovered Equity Return Parity Condition

ECB Working Paper No. 529
Number of pages: 46 Posted: 19 Oct 2005
Lorenzo Cappiello and Roberto A. De Santis
European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Economics
Downloads 372 (78,673)

Abstract:

Loading...

foreign exchange markets, asset pricing, random walk, UIP, GMM

9.

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 344 (86,201)

Abstract:

Loading...

Integration, new EU member states, regression quantile

10.

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 (88,787)

Abstract:

Loading...

11.

Do Bank Loans and Credit Standards Have an Effect on Output? A Panel Approach for the Euro Area

ECB Working Paper No. 1150
Number of pages: 31 Posted: 08 Feb 2010
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 285 (105,967)

Abstract:

Loading...

bank credit, bank lending channel, euro area, panel data

12.

Do Fixed Income Securities Also Show Asymmetric Effects in Conditional Second Moments?

Number of pages: 74 Posted: 16 Nov 2000
Lorenzo Cappiello
European Central Bank (ECB)
Downloads 222 (136,784)

Abstract:

Loading...

Intertemporal CAPM, business cycle, assymetric multivariate GARCH-in-Mean, regime shifts

13.

Country and Industry Equity Risk Premia in the Euro Area: An Intertemporal Approach

ECB Working Paper No. 913
Number of pages: 45 Posted: 24 Mar 2008 Last Revised: 02 Jul 2008
Lorenzo Cappiello, Marco Lo Duca and Angela Maddaloni
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 155 (189,206)
Citation 2

Abstract:

Loading...

conditional asset pricing, intertemporal risk, financial integration, multivariate GARCH, Kalman filter

14.

Uncovered Interest Parity at Distant Horizons: Evidence on Emerging Economies & Nonlinearities

ECB Working Paper No. 801
Number of pages: 41 Posted: 11 Sep 2007
Arnaud Mehl and Lorenzo Cappiello
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 135 (211,828)

Abstract:

Loading...

Uncovered interest parity, distant horizon, emerging economies, nonlinearities

15.

Measuring Market and Inflation Risk Premia in France and in Germany

ECB Working Paper No. 436
Number of pages: 35 Posted: 28 Apr 2005
Lorenzo Cappiello and Stephane Guene
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 132 (215,670)

Abstract:

Loading...

Intertemporal CAPM, business cycles, GARCH-in-Mean

16.

The Uncovered Return Parity Condition

ECB Working Paper No. 812
Number of pages: 52 Posted: 27 Sep 2007
Lorenzo Cappiello and Roberto A. De Santis
European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Economics
Downloads 131 (216,978)

Abstract:

Loading...

Uncovered Interest Parity, Uncovered Return Parity, stochastic discount factor, GMM

17.

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 (261,963)
Citation 1

Abstract:

Loading...

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

18.

Uncovered Interest Parity at Long Horizons: Evidence on Emerging Economies

Review of International Economics, Vol. 17, Issue 5, pp. 1019-1037, November 2009
Number of pages: 19 Posted: 02 Nov 2009
Arnaud Mehl and Lorenzo Cappiello
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1 (649,034)
  • Add to Cart

Abstract:

Loading...

Other Papers (1)

Total Downloads: 4
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 4

Abstract:

Loading...

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