Marco Valerio Geraci

University of Cambridge - Cambridge-INET Institute

Sidgwick Avenue

Cambridge , CB3 9DD

United Kingdom

SCHOLARLY PAPERS

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Scholarly Papers (3)

1.

Common Short Selling and Excess Comovement

Posted: 30 Oct 2017 Last Revised: 10 Jul 2020
Marco Valerio Geraci, Jean-Yves Gnabo and David Veredas
University of Cambridge - Cambridge-INET Institute, Facult├ęs Universitaires Notre-Dame de la Paix (FUNDP) and Vlerick Business School

Abstract:

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short selling, correlation, informed trading

2.

Short Selling in Extreme Events

Journal of Financial Stability, Vol. 39, 2018
Posted: 03 Sep 2016 Last Revised: 23 Feb 2019
Marco Valerio Geraci, David Veredas and Tomas Garbaravicius
University of Cambridge - Cambridge-INET Institute, Vlerick Business School and European Central Bank (ECB)

Abstract:

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short selling, tail correlation

3.

Measuring Interconnectedness Between Financial Institutions with Bayesian Time-Varying Vector Autoregressions

Journal of Financial and Quantitative Analysis (JFQA) doi: 10.1017/S0022109018000108
Posted: 24 Dec 2015 Last Revised: 01 Jun 2018
Marco Valerio Geraci and Jean-Yves Gnabo
University of Cambridge - Cambridge-INET Institute and Facult├ęs Universitaires Notre-Dame de la Paix (FUNDP)

Abstract:

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financial interconnectedness, time-varying parameter, systemic risk