Lorenzo Frattarolo

Ca Foscari University of Venice - Dipartimento di Economia

Cannaregio 873

Venice, 30121

Italy

SCHOLARLY PAPERS

5

DOWNLOADS

683

CITATIONS

5

Scholarly Papers (5)

1.

Hedge Fund Tail Risk: An Investigation in Stressed Markets, Extended Version with Appendix

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 01/WP/2016
Number of pages: 39 Posted: 22 Jan 2016 Last Revised: 14 Nov 2016
Monica Billio, Lorenzo Frattarolo and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 260 (116,548)
Citation 1

Abstract:

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Hedge funds, Tail risk, Diversification, Marginal risk contribution

Networks in Risk Spillovers: A Multivariate GARCH Perspective

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 03/WP/ 2016
Number of pages: 52 Posted: 04 Mar 2016
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 167 (177,533)
Citation 2

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spatial GARCH, network, risk spillover, financial spillover

Networks in Risk Spillovers: A Multivariate GARCH Perspective

SAFE Working Paper No. 225
Number of pages: 86 Posted: 27 Aug 2018 Last Revised: 28 Aug 2018
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 71 (328,357)
Citation 1

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spatial GARCH; network; risk spillover; financial spillover

3.

Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone

CES Working Paper 2016.46
Number of pages: 30 Posted: 31 Oct 2016 Last Revised: 28 Nov 2016
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia, IESEG School of Management (Paris campus) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 104 (256,484)
Citation 1

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Causal Network, Topology, Custering, Flickering, Desynchronisation, Phase transitions

4.

Systemically Important Banks: A Permutation Test Approach

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 28/WP/2016
Number of pages: 18 Posted: 02 Nov 2016
Lorenzo Frattarolo, Francesca Parpinel and Claudio Pizzi
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice and Università Ca' Foscari Venezia - Department of Economics
Downloads 59 (357,375)

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Systemic Risk, Particle Swarm Optimization, Nonparametric Combination

5.

Do We Need a Stochastic Trend in Cay Estimation? Yes.

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 24/WP/2016
Number of pages: 15 Posted: 02 Nov 2016
Goethe University Frankfurt - Research Center SAFE, Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 22 (507,086)

Abstract:

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Cay, Trend, State-Space Model