Lorenzo Frattarolo

European Commission-Joint Research Centre

Joint Research Centre, European Commission, Rue du

Brussels, Brussels 1050

Belgium

  • European Commission-Joint Research Centre

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

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1.

Networks in Risk Spillovers: A Multivariate GARCH Perspective

Downloads 459 (125,900)
Citation 10

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
Monica Billio, Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, European Commission-Joint Research Centre and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 222 (271,797)
Citation 5

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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
Monica Billio, Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, European Commission-Joint Research Centre and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 197 (304,382)
Citation 5

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spatial GARCH; network; risk spillover; financial spillover

Networks in Risk Spillovers: A Multivariate GARCH Perspective

Ca' Foscari University of Venice, Department of Economics Research Paper Series No. 16/2020
Number of pages: 63 Posted: 23 Feb 2024
Monica Billio, Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, European Commission-Joint Research Centre and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 40 (853,265)

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Spatial GARCH, network, risk spillover, financial spillover

2.

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, Monica Billio, Lorenzo Frattarolo and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, European Commission-Joint Research Centre and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 338 (178,077)
Citation 1

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Hedge funds, Tail risk, Diversification, Marginal risk contribution

3.

Testing Big Data in a Big Crisis: Nowcasting under COVID-19

Number of pages: 38 Posted: 29 Mar 2022
Luca Barbaglia, Lorenzo Frattarolo, Luca Onorante, Luca Tiozzo Pezzoli, Filippo M. Pericoli and Marco Ratto
European Commission-Joint Research Centre, European Commission-Joint Research Centre, Joint Research Centre, Italy, European Commission - Joint Research Centre, European Commission-Joint Research Centre and European Commission - Joint Research Center
Downloads 221 (274,074)
Citation 6

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Bayesian Model Averaging, Big Data, COVID-19 Pandemic, Nowcasting

4.

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
Monica Billio, Monica Billio, Lorenzo Frattarolo, Hayette Gatfaoui, Hayette Gatfaoui and Philippe de Peretti
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, European Commission-Joint Research Centre, IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 174 (341,193)
Citation 3

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

5.

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
European Commission-Joint Research Centre, Ca Foscari University of Venice and Università Ca' Foscari Venezia - Department of Economics
Downloads 100 (526,120)
Citation 1

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Systemic Risk, Particle Swarm Optimization, Nonparametric Combination

6.

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
Michele Costola, Lorenzo Frattarolo, Marcella Lucchetta and Antonio Paradiso
Ca' Foscari University of Venice, European Commission-Joint Research Centre, Ca Foscari University of Venice and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 52 (747,778)

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Cay, Trend, State-Space Model