Lorenzo Frattarolo

European Commission-Joint Research Centre

Joint Research Centre, European Commission, Rue du

Brussels, Brussels 1050

Belgium

SCHOLARLY PAPERS

6

DOWNLOADS

990

SSRN CITATIONS

0

CROSSREF CITATIONS

8

Scholarly Papers (6)

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
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 177 (239,327)
Citation 4

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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
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 153 (270,650)
Citation 4

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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 284 (153,364)
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
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 139 (291,384)

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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
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 133 (301,436)
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 70 (454,474)
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
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 34 (615,875)

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Cay, Trend, State-Space Model