Roberto Panzica

Joint Research Center of the European Commission

Via E. Fermi 2749

Ispra (VA), I-21027

Italy

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 48,029

SSRN RANKINGS

Top 48,029

in Total Papers Downloads

958

SSRN CITATIONS

2

CROSSREF CITATIONS

7

Scholarly Papers (6)

1.

The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification

SAFE Working Paper No. 166
Number of pages: 63 Posted: 13 Feb 2017
Ca Foscari University of Venice - Dipartimento di Economia, University of Padova - Department of Statistical Sciences, Joint Research Center of the European Commission and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 311 (106,397)
Citation 6

Abstract:

Loading...

CAPM, volatility, network, interconnections, systematic risk

2.

The Demand for Central Clearing: To Clear or Not to Clear, That Is the Question

SAFE Working Paper No. 193
Number of pages: 57 Posted: 02 Feb 2018 Last Revised: 08 Jun 2019
European Union - JRC-Ispra, European Commision, Securities and Exchange Commission, Joint Research Center of the European Commission, Goethe University Frankfurt - Faculty of Economics and Business Administration and European Central Bank (ECB)
Downloads 185 (178,194)
Citation 6

Abstract:

Loading...

Credit Default Swap (CDS), Central Counterparty Clearing House (CCP), European Market Infrastructure Regulation (EMIR), Sovereign

3.

The Greenium Matters: Evidence on the Pricing of Climate Risk

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 418
Number of pages: 37 Posted: 13 Sep 2019 Last Revised: 24 Apr 2020
Alessi Lucia, Elisa Ossola and Roberto Panzica
Joint Research Center of the European Commission, European Commission, Joint Research Centre and Joint Research Center of the European Commission
Downloads 150 (213,430)

Abstract:

Loading...

Climate risk, ESG disclosure, factor models, asset pricing, stress test

4.

Estimation and Model-Based Combination of Causality Networks

SAFE Working Paper No. 165
Number of pages: 95 Posted: 02 Feb 2017
University "Kore" of Enna, University of Padova - Department of Statistical Sciences and Joint Research Center of the European Commission
Downloads 145 (219,347)

Abstract:

Loading...

Granger Causality, Quantile Causality, Multi-Layer Network, Network Combination

5.

Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections

SAFE Working Paper No. 228
Number of pages: 41 Posted: 29 Aug 2018
Roberto Panzica
Joint Research Center of the European Commission
Downloads 112 (266,984)

Abstract:

Loading...

Idiosyncratic volatility puzzle; Networks; Expected Returns; Granger Causality

6.

The Pricing of Green Bonds: Are Financial Institutions Special?

Number of pages: 46 Posted: 01 Jul 2020
Serena Fatica, Roberto Panzica and Michela Rancan
European Commission - Joint Research Centre, Joint Research Center of the European Commission and Università Politecnica delle Marche
Downloads 55 (404,312)

Abstract:

Loading...

Sustainable finance, climate change, green bonds, financial istitutions, bank loans