Roberto Panzica

Bank of Portugal

Rua Francisco Ribeiro, 2

Lisbon, 1150-165

Portugal

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 26,111

SSRN RANKINGS

Top 26,111

in Total Papers Downloads

3,695

SSRN CITATIONS
Rank 10,207

SSRN RANKINGS

Top 10,207

in Total Papers Citations

140

CROSSREF CITATIONS

20

Scholarly Papers (11)

1.

The Greenium matters: greenhouse gas emissions, environmental disclosures, and stock prices

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 418
Number of pages: 37 Posted: 13 Sep 2019 Last Revised: 02 Oct 2020
Alessi Lucia, Elisa Ossola and Roberto Panzica
Joint Research Center of the European Commission, University of Milano-Bicocca and Bank of Portugal
Downloads 701 (69,651)
Citation 40

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

2.

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, Bank of Portugal and Polytechnic University of Marche
Downloads 696 (70,284)
Citation 74

Abstract:

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

3.

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
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Bank of Portugal and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 476 (112,856)
Citation 13

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CAPM, volatility, network, interconnections, systematic risk

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

SAFE Working Paper No. 193
Number of pages: 60 Posted: 02 Feb 2018 Last Revised: 05 Dec 2023
European Union - JRC-Ispra, European Commision, Securities and Exchange Commission, Bank of Portugal, Goethe University Frankfurt - Faculty of Economics and Business Administration and European Central Bank (ECB)
Downloads 394 (139,408)
Citation 9

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

The Demand for Central Clearing: To Clear or Not to Clear, that is the Question

ESRB: Working Paper Series No. 2017/62
Number of pages: 58 Posted: 05 Nov 2020
European Union - JRC-Ispra, European Commision, Bank of Portugal, Goethe University Frankfurt - Faculty of Economics and Business Administration and European Systemic Risk Board
Downloads 47 (750,113)

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

Sustainable Investing in Times of Crisis: Evidence from Bond Holdings and the COVID-19 Pandemic

Number of pages: 42 Posted: 22 Dec 2021 Last Revised: 27 Dec 2021
Serena Fatica and Roberto Panzica
European Commission - Joint Research Centre and Bank of Portugal
Downloads 328 (170,744)
Citation 2

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Financial crises, sustainable finance, green bonds, institutional investors

Sustainable Investing in Times of Crisis Evidence from Bond Holdings and the COVID-19 Pandemic

Number of pages: 45 Posted: 28 Jul 2022
Serena Fatica and Roberto Panzica
European Commission - Joint Research Centre and Bank of Portugal
Downloads 49 (736,548)

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G01, G11, G23

6.

Green Bonds as a Tool Against Climate Change?

Number of pages: 23 Posted: 02 Dec 2020
Serena Fatica and Roberto Panzica
European Commission - Joint Research Centre and Bank of Portugal
Downloads 307 (184,349)

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climate change; green bonds; impact investing; corporate sustainability; environment

7.

When Do Investors Go Green? Evidence From a Time-Varying Asset-Pricing Model

Number of pages: 37 Posted: 04 Mar 2022
Alessi Lucia, Elisa Ossola and Roberto Panzica
Joint Research Center of the European Commission, University of Milano-Bicocca and Bank of Portugal
Downloads 226 (250,727)
Citation 2

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Climate risk, environmental disclosure, conditional factor models, asset pricing

8.

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 Padua - Department of Statistical Sciences and Bank of Portugal
Downloads 220 (257,119)

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

9.

Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections

SAFE Working Paper No. 228
Number of pages: 41 Posted: 29 Aug 2018
Roberto Panzica
Bank of Portugal
Downloads 158 (345,309)

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Idiosyncratic volatility puzzle; Networks; Expected Returns; Granger Causality

10.

The Systemic Risk of Us Oil and Natural Gas Companies

Number of pages: 41 Posted: 08 Jul 2022 Last Revised: 05 May 2023
Massimiliano Caporin, Fulvio Fontini and Roberto Panzica
University of Padua - Department of Statistical Sciences, University of Padova - Department of Economics and Management "Marco Fanno" and Bank of Portugal
Downloads 54 (689,536)
Citation 1

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Systemic risk, Oil and Natural Gas, Fossil Fuel, Energy J.E.L. classification: Q43, Q40, G10, C21, C58

11.

When Do Investors Go Green? Evidence from a Time-Varying Asset-Pricing Model

Number of pages: 51 Posted: 14 Apr 2023
Lucia Alessi, Elisa Ossola and Roberto Panzica
affiliation not provided to SSRN, University of Milano-Bicocca and Bank of Portugal
Downloads 39 (788,465)

Abstract:

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Climate risk, environmental disclosure, conditional factor models, asset pricing