Roberto Panzica

Goethe University Frankfurt - Research Center SAFE

(http://www.safe-frankfurt.de)

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, 60323

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

645

CITATIONS

5

Scholarly Papers (4)

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 Padua - Department of Statistical Sciences, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 276 (109,616)
Citation 4

Abstract:

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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 Commission Joint Research Center - JRC-Ispra, European Commision, Securities and Exchange Commission, Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - Faculty of Economics and Business Administration and European Central Bank (ECB)
Downloads 144 (200,927)
Citation 2

Abstract:

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

3.

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 Goethe University Frankfurt - Research Center SAFE
Downloads 140 (205,565)

Abstract:

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

4.

Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections

SAFE Working Paper No. 228
Number of pages: 41 Posted: 29 Aug 2018
Roberto Panzica
Goethe University Frankfurt - Research Center SAFE
Downloads 85 (292,540)

Abstract:

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Idiosyncratic volatility puzzle; Networks; Expected Returns; Granger Causality