Loriana Pelizzon

Goethe University Frankfurt - Faculty of Economics and Business Administration

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, D-60323

Germany

Goethe University Frankfurt - Research Center SAFE

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, 60323

Germany

http://www.safe-frankfurt.de

Ca Foscari University of Venice

Dorsoduro 3246

Venice, Veneto 30123

Italy

SCHOLARLY PAPERS

35

DOWNLOADS
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CITATIONS
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162

Scholarly Papers (35)

1.

Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 21, MIT Sloan Research Paper No. 4774-10, AFA 2011 Denver Meetings Paper, CAREFIN Research Paper No. 12/2010
Number of pages: 57 Posted: 23 Nov 2011 Last Revised: 25 Apr 2012
Monica Billio, Andrew W. Lo, Mila Getmansky and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 4,100 (1,318)
Citation 38

Abstract:

Systemic Risk, Financial Institutions, Liquidity, Financial Crises

2.
Downloads 3,026 ( 2,729)
Citation 20

Crises and Hedge Fund Risk

UMASS-Amherst Working Paper, Yale ICF Working Paper No. 07-14, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10-08
Number of pages: 61 Posted: 20 May 2008 Last Revised: 25 Apr 2012
Monica Billio, Mila Getmansky and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 3,026 (2,661)
Citation 20

Abstract:

Hedge Fund, Risk Management, Financial Crisis

Italian Equity Funds: Efficiency and Performance Persistence

EFMA 2001 Lugano Meetings
Number of pages: 30 Posted: 30 Apr 2001
Roberto Casarin, Andrea Piva and Loriana Pelizzon
University Ca' Foscari of Venice - Department of Economics, GRETA Associati and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 791 (23,933)
Citation 7

Abstract:

Performance evaluation, performance persistence

Italian Equity Funds: Efficiency and Performance Persistence

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 12_08
Number of pages: 24 Posted: 20 May 2008
Roberto Casarin, Loriana Pelizzon and Andrea Piva
University Ca' Foscari of Venice - Department of Economics, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Venice
Downloads 143 (170,384)
Citation 7

Abstract:

Mutual funds, Performance evaluation

Credit Derivatives, Capital Requirements and Opaque OTC Markets

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 58/06
Number of pages: 41 Posted: 01 Mar 2007
Antonio Nicolo and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 348 (69,535)
Citation 6

Abstract:

Credit derivatives, Signalling contracts, Capital requirements

Credit Derivatives, Capital Requirements and Opaque OTC Markets

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 58/06
Number of pages: 38 Posted: 06 Jul 2008 Last Revised: 02 May 2012
Loriana Pelizzon and Antonio Nicolo
Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Padua - Department of Economics
Downloads 154 (159,864)
Citation 6

Abstract:

Credit derivatives, Signalling contracts, Capital requirements

Credit Derivatives, Capital Requirements and Opaque OTC Markets

Number of pages: 40 Posted: 21 Mar 2008
Antonio Nicolo and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 148 (165,577)
Citation 6

Abstract:

Credit derivatives, Signalling contracts, Capital requirements

Stock Market Returns, Corporate Governance and Capital Market Equilibrium

ECGI - Finance Working Paper No. 362
Number of pages: 54 Posted: 01 Jul 2013 Last Revised: 25 Nov 2014
University of Padua - Department of Economics, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universitaet Mannheim
Downloads 505 (44,038)
Citation 1

Abstract:

Corporate Governance, Agency, CAPM, Stock Returns, Equilibrium

Stock Market Returns, Corporate Governance and Capital Market Equilibrium

CESifo Working Paper Series No. 4496
Number of pages: 40 Posted: 06 Dec 2013
University of Padua - Department of Economics, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universitaet Mannheim
Downloads 85 (249,734)
Citation 1

Abstract:

corporate governance, CAPM, variability of returns

Stock Market Returns, Corporate Governance and Capital Market Equilibrium

CEPR Discussion Paper No. DP10392
Number of pages: 56 Posted: 10 Feb 2015
University of Padua - Department of Economics, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universitaet Mannheim
Downloads 0
Citation 1
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Abstract:

beta, CAPM, cash flow, Corporate governance, stock returns

6.

Credit Derivatives: Capital Requirements and Strategic Contracting

EFMA 2004 BASEL MEETINGS
Number of pages: 43 Posted: 18 May 2004
Antonio Nicolo and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 510 (42,322)
Citation 4

Abstract:

Credit derivatives, Signalling contracts, Capital requirements

7.

Franchise Value, Capital Requirements and Closure Rules in a Dynamic Model of Bank Portfolio Management

EFMA 2001 Lugano Meetings
Number of pages: 62 Posted: 13 Mar 2001
Loriana Pelizzon
Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 465 (47,388)
Citation 4

Abstract:

Bank risk, bank portfolio management, government regulation, bank closure rules

How Does P2P Lending Fit into the Consumer Credit Market?

Number of pages: 32 Posted: 03 Apr 2016 Last Revised: 20 Nov 2016
Calebe de Roure, Loriana Pelizzon and Paolo Tasca
Frankfurt School of Finance & Management gemeinnützige GmbH, Goethe University Frankfurt - Faculty of Economics and Business Administration and UCL Centre for Blockchain Technologies
Downloads 348 (69,535)

Abstract:

P2P lending, financial intermediation, consumer credit

How Does P2P Lending Fit into the Consumer Credit Market?

Bundesbank Discussion Paper No. 30/2016
Number of pages: 24 Posted: 05 Oct 2016
Calebe de Roure, Loriana Pelizzon and Paolo Tasca
Frankfurt School of Finance & Management gemeinnützige GmbH, Goethe University Frankfurt - Faculty of Economics and Business Administration and UCL Centre for Blockchain Technologies
Downloads 101 (222,589)

Abstract:

P2P lending, financial intermediation, consumer credit

9.

Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?

SAFE Working Paper No. 95
Number of pages: 66 Posted: 01 Apr 2015
Loriana Pelizzon, Marti G. Subrahmanyam, Davide Tomio and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University - Stern School of Business, Darden School of Business and Waseda University
Downloads 385 (62,308)

Abstract:

Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market

10.

Diversification and Ownership Concentration

EFA 2005 Moscow Meetings, CESifo Working Paper Series No. 1590
Number of pages: 47 Posted: 06 Mar 2005
Bruno Maria Parigi and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 347 (66,725)
Citation 2

Abstract:

Corporate governance, Investor protection, Private benefits, Diversification opportunities

11.

The European Single Currency and the Volatility of European Stock Markets

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper; GRETA Associati Venezia Working Paper No. 0102
Number of pages: 39 Posted: 26 Feb 2002
Monica Billio and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 299 (76,874)
Citation 2

Abstract:

Stock market volatility, Euro, Switching Regime Models.

12.
Downloads 294 ( 84,852)
Citation 5

Pillar 1 vs Pillar 2 under Risk Management

Number of pages: 41 Posted: 07 Mar 2005
Stephen M. Schaefer and Loriana Pelizzon
London Business School - Institute of Finance and Accounting and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 253 (99,383)
Citation 5

Abstract:

Bank portfolio management, Capital requirements

Pillar 1 vs. Pillar 2 Under Risk Management

NBER Working Paper No. w11666
Number of pages: 42 Posted: 07 Dec 2005
Stephen M. Schaefer and Loriana Pelizzon
London Business School - Institute of Finance and Accounting and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 41 (363,393)
Citation 5

Abstract:

13.

Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data

Journal of Alternative Investments (forthcoming)
Number of pages: 39 Posted: 20 May 2008 Last Revised: 25 Apr 2012
Monica Billio, Mila Getmansky and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 291 (75,811)
Citation 1

Abstract:

Hedge Funds, Risk Management, High frequency data

14.

Market Volatility, Optimal Portfolios and Naive Asset Allocations

Ca Foscari University of Venice Working Paper No. 08/WP/2012
Number of pages: 18 Posted: 10 Jul 2012 Last Revised: 03 Oct 2012
Massimiliano Caporin and Loriana Pelizzon
University of Padua - Department of Statistical Sciences and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 273 (82,243)

Abstract:

mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence

15.

Liquidity Coinsurance and Bank Capital

SAFE Working Paper No. 45
Number of pages: 48 Posted: 13 Mar 2014
Tilburg University - Department of Finance, IE Business School - IE University, University of Vienna and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 232 (109,289)

Abstract:

Bank Capital, Interbank Markets, Liquidity Coinsurance

16.
Downloads 197 (128,109)
Citation 2

Measuring Sovereign Contagion in Europe

Number of pages: 246 Posted: 17 Mar 2012 Last Revised: 13 Mar 2014
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bolzano and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 104 (217,944)
Citation 2

Abstract:

Sovereign Risk, Contagion

Measuring Sovereign Contagion in Europe

SAFE Working Paper No. 103
Number of pages: 92 Posted: 15 May 2015
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bolzano and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 93 (235,541)
Citation 2

Abstract:

Sovereign Risk, Contagion, Disintegration

Are Household Portfolios Efficient? An Analysis Conditional on Housing

EFA 2003 Annual Conference Paper No. 617, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 55/06
Number of pages: 51 Posted: 18 Jul 2003 Last Revised: 02 May 2012
Guglielmo Weber and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 177 (141,361)
Citation 12

Abstract:

Housing and portfolio choice, Portfolio efficiency

Are Household Portfolios Efficient? An Analysis Conditional on Housing

CEPR Discussion Paper No. 3890
Number of pages: 45 Posted: 20 Jun 2003
Guglielmo Weber and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 12 (507,858)
Citation 12
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Abstract:

Portfolio choice, efficiency, housing

18.

Any Role for Mean Reversion in Short Term Asset Allocation?

Number of pages: 37 Posted: 17 Feb 2009
Massimiliano Caporin, Frans de Roon and Loriana Pelizzon
University of Padua - Department of Statistical Sciences, Tilburg University - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 183 (129,897)

Abstract:

mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence

19.

Efficient Portfolios when Housing is a Hedge Against Rent Risk

EFA 2005 Moscow Meetings
Number of pages: 36 Posted: 06 Mar 2005
Guglielmo Weber and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 179 (131,777)
Citation 4

Abstract:

efficiency, housing and portfolio choice, rent risk

20.

Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods

SAFE Working Paper No. 144
Number of pages: 90 Posted: 21 Sep 2016 Last Revised: 07 Jun 2017
Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University - Stern School of Business, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 151 (162,423)

Abstract:

High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision

21.

Mutual Excitation in Eurozone Sovereign CDS

SAFE Working Paper No. 51
Number of pages: 36 Posted: 19 May 2014 Last Revised: 02 Jun 2014
Yacine Ait-Sahalia, Roger J. A. Laeven and Loriana Pelizzon
Princeton University - Department of Economics, University of Amsterdam - Amsterdam School of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 146 (103,315)

Abstract:

CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response

22.

CDS Industrial Sector Indices, Credit and Liquidity Risk

Ca’ Foscari University of Venice Working Paper No. 09/WP/2012,
Number of pages: 26 Posted: 10 Jul 2012
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 123 (168,155)
Citation 1

Abstract:

credit risk, common factors, liquidity risk

23.

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

NBER Working Paper No. w16223
Number of pages: 58 Posted: 26 Jul 2010
Monica Billio, Mila Getmansky, Andrew W. Lo and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 95 (189,161)
Citation 45

Abstract:

24.

Does Local Market Correlation Matter for Ownership Structure and Control Rights?

Number of pages: 41 Posted: 21 Nov 2004
Bruno Maria Parigi and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 90 (232,215)

Abstract:

Corporate Governance, Market integration, CAPM

25.

Efficient Portfolios When Housing Needs Change Over the Life-Cycle

University Ca' Foscari of Venice, Department of Economics Research Paper No. 31/WP/2007
Number of pages: 66 Posted: 17 Mar 2006
Guglielmo Weber and Loriana Pelizzon
University of Padua - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 80 (242,267)
Citation 4

Abstract:

Housing and portfolio choice, Portfolio efficiency, Rental risk, Life-cycle

26.

Portfolio Performance Measure and a New Generalized Utility-Based N-Moment Measure

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 22
Number of pages: 34 Posted: 11 Nov 2013
Ca Foscari University of Venice - Dipartimento di Economia, University Paris-1 Panthéon-Sorbonne, EMLyon Business School (Paris Campus) and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 61 (262,981)

Abstract:

Utility Function, Performance Measures, Agents’ Preferences, Portfolio Ranking

27.

Deciphering the Libor and Euribor Spreads During the Subprime Crisis

North American Journal of Economics and Finance 26 (2013) 565– 585,
Number of pages: 21 Posted: 09 Jul 2013 Last Revised: 11 Mar 2015
Loriana Pelizzon and Domenico Sartore
Goethe University Frankfurt - Faculty of Economics and Business Administration and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 47 (291,456)

Abstract:

Subprime Crisis, Collateral Liquidity, Unconventional Monetary Policy

28.

Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets

Number of pages: 57 Posted: 29 May 2017 Last Revised: 08 Jun 2017
Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and USI-Lugano
Downloads 0 (393,247)

Abstract:

unconventional monetary policy, integration, international equity markets, CDS

29.

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 0 (175,979)

Abstract:

CAPM, volatility, network, interconnections, systematic risk

30.

Health Status and Portfolio Choice: Is Their Relationship Economically Relevant?

International Review of Financial Analysis, Vol. 32, 2014
Posted: 07 Dec 2016
Silvia Bressan, Noemi Pace and Loriana Pelizzon
Free University of Bozen-Bolzano - Faculty of Economics and Management, Ca Foscari University of Venice - Department of Economics and Goethe University Frankfurt - Faculty of Economics and Business Administration

Abstract:

Household portfolios; Health status

31.

How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis

SAFE Working Paper No. 151
Number of pages: 44 Posted: 19 Oct 2016
Michael Schneider, Fabrizio Lillo and Loriana Pelizzon
Scuola Normale Superiore, Scuola Normale Superiore and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 0 (190,398)

Abstract:

liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing

32.

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
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 0 (215,394)

Abstract:

spatial GARCH, network, risk spillover, financial spillover

33.

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, Lorenzo Frattarolo and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 0 (110,665)

Abstract:

Hedge funds, Tail risk, Diversification, Marginal risk contribution

34.

Bank Credit to Medium-Sized Enterprises in Italy: The Trends Before and During the Crisis

Bancaria No. 02-2011
Posted: 18 Apr 2011
Ivan Lorenzon, Marcella Lucchetta and Loriana Pelizzon
affiliation not provided to SSRN, Ca Foscari University of Venice and Goethe University Frankfurt - Faculty of Economics and Business Administration

Abstract:

Financial crisis, Firm credit availability

35.

Relative Benchmark Rating and Persistence Analysis: Evidence from Italian Equity Funds

European Journal of Finance, Vol. 11, No. 4, pp. 297-308
Posted: 21 Jan 2005
Fondazione Eni Enrico Mattei (FEEM), Venice, Goethe University Frankfurt - Faculty of Economics and Business Administration, Ca Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics

Abstract:

Mutual funds, performance evaluation, persistence analysis, style analysis, morningstar rating, risk adjusted measures

Other Papers (1)

Total Downloads: 146    Citations: 6
1.

Contagion Detection with Switching Regime Models: A Short and Long Run Analysis

Number of pages: 26 Posted: 05 Mar 2005
Monica Billio, Marco Lo Duca and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, European Central Bank (ECB) and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 128
Citation 6

Abstract:

Contagion, stock market crises, international financial markets, financial integration, Markov switching models, long run analysis