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

49

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19,746

CITATIONS
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160

Scholarly Papers (49)

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
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 4,862 (1,515)
Citation 38

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Systemic Risk, Financial Institutions, Liquidity, Financial Crises

2.
Downloads 3,132 ( 3,276)
Citation 19

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 Sherman 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 3,132 (3,203)
Citation 19

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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 806 (28,241)
Citation 7

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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 164 (177,431)
Citation 7

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Mutual funds, Performance evaluation

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
Reserve Bank of Australia, Goethe University Frankfurt - Faculty of Economics and Business Administration and UCL Centre for Blockchain Technologies
Downloads 523 (50,460)

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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
Reserve Bank of Australia, Goethe University Frankfurt - Faculty of Economics and Business Administration and UCL Centre for Blockchain Technologies
Downloads 353 (81,483)

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P2P lending, financial intermediation, consumer credit

Portfolio Similarity and Asset Liquidation in the Insurance Industry

Number of pages: 54 Posted: 10 Oct 2017 Last Revised: 14 Aug 2018
Securities and Exchange Commission, Lehigh University - College of Business & Economics, University of Nebraska - Lincoln, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance
Downloads 755 (30,925)

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Interconnectedness, Asset Liquidation, Similarity, Financial Stability, Insurance Companies, SIFI

Portfolio Similarity and Asset Liquidation in the Insurance Industry

SAFE Working Paper No. 224
Number of pages: 56 Posted: 27 Aug 2018 Last Revised: 28 Aug 2018
Securities and Exchange Commission, Lehigh University - College of Business & Economics, University of Nebraska - Lincoln, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance
Downloads 34 (449,236)

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Interconnectedness, Asset Liquidation, Similarity, Financial Stability, Insurance Companies, SIFI

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 364 (78,603)
Citation 6

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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 158 (183,266)
Citation 6

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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 150 (191,507)
Citation 6

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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 557 (46,493)

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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 89 (281,788)

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

8.

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 537 (49,299)
Citation 4

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Credit derivatives, Signalling contracts, Capital requirements

9.

P2P Lenders versus Banks: Cream Skimming or Bottom Fishing?

SAFE Working Paper No. 206, Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-13
Number of pages: 72 Posted: 08 May 2018 Last Revised: 09 May 2019
Calebe de Roure, Loriana Pelizzon and Anjan V. Thakor
Reserve Bank of Australia, Goethe University Frankfurt - Faculty of Economics and Business Administration and Washington University, Saint Louis - John M. Olin School of Business
Downloads 490 (55,401)

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P2P lending, bank lending, competition

10.

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 490 (55,401)
Citation 4

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

11.

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

SAFE Working Paper No. 95
Number of pages: 66 Posted: 01 Apr 2015 Last Revised: 17 Apr 2019
Loriana Pelizzon, Marti G. Subrahmanyam, Davide Tomio and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Darden School of Business and Waseda University
Downloads 461 (59,816)

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

12.

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 372 (77,245)
Citation 2

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Corporate governance, Investor protection, Private benefits, Diversification opportunities

13.

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 327 (89,586)
Citation 2

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Stock market volatility, Euro, Switching Regime Models.

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 309 (95,393)

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

15.
Downloads 299 ( 98,764)
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 257 (115,485)
Citation 5

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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 Last Revised: 02 May 2012
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 42 (415,434)
Citation 5

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16.

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 - Department of Quantitative Economics (KE) and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 273 (108,991)

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

17.

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 260 (114,608)

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CAPM, volatility, network, interconnections, systematic risk

18.

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 254 (117,447)

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Hedge funds, Tail risk, Diversification, Marginal risk contribution

19.

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
European Commission Joint Research Center - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 247 (120,850)

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

20.

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 246 (121,312)

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Bank Capital, Interbank Markets, Liquidity Coinsurance

21.
Downloads 242 (123,358)
Citation 2

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 123 (224,548)
Citation 2

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Sovereign Risk, Contagion, Disintegration

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 119 (230,283)
Citation 2

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Sovereign Risk, Contagion

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 164 (177,431)

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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
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 61 (350,582)

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spatial GARCH; network; risk spillover; financial spillover

23.

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 200 (148,327)

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

24.

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 199 (149,018)
Citation 4

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efficiency, housing and portfolio choice, rent risk

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 183 (160,901)
Citation 12

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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 (578,222)
Citation 12
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Portfolio choice, efficiency, housing

26.

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
Deutsche Bundesbank, Università di Bologna and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 190 (155,599)

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

27.

The Anatomy of the Euro Area Interest Rate Swap Market

ECB Working Paper No. 2242 (2019); ISBN 978-92-899-3504-3
Number of pages: 70 Posted: 19 Feb 2019
USI Lugano, European Central Bank (ECB), Goethe University Frankfurt - Faculty of Economics and Business Administration and European Central Bank (ECB)
Downloads 182 (162,526)

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OTC derivatives, network analysis, interest rate risk, banking, risk management, hedging

Liquidity Provision: Normal Times vs Crashes

Number of pages: 72 Posted: 04 Dec 2017 Last Revised: 06 Apr 2019
Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Norwegian School of Economics (NHH) - Department of Finance
Downloads 113 (239,376)

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Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital

Stock Price Crashes: Role of Slow-Moving Capital

SAFE Working Paper No. 227
Number of pages: 64 Posted: 27 Aug 2018
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York and Norwegian School of Economics (NHH) - Department of Finance
Downloads 50 (385,975)

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Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital

Stock Price Crashes: Role of Slow-Moving Capital

NBER Working Paper No. w24098
Number of pages: 62 Posted: 16 Dec 2017
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York and Norwegian School of Economics (NHH) - Department of Finance
Downloads 2 (650,883)
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29.

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 159 (182,010)
Citation 1

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credit risk, common factors, liquidity risk

30.

Central Bank-Driven Mispricing

SAFE Working Paper No. 226
Number of pages: 61 Posted: 27 Aug 2018 Last Revised: 29 Oct 2018
Loriana Pelizzon, Marti G. Subrahmanyam, Davide Tomio and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Darden School of Business and Waseda University
Downloads 147 (194,252)

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Central Bank Interventions, Liquidity, Sovereign Bonds, Futures Contracts, Arbitrage

31.

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

NBER Working Paper No. w16223
Number of pages: 58 Posted: 26 Jul 2010
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 140 (202,070)
Citation 44

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32.

The Impact of Monetary Policy Interventions on the Insurance Industry

SAFE Working Paper No. 204
Number of pages: 44 Posted: 07 May 2018
Loriana Pelizzon and Matteo Sottocornola
Goethe University Frankfurt - Faculty of Economics and Business Administration and Goethe University Frankfurt - Research Center SAFE
Downloads 134 (209,322)

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Event study, monetary policy surprise, unconventional monetary policy, conventional monetary policy, insurance industry

33.

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

SAFE Working Paper No. 193
Number of pages: 56 Posted: 02 Feb 2018 Last Revised: 16 Apr 2019
European Commission Joint Research Center - JRC-Ispra, European Commision, Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - Faculty of Economics and Business Administration and European Central Bank (ECB)
Downloads 134 (209,322)

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

34.

Coming Early to the Party

SAFE Working Paper No. 182
Number of pages: 65 Posted: 20 Sep 2017
European Commission Joint Research Center - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 114 (236,683)

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High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery

Scarcity and Spotlight Effects on Term Structure: Quantitative Easing in Japan

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 44 Posted: 04 Jun 2017
Loriana Pelizzon, Marti G. Subrahmanyam, Reiko Tobe and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University - Graduate School of Finance, Accounting & Law and Waseda University
Downloads 57 (362,847)

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Sovereign bonds, quantitative easing, market liquidity, scarcity, spotlight

Scarcity and Spotlight Effects on Liquidity: Quantitative Easing in Japan

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 47 Posted: 23 Jan 2018 Last Revised: 18 Apr 2018
Loriana Pelizzon, Marti G. Subrahmanyam, Reiko Tobe and Jun Uno
Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University - Graduate School of Finance, Accounting & Law and Waseda University
Downloads 42 (415,434)

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Sovereign bonds, quantitative easing, market liquidity, scarcity, spotlight

36.

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

Paris December 2017 Finance Meeting EUROFIDAI - AFFI, Swiss Finance Institute Research Paper No. 17-47
Number of pages: 57 Posted: 29 May 2017 Last Revised: 09 Jan 2018
Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Swiss Finance Institute
Downloads 99 (261,051)

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unconventional monetary policy, integration, international equity markets, CDS

37.

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 97 (264,536)

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Corporate Governance, Market integration, CAPM

38.

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 93 (271,833)
Citation 4

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

39.

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 86 (285,517)

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

40.

Lighting up the Dark: Liquidity in the German Corporate Bond Market

SAFE Working Paper No. 230
Number of pages: 61 Posted: 05 Oct 2018
Deutsche Bundesbank, Vienna Graduate School of Finance (VGSF), Goethe University Frankfurt - Faculty of Economics and Business Administration, Deutsche Bundesbank and New York University (NYU) - Department of Finance
Downloads 78 (302,793)

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Corporate Bonds, WpHG, Liquidity, Transparency, OTC markets

41.

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 74 (312,192)

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Subprime Crisis, Collateral Liquidity, Unconventional Monetary Policy

42.

The Pitfalls of Central Clearing in the Presence of Systematic Risk

SAFE Working Paper No. 235
Number of pages: 54 Posted: 06 Nov 2018 Last Revised: 22 May 2019
University of Bonn - Institute for Financial Economics and Statistics, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance
Downloads 69 (332,297)

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Central Clearing, Counterparty Risk, Systematic Risk, OTC markets, Derivatives, Margin

43.

Paying for Market Liquidity: Competition and Incentives

SAFE Working Paper No. 247
Number of pages: 60 Posted: 18 Apr 2019
European Commission Joint Research Center - JRC-Ispra, European Commision, Goethe University Frankfurt - Faculty of Economics and Business Administration, New York University (NYU) - Department of Finance, Waseda University and Norwegian School of Economics (NHH) - Department of Finance
Downloads 58 (354,541)

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High-Frequency Trading (HFT), Designated Market Makers (DMMs) Market Making, Adverse Selection, Liquidity Provision

44.

High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 46 Posted: 04 Jun 2018 Last Revised: 26 Jan 2019
European Commission Joint Research Center - JRC-Ispra, European Commision, Aarhus University - CREATES, University of Manchester - Manchester Business School, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Verona - Department of Economics
Downloads 36 (430,682)

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flash crashes; high-frequency traders (HFTs); liquidity provision; market making.

45.

OTC Discount

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 04 Jun 2018
Reserve Bank of Australia, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 19 (515,269)

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venue choice, hybrid markets, sovereign bond markets

46.

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

Journal of Alternative Investments (forthcoming), https://doi.org/10.3905/JAI.2009.12.1.021
Posted: 22 May 2019
Monica Billio, Mila Getmansky Sherman 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

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Hedge Funds, Risk Management, High frequency data

47.

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

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Household portfolios; Health status

48.

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

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Financial crisis, Firm credit availability

49.

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

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

Other Papers (1)

Total Downloads: 163    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 163
Citation 6

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