Fabrizio Ferriani

Bank of Italy

Via Nazionale 91

Rome, 00184

Italy

SCHOLARLY PAPERS

11

DOWNLOADS

684

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (11)

1.

The Dynamics of Price Jumps in the Stock Market: An Empirical Study on Europe and U.S.

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 39 Posted: 02 Mar 2017 Last Revised: 18 Nov 2017
Fabrizio Ferriani and Patrick Zoi
Bank of Italy and Bank of Italy
Downloads 164 (251,400)
Citation 2

Abstract:

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Jumps, Contagion, Hawkes process, high-frequency data

2.

More Distance, More Remittance? Remitting Behaviour, Travel Costs and the Size of the Informal Channel

Number of pages: 34 Posted: 27 Feb 2018 Last Revised: 23 Oct 2018
Fabrizio Ferriani and Giacomo Oddo
Bank of Italy and Bank of Italy
Downloads 155 (263,486)
Citation 1

Abstract:

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remittances, immigration, informal flows, travel costs

3.

Issuing Bonds during the COVID-19 Pandemic: Is There An ESG Premium?

Number of pages: 33 Posted: 28 Feb 2022 Last Revised: 26 Jul 2022
Fabrizio Ferriani
Bank of Italy
Downloads 113 (334,464)

Abstract:

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ESG scores, COVID-19, bond yield spreads, risk channel, non-pecuniary channel

4.

Risk Premium in the Era of Shale Oil

Bank of Italy Temi di Discussione (Working Paper) No. 1215, April 2019
Number of pages: 53 Posted: 06 Aug 2019
Bank of Italy, Bank of Italy, Bank of Italy and Imperial College London
Downloads 86 (398,798)
Citation 2

Abstract:

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shale oil, futures, risk premium, hedging, speculation, limits to arbitrage

5.

Benchmark Effects from the Inclusion of Chinese A-shares in the MSCI EM Index

Bank of Italy Occasional Paper No. 657
Number of pages: 29 Posted: 24 Jan 2022
Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 42 (563,299)

Abstract:

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benchmark indices, international portfolio flows, China

6.

U.S. Shale Producers: A Case of Dynamic Risk Management?

Bank of Italy Temi di Discussione (Working Paper) No. 1211, March 2019
Number of pages: 48 Posted: 06 Aug 2019
Fabrizio Ferriani and Giovanni Veronese
Bank of Italy and Bank of Italy
Downloads 38 (583,934)
Citation 1

Abstract:

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dynamic risk management, hedging, derivatives, shale revolution, oil price collapse

7.

The Importance of Labels for Sustainable Investments: SFDR Versus Morningstar Globes

Number of pages: 10 Posted: 25 Jul 2022
Fabrizio Ferriani
Bank of Italy
Downloads 31 (624,576)

Abstract:

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SFDR; Morningstar sustainability rating, mutual funds, sustainability labels, entropy balancing method

8.

Financial Condition Indices for Emerging Market Economies: Can Google Help?

Bank of Italy Occasional Paper No. 653
Number of pages: 37 Posted: 11 Feb 2022
Fabrizio Ferriani and Andrea Giovanni Gazzani
Bank of Italy and Bank of Italy
Downloads 27 (650,727)

Abstract:

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financial condition index, emerging markets, Google search, principal component analysis, VAR, quantile regressions

9.

An Early Warning System for Less Significant Italian Banks

Bank of Italy Occasional Paper No. 480, February 2019
Number of pages: 42 Posted: 06 Aug 2019
Bank of Italy, Bank of Italy, Bocconi University, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 21 (695,425)
Citation 1

Abstract:

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early warning system, default, less significant institutions, CAMELS, banking supervision

10.

More Distance, More Remittance? Remitting Behavior, Travel Cost, and the Size of the Informal Channel

Economic Notes, Vol. 48, Issue 3, pp. n/a-n/a, 2019
Number of pages: 23 Posted: 14 May 2020
Fabrizio Ferriani and Giacomo Oddo
Bank of Italy and Bank of Italy
Downloads 6 (832,157)

Abstract:

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immigration, informal flows, remittances, travel costs

11.

Issuing Bonds During the Covid-19 Pandemic is There an ESG Premium?

Number of pages: 33
Fabrizio Ferriani
Bank of Italy
Downloads 1

Abstract:

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G12, G23, G32, G4