Mattia Bevilacqua

Systemic Risk Centre - London School of Economics

Research Officer

Houghton Street

London , WC2A 2AE

United Kingdom

University of Liverpool - Management School (ULMS)

Chatham St

Liverpool, L69 7ZH

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 42,444

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Top 42,444

in Total Papers Downloads

2,032

SSRN CITATIONS
Rank 47,531

SSRN RANKINGS

Top 47,531

in Total Papers Citations

15

CROSSREF CITATIONS

1

Scholarly Papers (9)

1.

The SKEW Index: Extracting What Has Been Left

Journal of Financial Stability, Forthcoming
Number of pages: 45 Posted: 21 Feb 2018 Last Revised: 30 Oct 2020
Mattia Bevilacqua and Radu Tunaru
Systemic Risk Centre - London School of Economics and University of Sussex
Downloads 457 (109,687)
Citation 2

Abstract:

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Option Prices, Market Downturns, Recessions Predictability, Market Sentiment, Tail Risk

Dynamic Industry Uncertainty Networks and the Business Cycle

Number of pages: 54 Posted: 10 Mar 2021 Last Revised: 01 Nov 2023
Jozef Baruník, Mattia Bevilacqua and Robert W. Faff
Charles University in Prague - Department of Economics, Systemic Risk Centre - London School of Economics and University of Queensland
Downloads 288 (182,276)
Citation 1

Abstract:

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Financial Uncertainty, Industry Network, Options Market, Business Cycle

Dynamic Industry Uncertainty Networks and the Business Cycle

Number of pages: 46 Posted: 04 Apr 2023
Jozef Baruník, Mattia Bevilacqua and Robert W. Faff
Charles University in Prague - Department of Economics, Systemic Risk Centre - London School of Economics and University of Queensland
Downloads 37 (762,453)

Abstract:

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Financial Uncertainty, Industry Network, Options Market, Business Cycle

3.

The Calming of Short-Term Market Fears and Its Long-Term Consequences: The Central Banks’ Dilemma

Number of pages: 37 Posted: 01 Feb 2021 Last Revised: 22 Jan 2023
Systemic Risk Centre - London School of Economics, London School of Economics - Systemic Risk Centre, Bank of Canada, Bank of Canada and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 310 (169,116)

Abstract:

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Fed, COVID-19, FX Swap

4.

Options-Based Systemic Risk, Financial Distress, and Macroeconomic Downturns

Number of pages: 67 Posted: 12 Jan 2021 Last Revised: 18 Mar 2023
Mattia Bevilacqua, Radu Tunaru and Davide Vioto
Systemic Risk Centre - London School of Economics, University of Sussex and European Banking Authority (EBA)
Downloads 245 (214,675)
Citation 1

Abstract:

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Systemic Risk, Options Market, Financial Distress, Macro-finance, Financial Stability

5.

Uncovering the Asymmetric Information Content of High-Frequency Options

Number of pages: 77 Posted: 07 Mar 2023 Last Revised: 30 Nov 2023
Lykourgos Alexiou, Mattia Bevilacqua and Rodrigo Hizmeri
University of Liverpool - Management School (ULMS), Systemic Risk Centre - London School of Economics and University of Liverpool - Management School (ULMS)
Downloads 234 (224,521)

Abstract:

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High-Frequency Options; High-Frequency Data; Option Realized Semivariances; Option Realized Signed Jumps; Downside Risk

6.

Asymmetric Network Connectedness of Fears

Review of Economics and Statistics, Forthcoming
Number of pages: 30 Posted: 20 Nov 2018 Last Revised: 27 Oct 2020
Jozef Baruník, Mattia Bevilacqua and Radu Tunaru
Charles University in Prague - Department of Economics, Systemic Risk Centre - London School of Economics and University of Sussex
Downloads 161 (314,197)
Citation 6

Abstract:

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Implied Volatility, Asymmetric Network Connectedness, U.S. Financial Sector.

7.

Directional Options Trading Volume around Analysts’ Announcements

Number of pages: 56 Posted: 02 Jun 2023
Lykourgos Alexiou, Mattia Bevilacqua and Zacharias Petrou
University of Liverpool - Management School (ULMS), Systemic Risk Centre - London School of Economics and University of Liverpool Management School
Downloads 126 (381,753)

Abstract:

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Option Trading, Option Signed Volume, Analyst Recommendation, Stock Return Predictability

8.

Common Firm-level Investor Fears: Evidence from Equity Options

Number of pages: 49 Posted: 09 Sep 2023 Last Revised: 10 Nov 2023
Lancaster University Management School, Charles University in Prague - Department of Economics, Systemic Risk Centre - London School of Economics and University of Liverpool
Downloads 98 (457,390)

Abstract:

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asset pricing, implied variance, firm-level, equity options

9.

The Determinants of the Model-Free Positive and Negative Volatilities

Journal of International Money and Finance, Vol. 92, April 2019, Pages 1-24
Number of pages: 35 Posted: 27 Dec 2018 Last Revised: 27 Feb 2019
Mattia Bevilacqua, David Morelli and Radu Tunaru
Systemic Risk Centre - London School of Economics, affiliation not provided to SSRN and University of Sussex
Downloads 76 (534,788)
Citation 2

Abstract:

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Implied Volatility, Risk Premia, Macro Variables, Financial Variables, Mixed Frequency