Mattia Bevilacqua

Systemic Risk Centre - London School of Economics

Research Officer

Houghton Street

London , WC2A 2AE

United Kingdom

University of Liverpool Management School

Chatham St

Liverpool, L69 7ZH

United Kingdom

  • Systemic Risk Centre - London School of Economics

  • University of Liverpool Management School

SCHOLARLY PAPERS

6

DOWNLOADS

1,246

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (6)

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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 312 (136,854)
Citation 2

Abstract:

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

2.

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

Number of pages: 52 Posted: 01 Feb 2021 Last Revised: 27 Apr 2021
Mattia Bevilacqua, Lukas Brandl-Cheng, Jon Danielsson, Lerby Murat Ergun, Andreas Uthemann and Jean-Pierre Zigrand
Systemic Risk Centre - London School of Economics, 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 291 (147,243)

Abstract:

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Fed, COVID-19, FX Swap

3.

Dynamic Industry Uncertainty Networks and the Business Cycle

Number of pages: 69 Posted: 10 Mar 2021 Last Revised: 03 Dec 2021
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 266 (161,251)

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Financial Uncertainty, Industry Network, Options Market, Business Cycle

4.

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

Number of pages: 58 Posted: 12 Jan 2021 Last Revised: 09 Jun 2022
Mattia Bevilacqua, Radu Tunaru and Davide Vioto
Systemic Risk Centre - London School of Economics, University of Sussex and European Banking Authority (EBA)
Downloads 203 (208,787)

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

5.

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 128 (305,533)
Citation 1

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

6.

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 46 (542,978)
Citation 1

Abstract:

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