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

  • Systemic Risk Centre - London School of Economics

  • University of Liverpool - Management School (ULMS)

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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Top 47,531

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15

CROSSREF CITATIONS

1

Scholarly Papers (9)

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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 457 (109,687)
Citation 2

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

2.

Dynamic Industry Uncertainty Networks and the Business Cycle

Downloads 325 (161,387)

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

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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)

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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
Mattia Bevilacqua, Jon Danielsson, Lerby Murat Ergun, Andreas Uthemann and Jean-Pierre Zigrand
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)

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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

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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)

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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

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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)

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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
Mykola Babiak, Jozef Baruník, Mattia Bevilacqua and Michael Ellington
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)

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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