Dario Ruzzi

Bank of Italy

Via Nazionale 91

Rome, 00184

Italy

SCHOLARLY PAPERS

4

DOWNLOADS

340

SSRN CITATIONS
Rank 25,711

SSRN RANKINGS

Top 25,711

in Total Papers Citations

36

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.
Downloads 199 (191,431)
Citation 18

Equity Tail Risk in the Treasury Bond Market

Bank of Italy Temi di Discussione (Working Paper) No. 1311
Number of pages: 114 Posted: 14 Apr 2021
Mirco Rubin and Dario Ruzzi
EDHEC Business School and Bank of Italy
Downloads 131 (272,539)
Citation 18

Abstract:

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bond return predictability, equity tail risk, bond risk premium, flight-to-safety, affine term structure model

Equity Tail Risk in the Treasury Bond Market

Number of pages: 104 Posted: 24 Apr 2018 Last Revised: 14 Nov 2020
Mirco Rubin and Dario Ruzzi
EDHEC Business School and Bank of Italy
Downloads 68 (418,044)

Abstract:

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Bond return predictability, equity tail risk, bond risk premium, flight-to-safety, affine term structure model

2.

Systematic Comovement in Threshold Group-Factor Models

Number of pages: 65 Posted: 18 May 2021
Daniele Massacci, Mirco Rubin and Dario Ruzzi
King's College London, EDHEC Business School and Bank of Italy
Downloads 54 (462,224)

Abstract:

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Comovement, Approximate Factor Model, Groups, Threshold, PCA

3.

Flight to Safety in Volatility Forecasting

Number of pages: 37 Posted: 30 Jun 2018
Dario Ruzzi and Nicholas Taylor
Bank of Italy and University of Bristol - School of Economics, Finance and Management
Downloads 53 (466,117)

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Flight to Safety, Realized Semi-Covariance, Volatility Forecasting

4.

Flight to Safety: Does It Matter for Volatility Forecasting?

Number of pages: 63 Posted: 09 Mar 2018
Dario Ruzzi
Bank of Italy
Downloads 34 (552,946)
Citation 1

Abstract:

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Flight to safety, safe haven, gold, realized variance, volatility forecasting.