Malvina Marchese

Cass Business School, City, University of london

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

  • Cass Business School, City, University of london

SCHOLARLY PAPERS

8

DOWNLOADS

669

TOTAL CITATIONS

3

Scholarly Papers (8)

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1.

Credit Risk in European Banks: The Bright Side of the Internal Ratings Based Approach

Downloads 243 (262,860)
Citation 3

Credit Risk in European Banks: The Bright Side of the Internal Ratings Based Approach

(2018). Journal of Banking & Finance, 93, pp. 213-229. doi:10.1016/j.jbankfin.2018.06.014
Number of pages: 57 Posted: 20 Mar 2020
Doriana Cucinelli, Maria Luisa Di Battista, Malvina Marchese and Laura Nieri
University of Parma - Dipartimento di Scienze Economiche e Aziendali, Catholic University of the Sacred Heart of Milan - Catholic University of the Sacred Heart of Piacenza, Cass Business School, City, University of london and University of Genova - Department of Economics
Downloads 243 (261,283)
Citation 3

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Internal Ratings Based approach; credit risk; prudential regulation; dynamic panels; state dependent endogenous dummy; System GMM

2.

Forecasting Energy Price Volatilities and Correlations: New Evidence From Fractionally Integrated Multivariate Garch Models

Energy Economics, Forthcoming
Number of pages: 22 Posted: 20 Mar 2020
Malvina Marchese, Ioannis Kyriakou, Michael Tamvakis and Francesca Di Iorio
Cass Business School, City, University of london, Bayes Business School (formerly Cass), City, University of London, City University London - The Business School and Istituto Nazionale di Statistica
Downloads 190 (331,754)

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Multivariate GARCH, Long Memory, Superior Predictive Ability Test, Model

3.

Determinants of the Price Premium for Eco Vessels

Downloads 76 (655,752)

Determinants of the Price Premium for Eco Vessels

Number of pages: 20 Posted: 07 Mar 2024 Last Revised: 13 May 2024
Ioannis Moutzouris, Nikos C. Papapostolou, Malvina Marchese and Michael Tamvakis
Bayes Business School, Cass Business School, City, University of London, Cass Business School, City, University of london and City University London - The Business School
Downloads 61 (749,505)

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Asset Pricing, Sustainable Shipping, Maritime Decarbonisation, Vessel Prices, Net Zero Shipping, Price Premium

Determinants of the Price Premium for Eco Vessels

Number of pages: 30 Posted: 29 Jun 2024
Ioannis Moutzouris, Nikos C. Papapostolou, Malvina Marchese, Michael Tamvakis and Yao Shi
Bayes Business School, Cass Business School, City, University of London, Cass Business School, City, University of london, City University London - The Business School and City University London - Bayes Business School
Downloads 15 (1,202,385)

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Asset Pricing, Sustainable Shipping, Maritime Decarbonisation, Vessel Prices, Net Zero Shipping, Price Premium

4.

Structural Changes in Asset Correlations And  Macroeconomic Fundamentals

Number of pages: 40 Posted: 22 Jun 2023
Malvina Marchese, Francesca Di Iorio, Michael Tamvakis and Ioannis Kyriakou
Cass Business School, City, University of london, CSEF - University of Naples Federico II, City University London - The Business School and affiliation not provided to SSRN
Downloads 74 (665,415)

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Mixed frequency datastructural breakscorrelation component modelsrisk managementValue at RiskEnergy Markets financialization

5.

A machine learning ensemble approach to predict financial markets manipulation

Number of pages: 42 Posted: 13 Dec 2024
Tatiana Franus, Malvina Marchese and Richard Payne
City University London - Bayes Business School, Cass Business School, City, University of london and City University London - The Business School
Downloads 58 (753,386)

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Price Manipulation, Spoofing, Forecast Combination, Random Forest, XGBoost, Ensamble

6.

Green Investment Under Market Uncertainty: Scrubber Installation in Shipping

Number of pages: 30 Posted: 10 Feb 2025
Ioannis Moutzouris, Malvina Marchese, Nikos C. Papapostolou, Angelos Efstathiou and Yao Shi
Bayes Business School, Cass Business School, City, University of london, Cass Business School, City, University of London, City University London - Bayes Business School and City University London - Bayes Business School
Downloads 28 (1,004,307)

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Sustainable shipping, Scrubbers, Vessel investment, Net zero shipping, Green investment, Market uncertainty a Yao Shi (corresponding author), Bayes Business School, Faculty of Finance, 106 Bunhill Row, EC1Y 8TZ

7.

A Combination Approach to Forecasting Precious Metals Correlations

Posted: 10 Apr 2024
Malvina Marchese, Ioannis Kyriakou, Ioannis Moutzouris, Michael Tamvakis and Sjur Westgaard
Cass Business School, City, University of london, Bayes Business School (formerly Cass), City, University of London, Bayes Business School, City University London - The Business School and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

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Precious metals correlations, forecast combinations, Value at Risk, macroeconomic fundamentals, structural breaks

8.

Structural changes in asset correlations and macroeconomic fundamentals

Posted: 27 Apr 2022 Last Revised: 28 Feb 2023
Malvina Marchese, Ioannis Kyriakou, Michael Tamvakis and Francesca Di Iorio
Cass Business School, City, University of london, Bayes Business School (formerly Cass), City, University of London, City University London - The Business School and Istituto Nazionale di Statistica

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Mixed frequency data, structural breaks, correlation component models, risk management