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

3

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167

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (3)

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1.

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

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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 90 (436,066)
Citation 2

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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 77 (474,361)

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

3.

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