Andrea Cipollini

University of Palermo - d/SEAS

Viale delle Scienze, edificio 13

Palermo, 90124

Italy

Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and Economics

Viale Berengario 51

41100 Modena, Modena 41100

Italy

Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN)

via Berengario 51

Modena, modena I-41100

Italy

SCHOLARLY PAPERS

22

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13

CROSSREF CITATIONS

24

Scholarly Papers (22)

The Impact of Bank Concentration on Financial Distress: The Case of the European Banking System

Number of pages: 23 Posted: 16 Feb 2009
Franco Fiordelisi and Andrea Cipollini
University of Rome III - Department of Business Studies and University of Palermo - d/SEAS
Downloads 391 (74,010)
Citation 3

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EVA, Banking, Panel Probit, GMM

The Impact of Bank Concentration on Financial Distress: The Case of the European Banking System

EMFI Working Paper No. 2 - 2009
Number of pages: 25 Posted: 02 Apr 2010
Andrea Cipollini and Franco Fiordelisi
University of Palermo - d/SEAS and University of Rome III - Department of Business Studies
Downloads 210 (144,705)
Citation 2

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EVA, Banking, Panel Probit, GMM

2.

Business Cycle Effects on Portfolio Credit Risk: Scenario Generation Through Dynamic Factor Analysis

Number of pages: 22 Posted: 15 Feb 2005
Andrea Cipollini and Giuseppe Missaglia
University of Palermo - d/SEAS and Iccrea Banca
Downloads 500 (55,363)
Citation 1

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Risk management, default correlation, Dynamic Factor

3.

Testing for Financial Contagion between Developed and Emerging Markets During the 1997 East Asian Crisis

Brunel Business School, Economics and Finance Working Papers No. 05-08, International Journal of Finance & Economics, (2005), vol. 10(4), pages 359-367
Number of pages: 17 Posted: 25 Mar 2003 Last Revised: 18 May 2009
University of Cambridge - Department of Land Economy, Brunel University London - Department of Economics and Finance, University of Palermo - d/SEAS and Brunel University London - Economics and Finance
Downloads 392 (74,471)
Citation 4

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Contagion, Financial crises, Conditional Correlation

Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity

CEIS Tor Vergata - Research Paper Series No. 23
Number of pages: 28 Posted: 23 Jun 2003
Brunel University London - Department of Economics and Finance, University of Palermo - d/SEAS and University of Leicester - Department of Economics
Downloads 388 (74,671)
Citation 12

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Monetary Policy, Financial Crisis, Identification

Monetary Policy and the Exchange Rate during the Asian Crisis: Identification through Heteroscedasticity

Journal of International Money and Finance, Vol. 24, No. 1, pp 39-53, CEIS Tor Vergata - Research Paper Series No. 23
Posted: 30 Aug 2005
Brunel University London - Department of Economics and Finance, University of Palermo - d/SEAS and University of Leicester - Department of Economics

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Monetary Policy, Financial Crisis, Identification

5.

Threshold Effects in the Us Budget Deficit

CEIS Tor Vergata - Research Paper Series No. 18
Number of pages: 22 Posted: 23 May 2003
Philip Arestis, Andrea Cipollini and Bassam Fattouh
University of Cambridge - Department of Land Economy, University of Palermo - d/SEAS and University of London - School of Oriental and African Studies (SOAS)
Downloads 354 (83,816)
Citation 2

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Government Deficit, Threshold, Unit Root

6.

A Dynamic Factor Analysis of Financial Contagion in Asia

Queen Mary Economics Working Paper No. 498
Number of pages: 17 Posted: 09 Oct 2003
Andrea Cipollini and George Kapetanios
University of Palermo - d/SEAS and King's College, London
Downloads 322 (93,263)

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Financial contagion, Dynamic factor model

7.

Dynamic Factor Analysis of Industry Sector Default Rates and Implication for Portfolio Credit Risk Modelling

Number of pages: 27 Posted: 22 Jun 2007
Andrea Cipollini and Giuseppe Missaglia
University of Palermo - d/SEAS and BNL
Downloads 290 (104,585)

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Factor Model, Forecasting, Stochastic Simulation, Risk Management, Banking

8.

Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis

Journal of Empirical Finance, Vol. 16, No. 2, 2009
Number of pages: 25 Posted: 23 Aug 2005 Last Revised: 18 May 2009
Andrea Cipollini and George Kapetanios
University of Palermo - d/SEAS and King's College, London
Downloads 249 (122,660)

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Financial contagion, dynamic factor model

Threshold Effects in the U.S. Budget Deficit

The Levy Economics Institute of Bard College Working Paper No. 358
Number of pages: 20 Posted: 19 Mar 2003
Philip Arestis, Andrea Cipollini and Bassam Fattouh
University of Cambridge - Department of Land Economy, University of Palermo - d/SEAS and University of London - School of Oriental and African Studies (SOAS)
Downloads 187 (161,435)

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Government Deficit, Threshold, Unit Root

Threshold Effects in the U.S. Budget Deficit

Economic Inquiry, Vol. 42(2), pp. 214-222, 2004
Posted: 23 Aug 2005
Philip Arestis, Andrea Cipollini and Bassam Fattouh
University of Cambridge - Department of Land Economy, University of Palermo - d/SEAS and University of London - School of Oriental and African Studies (SOAS)

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Government Deficit, Threshold, Unit Root

10.

Predicting Bond Betas Using Macro-Finance Variables

Number of pages: 13 Posted: 11 Jan 2017 Last Revised: 21 Jul 2018
Universitat Rovira Virgili, Aarhus University - CREATES and University of Palermo - d/SEAS
Downloads 96 (272,136)

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bond betas; Complete Subset Regressions; corporate bonds; government bonds; macro-finance variables; Model Confidence Set

11.

Fiscal Re-Adjustments in the U.S.: A Non-Linear Time Series Analysis

Number of pages: 23 Posted: 26 Aug 2005
Andrea Cipollini, Bassam Fattouh and Kostas Mouratidis
University of Palermo - d/SEAS, University of London - School of Oriental and African Studies (SOAS) and Swansea University
Downloads 59 (359,556)
Citation 1

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Deficit sustainability, threshold cointegration

12.

Does Inflation Targeting Affect the Trade-Off between Output Gap and Inflation Variability?

Manchester School, Vol. 70, No. 4, pp. 528-545, 2002
Number of pages: 18 Posted: 06 May 2003
University of Cambridge - Department of Land Economy, Brunel University London - Department of Economics and Finance and University of Palermo - d/SEAS
Downloads 25 (493,285)
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13.

Book Reviews

Journal of Common Market Studies, Vol. 40, pp. 167-189, 2002
Number of pages: 23 Posted: 20 Mar 2003
South Bank University London, Loughborough University, University of Greenwich, Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS), University of Turku - Department of Economics, University of Central Lancashire, University of Plymouth, European University Institute, London Business School, University of Paisley, University of Leeds - Centre for European Political Communications (EurPolCom), Keele University, European Institute, London School of Economics, University of Central England, Universitetet i Oslo, University of Manchester - School of Social Sciences, London School of Economics & Political Science (LSE), University of North Carolina, Universiteit Maastricht, University of Surrey, University of Palermo - d/SEAS, University of Sheffield - Department of Politics, London School of Economics & Political Science (LSE) and University of Sunderland
Downloads 23 (504,445)
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14.

Credit Demand and Supply Shocks in Italy During the Great Recession

d/SEAS Working Paper No. 18-5
Number of pages: 24 Posted: 02 Jul 2018
Andrea Cipollini and Fabio Parla
University of Palermo - d/SEAS and University of Palermo - d/SEAS
Downloads 9 (588,740)
Citation 1

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Structural VAR, Identi cation through heteroscedasticity, Credit shocks , Regional economic activity

15.

Fiscal Readjustments in the United States: A Nonlinear Time-Series Analysis

Economic Inquiry, Vol. 47, Issue 1, pp. 34-54, January 2009
Number of pages: 21 Posted: 26 Jan 2009
Andrea Cipollini, Bassam Fattouh and Kostas Mouratidis
University of Palermo - d/SEAS, University of London - School of Oriental and African Studies (SOAS) and Swansea University
Downloads 2 (639,740)
Citation 1
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16.

Exchange Rates and Stock Prices in the MENA Countries: What Role for Oil?

Review of Development Economics, Vol. 15, Issue 4, pp. 758-774, 2011
Number of pages: 17 Posted: 25 Oct 2011
University of Athens - Faculty of Economics, University of Palermo - d/SEAS and affiliation not provided to SSRN
Downloads 1 (652,112)
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Forecasting Industry Sector Default Rates through Dynamic Factor Models

Journal of Risk Model Validation, Vol. 2, No. 3, Fall 2008
Posted: 19 May 2009
Giuseppe Missaglia and Andrea Cipollini
BNL and University of Palermo - d/SEAS

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Dynamic Factor Model, Forecasting, Stochastic Simulation, Risk Management, Banking

Forecasting Industry Sector Default Rates through Dynamic Factor Models

Journal of Risk Model Validation, Vol. 2, No. 3, Fall 2008
Posted: 19 May 2009
Giuseppe Missaglia and Andrea Cipollini
BNL and University of Palermo - d/SEAS

Abstract:

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Dynamic Factor Model, Forecasting, Stochastic Simulation, Risk Management, Banking

18.

A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data

Economics Letters, Vol. 100, pp. 130–134, 2008
Posted: 16 May 2009
George Kapetanios and Andrea Cipollini
King's College, London and University of Palermo - d/SEAS

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Stochastic volatility, Factor models, Principal components

19.

Evaluating Currency Crises: The Case of the European Monetary System

Empirical Economics, Vol. 35, No. 1, pp. 11-27, August 2008
Posted: 16 May 2009
Kostas Mouratidis, Nicola Spagnolo and Andrea Cipollini
Swansea University, Brunel University London - Economics and Finance and University of Palermo - d/SEAS

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20.

The Euro and Monetary Policy Transparency

Eastern Economic Journal, Vol. 28, No. 1, pp. 59-70, 2002
Posted: 10 Sep 2005
Andrea Cipollini and Guglielmo Maria Caporale
University of Palermo - d/SEAS and Brunel University London - Department of Economics and Finance

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21.

Testing for Government Intertemporal Solvency: A Smooth Transition Error Correction Model Approach

The Manchester School, Vol. 69, No. 6, pp. 643-655
Posted: 31 Aug 2005
Andrea Cipollini
University of Palermo - d/SEAS

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22.

Testing for Contagion: A Conditional Correlation Analysis

Journal of Empirical Finance, Vol. 12, No. 3, pp. 476-489
Posted: 31 Aug 2005
Brunel University London - Economics and Finance, University of Palermo - d/SEAS and Brunel University London - Department of Economics and Finance

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Contagion, Financial crises, Conditional correlation