Andrea Cipollini

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

Viale Berengario 51

41100 Modena, Modena 41100

Italy

University of Palermo - d/SEAS

Viale delle Scienze, edificio 13

Palermo, 90124

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

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

  • University of Palermo - d/SEAS

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

SCHOLARLY PAPERS

18

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TOTAL CITATIONS
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36

Scholarly Papers (18)

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1.

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

Downloads 889 (57,998)
Citation 8

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, Andrea Cipollini and Andrea Cipollini
University of Essex - Essex Business School and Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS
Downloads 510 (117,450)
Citation 4

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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, Andrea Cipollini and Franco Fiordelisi
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and University of Essex - Essex Business School
Downloads 379 (166,652)
Citation 4

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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, Andrea Cipollini and Giuseppe Missaglia
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and Iccrea Banca
Downloads 572 (103,176)
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
Philip Arestis, Guglielmo Maria Caporale, Andrea Cipollini, Andrea Cipollini and Nicola Spagnolo
University of Cambridge - Department of Land Economy, Brunel University London - Department of Economics and Finance, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and Brunel University London - Economics and Finance
Downloads 445 (140,222)
Citation 5

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Contagion, Financial crises, Conditional Correlation

4.

Threshold Effects in the Us Budget Deficit

Number of pages: 22 Posted: 23 May 2003
Philip Arestis, Andrea Cipollini, Andrea Cipollini and Bassam Fattouh
University of Cambridge - Department of Land Economy, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and University of London - School of Oriental and African Studies (SOAS)
Downloads 443 (140,956)
Citation 2

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Government Deficit, Threshold, Unit Root

5.

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

Downloads 440 (142,032)
Citation 18

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

Number of pages: 28 Posted: 23 Jun 2003
Guglielmo Maria Caporale, Andrea Cipollini, Andrea Cipollini and Panicos Demetriades
Brunel University London - Department of Economics and Finance, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and University of Leicester - Department of Economics
Downloads 440 (140,440)
Citation 18

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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
Guglielmo Maria Caporale, Andrea Cipollini, Andrea Cipollini and Panicos Demetriades
Brunel University London - Department of Economics and Finance, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and University of Leicester - Department of Economics

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Monetary Policy, Financial Crisis, Identification

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, Andrea Cipollini and George Kapetanios
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and King's College, London
Downloads 357 (179,848)

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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, Andrea Cipollini and Giuseppe Missaglia
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and BNL
Downloads 350 (183,793)

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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, Andrea Cipollini and George Kapetanios
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and King's College, London
Downloads 283 (230,703)

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Financial contagion, dynamic factor model

9.

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, Andrea Cipollini and Bassam Fattouh
University of Cambridge - Department of Land Economy, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and University of London - School of Oriental and African Studies (SOAS)
Downloads 224 (291,314)

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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
Nektarios Aslanidis, Charlotte Christiansen, Andrea Cipollini and Andrea Cipollini
Universitat Rovira Virgili, Aarhus University - CREATES and Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS
Downloads 160 (395,914)

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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, Andrea Cipollini, Bassam Fattouh and Kostas Mouratidis
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS, University of London - School of Oriental and African Studies (SOAS) and Swansea University
Downloads 83 (642,187)
Citation 1

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Deficit sustainability, threshold cointegration

12.

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, Andrea Cipollini and Fabio Parla
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and University of Palermo - d/SEAS
Downloads 52 (821,678)
Citation 1

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

13.

Forecasting Industry Sector Default Rates through Dynamic Factor Models

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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, Andrea Cipollini and Andrea Cipollini
BNL and Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity 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, Andrea Cipollini and Andrea Cipollini
BNL and Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS

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

14.

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, Andrea Cipollini and Andrea Cipollini
King's College, London and Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS

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Stochastic volatility, Factor models, Principal components

15.

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, Andrea Cipollini and Andrea Cipollini
Swansea University, Brunel University London - Economics and Finance and Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS

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16.

The Euro and Monetary Policy Transparency

Eastern Economic Journal, Vol. 28, No. 1, pp. 59-70, 2002
Posted: 10 Sep 2005
Andrea Cipollini, Andrea Cipollini and Guglielmo Maria Caporale
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and Brunel University London - Department of Economics and Finance

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17.

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 and Andrea Cipollini
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS

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18.

Testing for Contagion: A Conditional Correlation Analysis

Journal of Empirical Finance, Vol. 12, No. 3, pp. 476-489
Posted: 31 Aug 2005
Nicola Spagnolo, Andrea Cipollini, Andrea Cipollini and Guglielmo Maria Caporale
Brunel University London - Economics and Finance, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and Brunel University London - Department of Economics and Finance

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Contagion, Financial crises, Conditional correlation