Stefano d'Addona

University of Roma Tre

Via Chiabrera, 199

Rome, 00145

Italy

SCHOLARLY PAPERS

17

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SSRN CITATIONS
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Top 43,527

in Total Papers Citations

8

CROSSREF CITATIONS

8

Scholarly Papers (17)

1.

A Comparison of Some Univariate Models for Value-at-Risk and Expected Shortfall

Number of pages: 38 Posted: 22 Jan 2007
Carlo Marinelli, Stefano d'Addona and Svetlozar Rachev
University of Bonn - Institut fuer Angewandte Mathematik, University of Roma Tre and Texas Tech University
Downloads 440 (97,210)
Citation 3

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VaR, expected shortfall, stable Paretian laws, extreme value theory

2.

Asset Prices and Optimal Monetary Policy Rules

Number of pages: 44 Posted: 16 Jul 2016 Last Revised: 03 Nov 2022
Marcelle Chauvet, Stefano d'Addona and Venoo Kakar
University of California Riverside, University of Roma Tre and San Francisco State University
Downloads 165 (260,059)
Citation 1

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Optimal monetary policy, Asset pricing, Recursive utility, Long-run risk

3.

Too Small or Too Low? New Evidence on the 4-Factor Model

Number of pages: 36 Posted: 16 Dec 2010
University of Bologna - Department of Management, University of Roma Tre and University of Bologna - Department of Management
Downloads 152 (278,100)

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The Fama-French Factors, Size Effect, Value Premium, GMM, Momentum Anomaly

4.

Nominal and Real Volatility as Determinants of FDI

Number of pages: 17 Posted: 17 Feb 2011 Last Revised: 25 Nov 2011
Lilia Cavallari, Lilia Cavallari and Stefano d'Addona
University of Rome I - Department of Public EconomicsUniversity of Rome III - DIPES and University of Roma Tre
Downloads 145 (288,928)
Citation 4

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FDI, business cycle, output volatility, interest rate volatility, exchange rate volatility

5.

Multivariate Heavy-Tailed Models for Value-at-Risk Estimation

Number of pages: 48 Posted: 17 May 2010 Last Revised: 19 Dec 2011
Carlo Marinelli, Stefano d'Addona and Svetlozar Rachev
University of Bonn - Institut fuer Angewandte Mathematik, University of Roma Tre and Texas Tech University
Downloads 135 (305,492)
Citation 2

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6.

Forced Manager Turnovers in English Soccer Leagues: A Long-Term Perspective

Number of pages: 40 Posted: 30 Nov 2011
Stefano d'Addona and Axel H. Kind
University of Roma Tre and University of Konstanz
Downloads 120 (333,264)

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Managers’ Turnover, Firing Decision, Governance Mechanisms, Logit Models, Duration Models

The Stability of Tax Elasticities Over the Business Cycle in European Countries

CAMA Working Paper No. 44/2017
Number of pages: 45 Posted: 24 Jul 2017
Melisso Boschi, Melisso Boschi and Stefano d'Addona
Centre for Applied Macroeconomic Analysis (CAMA)Senate of the Republic of Italy and University of Roma Tre
Downloads 64 (494,946)
Citation 2

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Tax Elasticity, Tax Policy Discretionary Change, Business Cycle, European Economy, Markov-Switching Regimes

The Stability of Tax Elasticities Over the Business Cycle in European Countries

Number of pages: 44 Posted: 12 May 2017
Melisso Boschi, Melisso Boschi and Stefano d'Addona
Centre for Applied Macroeconomic Analysis (CAMA)Senate of the Republic of Italy and University of Roma Tre
Downloads 48 (566,860)
Citation 1

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Tax elasticity, Tax policy discretionary change, Business cycle, European economy, Markov-switching regimes

The Determinants of Risk Premia on the Italian Stock Market: Empirical Evidence on Common Factors in Asset Pricing Models

Number of pages: 37 Posted: 02 Dec 2012
University of Bologna - Department of Management, University of Roma Tre and University of Bologna - Department of Management
Downloads 109 (358,660)

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Fama-French factors, GMM, Asset Pricing, Carhart model

The Determinants of Risk Premia on the Italian Stock Market: Empirical Evidence on Common Factors in Asset Pricing Models

Economic Notes, Vol. 42, Issue 2, pp. 103-133, 2013
Number of pages: 31 Posted: 21 Jun 2013
University of Bologna - Department of Management, University of Roma Tre and University of Bologna - Department of Management
Downloads 3 (946,443)

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The British Opt-Out from the European Monetary Union: Empirical Evidence from Monetary Policy Rules

Number of pages: 37 Posted: 28 Jul 2011 Last Revised: 10 Mar 2012
Stefano d'Addona and Ilaria Musumeci
University of Roma Tre and University of Rome III
Downloads 63 (499,031)
Citation 1

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Taylor rule; European monetary integration; Regime switching models; Interest rate smoothing.

The British Opt-Out from the European Monetary Union: Empirical Evidence from Monetary Policy Rules

CEIS Working Paper No. 225
Number of pages: 38 Posted: 26 Mar 2012
Stefano d'Addona and Ilaria Musumeci
University of Roma Tre and University of Rome III
Downloads 40 (610,585)

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Taylor rule, European monetary integration, Regime switching models, Interest rate smoothing

10.

Asset Pricing and the Role of Macroeconomic Volatility

Number of pages: 50 Posted: 06 Mar 2008 Last Revised: 29 Jul 2011
Stefano d'Addona and Christos I. Giannikos
University of Roma Tre and CUNY - Baruch College
Downloads 99 (379,988)

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11.

Information Quality and Stock Returns Revisited

Number of pages: 42 Posted: 05 Mar 2007 Last Revised: 03 Nov 2008
Frode Brevik and Stefano d'Addona
University of St. Gallen - SEPS: Economics and Political Sciences and University of Roma Tre
Downloads 90 (403,505)
Citation 4

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Consumption Based Asset Pricing, Information Quality, Business Cycle, Regime Switching

Testing Habits in an Asset Pricing Model

Number of pages: 30 Posted: 15 Mar 2010 Last Revised: 12 May 2017
Centre for Applied Macroeconomic Analysis (CAMA)Senate of the Republic of Italy, University of Roma Tre and affiliation not provided to SSRN
Downloads 46 (577,163)

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Habit formation, Equity premium, Business cycles, Markov-switching VAR models

Testing Habits in an Asset Pricing Model

Number of pages: 41 Posted: 16 Mar 2012
University of Roma Tre, Centre for Applied Macroeconomic Analysis (CAMA)Senate of the Republic of Italy and affiliation not provided to SSRN
Downloads 26 (706,392)

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Habit formation, Equity premium, Business cycles, Markov-switching models, Regime-dependent impulse response functions

13.

Time Varying Sensitivities on a Grid Architecture

Number of pages: 25 Posted: 18 Nov 2005
Stefano d'Addona and Mattia Ciprian
University of Roma Tre and UniversitĂ  degli Studi di Trieste
Downloads 64 (488,116)

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Time Varying Beta, Kalman Filter, GRID Computing, Value at Risk

14.

Business Cycle Determinants of US Foreign Direct Investments

Number of pages: 10 Posted: 01 Dec 2012
Lilia Cavallari, Lilia Cavallari and Stefano d'Addona
University of Rome I - Department of Public EconomicsUniversity of Rome III - DIPES and University of Roma Tre
Downloads 57 (516,071)

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FDI, business cycle, cyclical output, exchange rate volatility

15.

Information Processing with Recursive Utility: Some Intriguing Results

University of St. Gallen, Department of Economics Discussion Paper No. 2007-40
Number of pages: 20 Posted: 23 Nov 2007
Stefano d'Addona and Frode Brevik
University of Roma Tre and University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 46 (570,975)

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Recursive preferences, Epstein-Zin preferences, Uncertainty aversion, Information processing, Time inconsistency

16.

Testing External Habits in an Asset Pricing Model

CAMA Working Papaer No. 20/2012
Number of pages: 33 Posted: 17 May 2012
Centre for Applied Macroeconomic Analysis (CAMA)Senate of the Republic of Italy, University of Roma Tre and affiliation not provided to SSRN
Downloads 22 (717,582)

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Habit formation, Equity premium, Business cycles, Markov-switching models,Time-varying VAR, Regime-dependent impulse response functions

17.

International Stock-Bond Correlations in a Simple Affine Asset Pricing Model

Journal of Banking and Finance, Vol. 30, No. 10, 2006
Posted: 23 Feb 2005 Last Revised: 17 Apr 2013
Stefano d'Addona and Axel H. Kind
University of Roma Tre and University of Konstanz

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Affine Pricing Models, Stock-Bond Correlations, G-7 Countries