Stefano d'Addona

University of Roma Tre

Via Chiabrera, 199

Rome, 00145

Italy

SCHOLARLY PAPERS

17

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1,780

SSRN CITATIONS

6

CROSSREF CITATIONS

6

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 431 (82,290)

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

2.

Asset Prices and Optimal Monetary Policy Rules

Number of pages: 38 Posted: 16 Jul 2016 Last Revised: 19 May 2017
Venoo Kakar, Stefano d'Addona and Marcelle Chauvet
San Francisco State University, University of Roma Tre and University of California Riverside
Downloads 148 (238,922)
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 144 (244,429)

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

4.

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 129 (266,211)
Citation 2

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5.

Nominal and Real Volatility as Determinants of FDI

Number of pages: 17 Posted: 17 Feb 2011 Last Revised: 25 Nov 2011
Lilia Cavallari and Stefano d'Addona
University of Rome III - DIPES and University of Roma Tre
Downloads 122 (277,584)
Citation 4

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

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 104 (312,282)

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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
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7.

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 99 (320,638)

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

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 61 (429,163)
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 38 (527,477)

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

9.

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 94 (331,436)

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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 and Stefano d'Addona
Centre for Applied Macroeconomic Analysis (CAMA) and University of Roma Tre
Downloads 47 (484,689)
Citation 1

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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 and Stefano d'Addona
Centre for Applied Macroeconomic Analysis (CAMA) and University of Roma Tre
Downloads 44 (498,306)
Citation 1

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

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 85 (352,756)
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
Melisso Boschi, Stefano d'Addona and Aditya Goenka
Centre for Applied Macroeconomic Analysis (CAMA), University of Roma Tre and affiliation not provided to SSRN
Downloads 41 (512,533)

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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
Stefano d'Addona, Melisso Boschi and Aditya Goenka
University of Roma Tre, Centre for Applied Macroeconomic Analysis (CAMA) and affiliation not provided to SSRN
Downloads 23 (619,739)

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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 62 (419,835)

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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 and Stefano d'Addona
University of Rome III - DIPES and University of Roma Tre
Downloads 52 (455,963)

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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 39 (511,332)

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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
Melisso Boschi, Stefano d'Addona and Aditya Goenka
Centre for Applied Macroeconomic Analysis (CAMA), University of Roma Tre and affiliation not provided to SSRN
Downloads 17 (641,998)

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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