Via Chiabrera, 199
University of Roma Tre
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VaR, expected shortfall, stable Paretian laws, extreme value theory
The Fama-French Factors, Size Effect, Value Premium, GMM, Momentum Anomaly
Taylor rule; European monetary integration; Regime switching models; Interest rate smoothing.
Taylor rule, European monetary integration, Regime switching models, Interest rate smoothing
Fama-French factors, GMM, Asset Pricing, Carhart model
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FDI, business cycle, output volatility, interest rate volatility, exchange rate volatility
Consumption Based Asset Pricing, Information Quality, Business Cycle, Regime Switching
Managers’ Turnover, Firing Decision, Governance Mechanisms, Logit Models, Duration Models
Time Varying Beta, Kalman Filter, GRID Computing, Value at Risk
Habit formation, Equity premium, Business cycles, Markov-switching VAR models
Habit formation, Equity premium, Business cycles, Markov-switching models, Regime-dependent impulse response functions
FDI, business cycle, cyclical output, exchange rate volatility
Recursive preferences, Epstein-Zin preferences, Uncertainty aversion, Information processing, Time inconsistency
Tax elasticity, Tax policy discretionary change, Business cycle, European economy, Markov-switching regimes
Tax Elasticity, Tax Policy Discretionary Change, Business Cycle, European Economy, Markov-Switching Regimes
Habit formation, Equity premium, Business cycles, Markov-switching models,Time-varying VAR, Regime-dependent impulse response functions
Optimal monetary policy, Asset pricing, Recursive utility, Long-run risk
Affine Pricing Models, Stock-Bond Correlations, G-7 Countries
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